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Anders Rahbek

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This is information that was supplied by Anders Rahbek in registering through RePEc. If you are Anders Rahbek , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Anders
Middle Name:
Last Name: Rahbek
Suffix:

RePEc Short-ID: pra434

Email: [This author has chosen not to make the email address public]
Homepage: http://www.econ.ku.dk/rahbek/
Postal Address: Department of Economics University of Copenhagen Øster Farimagsgade 5, building 26 DK-1353 Copenhagen K Denmark
Phone: +4535324031

Affiliation

(90%) Økonomisk Institut
Københavns Universitet
Location: København, Denmark
Homepage: http://www.econ.ku.dk/
Email:
Phone: (+45) 35 32 30 10
Fax: (+45) 35 32 30 00
Postal: Øster Farimagsgade 5, building 26,, 1453 København K
Handle: RePEc:edi:okokudk (more details at EDIRC)
(10%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
Email:
Phone:
Fax:
Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)

Works

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Working papers

  1. Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013. "A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
  2. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
  3. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," Discussion Papers 12-11, University of Copenhagen. Department of Economics.
  4. Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers 2012-29, School of Economics and Management, University of Aarhus.
  5. Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, School of Economics and Management, University of Aarhus.
  6. Giuseppe Cavaliere & Anders Rahbek & Taylor A.M.Robert, 2011. "Bootstrap determination of the co-integration rank in VAR models," Quaderni di Dipartimento 9, Department of Statistics, University of Bologna.
  7. Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers 10-25, University of Copenhagen. Department of Economics.
  8. Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," CREATES Research Papers 2010-07, School of Economics and Management, University of Aarhus.
  9. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  10. Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2009. "An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application," CREATES Research Papers 2009-28, School of Economics and Management, University of Aarhus.
  11. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus.
  12. Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
  13. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  14. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  15. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
  16. Frédérique Bec & Anders Rahbek & Neil Shephard, 2005. "The Autoregressive Conditional Root (ACR) Model," Working Papers 2005-26, Centre de Recherche en Economie et Statistique.
  17. Bent Nielsen & Anders Rahbek, 2003. "Similarity Issues in Cointegration Models," Economics Series Working Papers 1998-W13, University of Oxford, Department of Economics.
  18. Heino Bohn Nielsen & Anders Rahbek, 2003. "Likelihood Ratio Testing for Cointegration Ranks in I(2) Models," Discussion Papers 03-42, University of Copenhagen. Department of Economics.
  19. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
  20. Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996. "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers 96-12, University of Copenhagen. Department of Economics.

Articles

  1. Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, 02.
  2. Kristensen, Dennis & Rahbek, Anders, 2013. "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, vol. 29(06), pages 1238-1288, December.
  3. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2012. "Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models," Econometrica, Econometric Society, vol. 80(4), pages 1721-1740, 07.
  4. Theis Lange & Anders Rahbek & S�ren Tolver Jensen, 2011. "Estimation and Asymptotic Inference in the AR-ARCH Model," Econometric Reviews, Taylor & Francis Journals, vol. 30(2), pages 129-153.
  5. Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2011. "An I(2) cointegration model with piecewise linear trends," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 131-155, 07.
  6. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 28, pages 519-552, Diciembre.
  7. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
  8. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1719-1760, December.
  9. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  10. Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
  11. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
  12. Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, AccessEcon, vol. 6(39), pages 1-6.
  13. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  14. Nielsen, Heino Bohn & Rahbek, Anders, 2007. "The Likelihood Ratio Test For Cointegration Ranks In The I(2) Model," Econometric Theory, Cambridge University Press, vol. 23(04), pages 615-637, August.
  15. Jensen, S ren Tolver & Rahbek, Anders, 2007. "On The Law Of Large Numbers For (Geometrically) Ergodic Markov Chains," Econometric Theory, Cambridge University Press, vol. 23(04), pages 761-766, August.
  16. Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(05), pages 946-961, October.
  17. Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
  18. Jensen, S ren Tolver & Rahbek, Anders, 2004. "Asymptotic Inference For Nonstationary Garch," Econometric Theory, Cambridge University Press, vol. 20(06), pages 1203-1226, December.
  19. Søren Tolver Jensen & Anders Rahbek, 2004. "Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case," Econometrica, Econometric Society, vol. 72(2), pages 641-646, 03.
  20. M. Kessler & A. Rahbek, 2004. "Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 137-151, May.
  21. Nielsen, Bent & Rahbek, Anders, 2000. " Similarity Issues in Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 5-22, February.
  22. Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999. "Trend stationarity in the I(2) cointegration model," Journal of Econometrics, Elsevier, vol. 90(2), pages 265-289, June.
  23. Paruolo, Paolo & Rahbek, Anders, 1999. "Weak exogeneity in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 93(2), pages 281-308, December.
  24. Anders Rahbek & Rocco Mosconi, 1999. "Cointegration rank inference with stationary regressors in VAR models," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 76-91.

NEP Fields

23 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (19) 2002-04-06 2003-12-14 2008-04-12 2008-06-27 2008-09-29 2009-01-17 2009-01-17 2009-04-05 2009-06-03 2009-07-11 2009-08-02 2010-02-20 2010-10-23 2012-02-20 2012-06-25 2012-09-09 2012-12-06 2013-08-10 2013-12-29. Author is listed
  2. NEP-ETS: Econometric Time Series (20) 2002-04-03 2003-12-14 2008-04-12 2008-06-27 2008-09-29 2009-01-17 2009-01-17 2009-04-05 2009-06-03 2009-07-11 2009-08-02 2010-02-20 2010-02-27 2010-10-23 2012-02-20 2012-06-25 2012-09-09 2012-12-06 2013-08-10 2013-12-29. Author is listed
  3. NEP-FMK: Financial Markets (1) 2008-09-29
  4. NEP-IFN: International Finance (1) 2002-04-03
  5. NEP-ORE: Operations Research (4) 2009-01-17 2009-04-05 2013-08-10 2013-12-29

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