Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
Research:
International collaboration on econometric analysis for models applied in analysis of macroeconomic and financial data. This includes analysis for testing and inference, as well as implementation of:
- Time varying volatility models: GARCH models, univariate and multivariate.
- Bootstrap theory and bootstrap applications
- Hawkes and general Point Processes
- Nonlinear time series models: stochastic regime switching and threshold models.
- Nonlinear, and linear, cointegration models: with and without time varying volatility
- Poisson intensity count models
H-index:
Google schoolar h-index: (December 2023) 30
Teaching:
- Financial Econometrics | Univariate Volatility models, including GARCH, Stochastic Volatility and Realized Volatility
- Advanced Econometrics | Multivariate modeling, including multivariate GARCH, factor models and term structure models.
- Cointegration and time series analysis.
- Econometrics | An introduction to likelihood-based econometrics.
Please also web page [link]
Selected publications
- Published
A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models
Cavaliere, G. & Rahbek, Anders, 2021, In: Econometric Theory. 37, 1, p. 1-48Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2020, In: Journal of Business and Economic Statistics. 38, 1, p. 55-67Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Testing in GARCH-X Type Models
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
Agosto, A., Cavaliere, G., Kristensen, D. & Rahbek, Anders, Sep 2016, In: Journal of Empirical Finance. 38, Part B, p. 640–663Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. P., Cavaliere, G., Rahbek, Anders & Taylor, R., 2016, In: Journal of Econometrics. 192, 1, p. 64-85Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2015, In: Econometrica. 83, 2, p. 813-831Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2012, In: Econometrica. 80, 4, p. 1721-1740Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Cointegration rank testing under conditional heteroskedasticity
Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Econometric Theory. 26, 6, p. 1719-1760 40 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Unit Root Vector Autoregression with Volatility induced Stationarity
Nielsen, Heino Bohn & Rahbek, Anders, Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Likelihood-based inference for cointegration with nonlinear error-correction
Kristensen, D. & Rahbek, Anders, 2010, In: Journal of Econometrics. 158, 1, p. 78-94 17 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, Jul 2017, In: Journal of Time Series Analysis. 38, 4, p. 513–534Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Journal of Econometrics. 158, 1, p. 7-24 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Poisson Autoregression
Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2009, In: Journal of the American Statistical Association. 104, 488, p. 1430-1439 10 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The ACR Model: A Multivariate Dynamic Mixture Autoregression
Bec, F., Rahbek, Anders & Shephard, N., 2008, In: Oxford Bulletin of Economics and Statistics. 70, 5, p. 583-618 35 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asomptotic Inference for Nonstationary Garch
Jensen, S. T. & Rahbek, Anders, 2004, In: Econometric Theory. 20, 6, p. 1203-1226Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
Jensen, S. T. & Rahbek, Anders, 2004, In: Econometrica. 72, 2, p. 641-646Research output: Contribution to journal › Journal article › Research › peer-review
- Published
An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2021, Oxford Research Encyclopedia of Economics and Finance. Hamilton, J. H., Dixit, A., Edwards, S. & Judd, K. (eds.). Oxford University PressResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
- Published
Vector equilibrium correction models with non-linear discontinuous adjustments
Bec, F. & Rahbek, Anders, 2004, In: Econometrics Journal. 7, 2, p. 628-651Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, G., Nielsen, Heino Bohn, Pedersen, Rasmus Søndergaard & Rahbek, Anders, Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Fixed Volatility Bootstrap for a Class of ARCH(q) Models
Cavaliere, G., Pedersen, Rasmus Søndergaard & Rahbek, Anders, 5 Aug 2018, In: Journal of Time Series Analysis. 39, 6, p. 920-941Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
Cavaliere, G., de Angelis, L., Rahbek, Anders & Taylor, A. M. R., 2016, In: Econometric Theory. p. 1-34Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR MODELS
Cavaliere, G., Angelis, L. D., Rahbek, Anders & Robert Taylor, A. M., 1 Feb 2015, In: Oxford Bulletin of Economics and Statistics. 77, 1, p. 106-128 23 p.Research output: Contribution to journal › Journal article › Research › peer-review
Selected activities
Network: ETSERN: ETSERN: Econometric Time Series European Research Network - www.etsern.eu - initiated as coordiniator in 2008 - two meetings held - continuing in 2009 + 2010
Rahbek, Anders (Participant)
27 Apr 2009 → …Activity: Other activity types › Other (prizes, external teaching and other activities) - Other
ID: 8883
Most downloads
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3111
downloads
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
Published -
2516
downloads
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
Published -
2499
downloads
Poisson Autoregression
Research output: Working paper › Research
Published