Anders Rahbek

University of Copenhagen - Department of Statistics and Operations Research

Universitetsparken 5

DK-2100

Denmark

University of Copenhagen - Department of Economics

Øster Farimagsgade 5

Bygning 26

1353 Copenhagen K.

Denmark

  • University of Copenhagen - Department of Statistics and Operations Research

    • Tel: +45 3532 0682
SCHOLARLY PAPERS

27

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98

Scholarly Papers (27)

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1.

Poisson Autoregression

Downloads 341 (188,632)
Citation 6

Poisson Autoregression

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-35
Number of pages: 38 Posted: 24 Feb 2009
Konstantinos Fokianos, Anders Rahbek and Dag Tjostheim
University of Cyprus - Department of Mathematics and Statistics, University of Copenhagen - Department of Statistics and Operations Research and University of Bergen - Faculty of Mathematics and Natural Sciences
Downloads 341 (187,054)
Citation 6

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Poisson Autoregression

Posted: 24 Mar 2009
Konstantinos Fokianos, Anders Rahbek and Dag Tjostheim
University of Cyprus - Department of Mathematics and Statistics, University of Copenhagen - Department of Statistics and Operations Research and University of Bergen - Faculty of Mathematics and Natural Sciences

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asymptotic theory, count data, generalized linear models, geometric ergodicity, integer GARCH, likelihood, noncanonical link function, observation driven models, Poisson regression, irreducibility

2.

An Introduction to Bootstrap Theory in Time Series Econometrics

Number of pages: 35 Posted: 28 May 2020
Giuseppe Cavaliere, Heino Bohn Nielsen and Anders Rahbek
University of Bologna - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 283 (230,962)

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Bootstrap Theory; Bootstrap Implementation; Econometric Time Series Analysis; Testing; Asymptotic Theory; Auto-regressive Models

3.

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Downloads 269 (243,373)
Citation 2

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Number of pages: 55 Posted: 15 Mar 2019
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 177 (362,757)
Citation 1

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Unforeseeable Change; Knightian Uncertainty; Muth’s Hypothesis; Model Ambiguity; REH; Behavioral Finance

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Institute for New Economic Thinking Working Paper Series No. 92 (2019)
Number of pages: 62 Posted: 05 Mar 2019
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 92 (607,869)
Citation 1

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Unforeseeable Change; Knightian Uncertainty; Muth’s Hypothesis; Model Ambiguity; REH; Behavioral Finance

4.

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Downloads 244 (267,431)

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Number of pages: 38 Posted: 23 Jun 2017
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 91 (612,248)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Institute for New Economic Thinking Working Paper Series No. 59
Number of pages: 39 Posted: 29 Jun 2017
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 91 (612,248)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Institute for New Economic Thinking Working Paper Series No. 59
Number of pages: 39 Posted: 13 Sep 2017
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 62 (765,207)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

5.

Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility

CREATES Research Paper No. 2008-50, Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-34
Number of pages: 39 Posted: 03 Oct 2008
Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 215 (302,170)
Citation 22

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Co-integration, non-stationary volatility, trace and maximum eigenvalue tests, wild bootstrap

6.

Testing Garch-X Type Models

Number of pages: 35 Posted: 26 Aug 2017
Rasmus Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 202 (320,533)
Citation 2

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Testing on the Boundary; Likelihood-Ratio Test; Non-Identification; GARCH-X; PAR-X; GARCH Models; Integer-Valued

7.

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

Downloads 141 (440,592)
Citation 2

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-07
Number of pages: 24 Posted: 12 Feb 2010
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 80 (668,286)
Citation 1

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co-integration, trace test, sequential rank determination, i.i.d. bootstrap, wild bootstrap

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

CREATES Research Paper No. 2010-7
Number of pages: 25 Posted: 11 Feb 2010
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 61 (771,797)
Citation 1

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Co-integration, trace test, sequential rank determination, i.i.d.bootstrap, wild bootstrap

8.

Asymptotics of the QMLE for General Arch(Q) Models

Number of pages: 37 Posted: 14 Oct 2005
Dennis Kristensen, Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 138 (448,276)
Citation 3

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ARCH, QMLE, consistency, asymptotic normality

9.

Dynamic Conditional Eigenvalue GARCH

Number of pages: 55 Posted: 09 Jan 2020
Simon Hetland, Rasmus Søndergaard Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 134 (456,364)

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Multivariate GARCH; GO-GARCH; Reduced Rank; Asymptotic Theory

10.

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-25
Number of pages: 44 Posted: 10 Oct 2010
Dennis Kristensen, Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 130 (467,685)
Citation 3

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11.

Multivariate Variance Targeting in the BEKK-GARCH Model

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-23
Number of pages: 34 Posted: 21 Nov 2012
Rasmus Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 128 (473,353)
Citation 4

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12.

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Downloads 124 (485,312)
Citation 9

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-13
Number of pages: 52 Posted: 28 Nov 2013
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 63 (759,158)
Citation 8

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Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Tinbergen Institute 13-187/III
Number of pages: 53 Posted: 27 Nov 2013
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 61 (771,797)
Citation 1

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co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

13.

Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

Number of pages: 36 Posted: 05 Dec 2018
Giuseppe Cavaliere, Heino Bohn Nielsen, Rasmus Søndergaard Pedersen and Anders Rahbek
University of Bologna - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 121 (494,703)
Citation 3

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Inference on the boundary, Nuisance parameters on the boundary, ARCH models, Bootstrap

14.

Asset Prices Under Knightian Uncertainty

Institute for New Economic Thinking Working Paper Series No. 172
Number of pages: 34 Posted: 17 Feb 2022
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 120 (497,915)

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Asset Prices, Unforeseeable Change, Knightian Uncertainty, Muth’s Hypothesis, Model Ambiguity, Rational Expectations (REH), Behavioral Finance

15.

An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

University of Copenhagen Department of Economics Discussion Papers No. 09-13
Number of pages: 27 Posted: 25 Jul 2009
Kurita Takamitsu, Heino Bohn Nielsen and Anders Rahbek
affiliation not provided to SSRN, University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 105 (550,174)
Citation 1

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cointegration, I(2), piecewise linear trends, likelihood analysis, US consumption

16.

Likelihood-Based Inference in Nonlinear Error-Correction Models

CREATES Research Paper No. 2007-38
Number of pages: 44 Posted: 04 Feb 2008
Anders Rahbek, Dennis Kristensen and Dennis Kristensen
University of Copenhagen - Department of Statistics and Operations Research and University College London
Downloads 102 (562,003)
Citation 6

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error correction, geometric ergodicity, maximum likelihood, nonlinear

17.

A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models

Number of pages: 49 Posted: 02 May 2019
Giuseppe Cavaliere and Anders Rahbek
University of Bologna - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 101 (565,955)
Citation 1

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Bootstrap; Hypothesis testing; Double-autoregressive models; Parameter on the boundary; Infinite variance

18.

Unit Root Vector Autoregression with Volatility Induced Stationarity

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-02
Number of pages: 37 Posted: 13 Jun 2012
Anders Rahbek and Heino Bohn Nielsen
University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 101 (565,955)
Citation 4

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vector autoregression, unit-root, reduced rank, volatility induced stationarity, term structure, double autoregression

19.

Co-Integration Rank Testing under Conditional Heteroskedasticity

CREATES Research Paper No. 2009-22
Number of pages: 48 Posted: 28 May 2009
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 91 (605,535)
Citation 9

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Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, wild bootstrap

20.

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-11
Number of pages: 37 Posted: 05 Sep 2012
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 85 (631,485)
Citation 14

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Bootstrap, Co-integration, Trace statistic, Rank determination, heteroskedasticity

21.

Bootstrapping Non-Stationary Stochastic Volatility

Tinbergen Institute Discussion Paper 2019-083/III
Number of pages: 38 Posted: 17 Dec 2019
H. Peter Boswijk, Giuseppe Cavaliere, Iliyan Georgiev and Anders Rahbek
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Bologna and University of Copenhagen - Department of Statistics and Operations Research
Downloads 55 (797,553)
Citation 3

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Bootstrap, Non-stationary stochastic volatility, Random limit measures, Weak convergence in Distribution

22.

Bootstrap inference for Hawkes and general point processes

Number of pages: 46 Posted: 13 May 2021
U. Copenhagen Economics Discussion Paper Series, Giuseppe Cavaliere, Ye Lu, Anders Rahbek and Jacob Østergaard
Department of Economics, University of Bologna - Department of Economics, The University of Sydney - School of Economics, University of Copenhagen - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 51 (826,894)
Citation 1

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self-exciting point processes, conditional intensity, bootstrap inference, Hawkes process

23.

Nonstationary ARCH and GARCH with t-Distributed Innovations

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 15-07
Number of pages: 29 Posted: 25 Apr 2015
Rasmus Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 51 (826,894)

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ARCH, GARCH, asymptotic normality, asymptotic theory, consistency, t-distribution, maximum likelihood, nonstationarity

24.

Specification Tests for GARCH Processes

Number of pages: 46 Posted: 02 Jun 2021
Giuseppe Cavaliere, Indeewara Perera and Anders Rahbek
University of Bologna - Department of Economics, University of Sheffield - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 41 (910,613)
Citation 3

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GARCH model, bootstrap, specification test, Kolmogorov-Smirnov test, Cramér-von Mises test, marked empirical process, nuisance parameters on the boundary,

25.

Purchasing Power Parity: A Nonlinear Multivariate Approach

Economics Bulletin, Vol. 6, No. 39, pp. 1-6, 2008
Posted: 21 Mar 2009
Frederique Bec, Frederique Bec, Melika Ben Salem and Anders Rahbek
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, Université Paris-Est Marne la Vallée (UPEMLV) and University of Copenhagen - Department of Statistics and Operations Research

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Real exchange rate, threshold vector equilibrium correction model

26.

Non-Stationary and No Moments Asymptotics of the Arch Model

U of Copenhagen, Statistics and Operations Research Working Paper No. 12
Posted: 15 Nov 2002
Anders Rahbek and Soren Tolver Jensen
University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen

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ARCH, Asymptotics, Non-stationary, ergodicity

27.

Autoregressive Conditional Root Model

Nuffield College, Economics Working Paper No. 2002-W7
Posted: 19 Mar 2002
Anders Rahbek and Neil Shephard
University of Copenhagen - Department of Statistics and Operations Research and Harvard University

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Cointegration, Equilibrium correction model, GARCH, Hidden Markov model, Likelihood, Regime switching, STAR model, Stochastic break, Stochastic unit root, Switching regression, Real Exchange Rate, PPP, Unit root hypothesis