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Anders Rahbek
Anders Rahbek
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Cited by
Year
Poisson autoregression
K Fokianos, A Rahbek, D Tj°stheim
Journal of the American Statistical Association 104 (488), 1430-1439, 2009
4862009
Asymptotic inference on cointegrating rank in partial systems
I Harbo, S Johansen, B Nielsen, A Rahbek
Journal of business & economic statistics 16 (4), 388-399, 1998
4571998
Asymptotic inference for nonstationary GARCH
ST Jensen, A Rahbek
Econometric Theory 20 (6), 1203-1226, 2004
2342004
Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case
ST Jensen, A Rahbek
Econometrica 72 (2), 641-646, 2004
1842004
Trend stationarity in the I (2) cointegration model
A Rahbek, HC Kongsted, C J°rgensen
Journal of econometrics 90 (2), 265-289, 1999
1711999
ARCH innovations and their impact on cointegration rank testing
A Rahbek, E Hansen, JG Dennis
Centre for Analytical Finance working paper 22, 15, 2002
1402002
Bootstrap determination of the co‐integration rank in vector autoregressive models
G Cavaliere, A Rahbek, AMR Taylor
Econometrica 80 (4), 1721-1740, 2012
1392012
Testing for co-integration in vector autoregressions with non-stationary volatility
G Cavaliere, A Rahbek, AMR Taylor
Journal of Econometrics 158 (1), 7-24, 2010
1322010
Cointegration rank inference with stationary regressors in VAR models
A Rahbek, R Mosconi
The Econometrics Journal 2 (1), 76-91, 1999
1271999
Similarity issues in cointegration analysis
B Nielsen, A Rahbek
Department of Theoretical Statistics, Copenhagen University, 1998
1131998
Cointegration rank testing under conditional heteroskedasticity
G Cavaliere, A Rahbek, AMR Taylor
Econometric Theory 26 (6), 1719-1760, 2010
1062010
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
A Agosto, G Cavaliere, D Kristensen, A Rahbek
Journal of Empirical Finance 38, 640-663, 2016
962016
Weak exogeneity in I (2) VAR systems
P Paruolo, A Rahbek
Journal of Econometrics 93 (2), 281-308, 1999
901999
Vector equilibrium correction models with non‐linear discontinuous adjustments
F Bec, A Rahbek
The Econometrics Journal 7 (2), 628-651, 2004
852004
Multivariate variance targeting in the BEKK–GARCH model
RS Pedersen, A Rahbek
The Econometrics Journal 17 (1), 24-55, 2014
822014
Asymptotics of the QMLE for a class of ARCH (q) models
D Kristensen, A Rahbek
Econometric Theory 21 (5), 946-961, 2005
732005
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions
M Kessler, A Rahbek
Scandinavian Journal of Statistics 28 (3), 455-470, 2001
642001
Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
M Kessler, A Rahbek
Statistical inference for stochastic processes 7, 137-151, 2004
582004
An introduction to regime switching time series models
T Lange, A Rahbek
Handbook of Financial Time Series, 871-887, 2009
462009
The likelihood ratio test for cointegration ranks in the I (2) model
HB Nielsen, A Rahbek
Econometric Theory 23 (4), 615-637, 2007
462007
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