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Theis Lange

Personal Details

First Name:Theis
Middle Name:
Last Name:Lange
Suffix:
RePEc Short-ID:pla330
[This author has chosen not to make the email address public]
http://www.econ.ku.dk/lange

Affiliation

(in no particular order)

Økonomisk Institut (Department of Economics)
Københavns Universitet (University of Copenhagen)

København, Denmark
http://www.econ.ku.dk/
RePEc:edi:okokudk (more details at EDIRC)

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Søren Johansen & Theis Lange, 2011. "Some econometric results for the Blanchard-Watson bubble model," CREATES Research Papers 2011-17, Department of Economics and Business Economics, Aarhus University.
  2. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
  3. Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Johansen, Søren & Lange, Theis, 2013. "Least squares estimation in a simple random coefficient autoregressive model," Journal of Econometrics, Elsevier, vol. 177(2), pages 285-288.
  2. Theis Lange & Anders Rahbek & Søren Tolver Jensen, 2011. "Estimation and Asymptotic Inference in the AR-ARCH Model," Econometric Reviews, Taylor & Francis Journals, vol. 30(2), pages 129-153.
  3. Jensen Anders Tolver & Lange Theis, 2010. "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-31, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.

Articles

  1. Johansen, Søren & Lange, Theis, 2013. "Least squares estimation in a simple random coefficient autoregressive model," Journal of Econometrics, Elsevier, vol. 177(2), pages 285-288.

    Cited by:

    1. Hwang, Eunju, 2021. "Weighted least squares estimation in a binary random coefficient panel model with infinite variance," Statistics & Probability Letters, Elsevier, vol. 168(C).
    2. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.

  2. Theis Lange & Anders Rahbek & Søren Tolver Jensen, 2011. "Estimation and Asymptotic Inference in the AR-ARCH Model," Econometric Reviews, Taylor & Francis Journals, vol. 30(2), pages 129-153.

    Cited by:

    1. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento 6, Department of Statistics, University of Bologna.
    2. Davide Viviano & Jelena Bradic, 2019. "Synthetic learner: model-free inference on treatments over time," Papers 1904.01490, arXiv.org, revised Aug 2022.
    3. Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," Economics Series Working Papers 396, University of Oxford, Department of Economics.
    4. Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de Economía.
    5. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    6. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
    7. Eunju Hwang, 2021. "Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations," Mathematics, MDPI, vol. 9(8), pages 1-10, April.
    8. Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
    9. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, October.
    10. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
    11. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    12. Viviano, Davide & Bradic, Jelena, 2023. "Synthetic Learner: Model-free inference on treatments over time," Journal of Econometrics, Elsevier, vol. 234(2), pages 691-713.
    13. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.

  3. Jensen Anders Tolver & Lange Theis, 2010. "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-31, June.

    Cited by:

    1. Eric A. Beutner & Yicong Lin & Andre Lucas, 2023. "Consistency, distributional convergence, and optimality of score-driven filters," Tinbergen Institute Discussion Papers 23-051/III, Tinbergen Institute.
    2. Bee, Marco & Dupuis, Debbie J. & Trapin, Luca, 2016. "Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 86-99.
    3. Taewook Lee & Moosup Kim & Changryong Baek, 2015. "Tests for Volatility Shifts in Garch Against Long-Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 127-153, March.
    4. Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (2) 2009-02-22 2011-05-24
  2. NEP-ECM: Econometrics (1) 2011-05-24

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