Anders Rahbek

Anders Rahbek

Professor

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

    1. 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. 1-48

      Research output: Contribution to journalJournal articlepeer-review

    2. 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. 55-67

      Research output: Contribution to journalJournal articlepeer-review

    3. Published

      Testing in GARCH-X Type Models

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047

      Research output: Contribution to journalJournal articlepeer-review

    4. 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. 640–663

      Research output: Contribution to journalJournal articlepeer-review

    5. 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. 64-85

      Research output: Contribution to journalJournal articlepeer-review

    6. 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. 813-831

      Research output: Contribution to journalJournal articlepeer-review

    7. 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. 1721-1740

      Research output: Contribution to journalJournal articlepeer-review

    8. 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 journalJournal articlepeer-review

    9. Published

      Unit Root Vector Autoregression with Volatility induced Stationarity

      Nielsen, Heino Bohn & Rahbek, Anders, Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167

      Research output: Contribution to journalJournal articlepeer-review

    10. 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 journalJournal articlepeer-review

    11. 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. 513–534

      Research output: Contribution to journalJournal articlepeer-review

    12. 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 journalJournal articlepeer-review

    13. 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 journalJournal articlepeer-review

    14. 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 journalJournal articlepeer-review

    15. Published

      Asomptotic Inference for Nonstationary Garch

      Jensen, S. T. & Rahbek, Anders, 2004, In: Econometric Theory. 20, 6, p. 1203-1226

      Research output: Contribution to journalJournal articlepeer-review

    16. Published

      Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

      Jensen, S. T. & Rahbek, Anders, 2004, In: Econometrica. 72, 2, p. 641-646

      Research output: Contribution to journalJournal articlepeer-review

    17. 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 Press

      Research output: Chapter in Book/Report/Conference proceedingBook chapterResearchpeer-review

    18. Published

      Vector equilibrium correction models with non-linear discontinuous adjustments

      Bec, F. & Rahbek, Anders, 2004, In: Econometrics Journal. 7, 2, p. 628-651

      Research output: Contribution to journalJournal articlepeer-review

    19. 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. 241-263

      Research output: Contribution to journalJournal articlepeer-review

    20. 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. 920-941

      Research output: Contribution to journalJournal articlepeer-review

    21. 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. 1-34

      Research output: Contribution to journalJournal articlepeer-review

    22. 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 journalJournal articlepeer-review

    Selected activities

    1. 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 typesOther (prizes, external teaching and other activities) - Other

    ID: 8883