Anders Rahbek : Citation Profile


Are you Anders Rahbek?

Københavns Universitet (90% share)
Aarhus Universitet (10% share)

15

H index

18

i10 index

728

Citations

RESEARCH PRODUCTION:

24

Articles

26

Papers

RESEARCH ACTIVITY:

   18 years (1996 - 2014). See details.
   Cites by year: 40
   Journals where Anders Rahbek has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 16 (2.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra434
   Updated: 2019-10-15    RAS profile: 2014-03-07    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Anders Rahbek.

Is cited by:

Cavaliere, Giuseppe (35)

Johansen, Soren (25)

juselius, katarina (24)

Saikkonen, Pentti (23)

Taylor, Robert (22)

Paruolo, Paolo (22)

Meitz, Mika (17)

Kristensen, Dennis (16)

Trenkler, Carsten (13)

Boswijk, H. Peter (12)

Demetrescu, Matei (12)

Cites to:

Hansen, Bruce (32)

Taylor, Robert (25)

Cavaliere, Giuseppe (23)

Saikkonen, Pentti (17)

Granger, Clive (17)

Johansen, Soren (15)

Kilian, Lutz (14)

Obstfeld, Maurice (13)

Engle, Robert (10)

Goncalves, Silvia (10)

Phillips, Peter (9)

Main data


Where Anders Rahbek has published?


Journals with more than one article published# docs
Econometric Theory6
Journal of Econometrics4
Econometrics Journal3
Oxford Bulletin of Economics and Statistics2
Econometrica2

Working Papers Series with more than one paper published# docs
Discussion Papers / University of Copenhagen. Department of Economics11

Recent works citing Anders Rahbek (2018 and 2017)


YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017Nonlinear models in macroeconometrics. (2017). Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-32.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes. (2017). Wintenberger, Olivier ; Pedersen, Rasmus. In: Papers. RePEc:arx:papers:1701.05091.

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2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2019Stationarity and ergodicity of vector STAR models. (2018). Saikkonen, Pentti ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:1805.11311.

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2018Stochastic model specification in Markov switching vector error correction models. (2018). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529.

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2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2019Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337.

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2018A supreme test for periodic explosive GARCH. (2018). Richter, Stefan ; Wu, Wei Biao ; Wang, Weining. In: Papers. RePEc:arx:papers:1812.03475.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Synthetic learner: model-free inference on treatments over time. (2019). Bradic, Jelena ; Viviano, Davide. In: Papers. RePEc:arx:papers:1904.01490.

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2019Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802.

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2017Explaining Inflation with a Classical Dichotomy Model and Switching Monetary Regimes: Mexico 1932-2013. (2017). Daniel, Garces Diaz . In: Working Papers. RePEc:bdm:wpaper:2017-20.

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2017Bayesian causality test for integer-valued time series models with applications to climate and crime data. (2017). Chen, Cathy W. S. ; Lee, Sangyeol. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:4:p:797-814.

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2017On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. (2017). Cavaliere, Giuseppe ; Rahbek, Anders ; Nielsen, Heino Bohn . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:513-534.

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2017Testing Parameter Change in General Integer-Valued Time Series. (2017). Diop, Mamadou Lamine ; Kengne, William . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:880-894.

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2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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2018On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy. (2018). Conti, Antonio ; Barigozzi, Matteo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:80:y:2018:i:4:p:755-787.

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2017Tests for Structural Changes in Time Series of Counts. (2017). Hudecova, arka ; Meintanis, Simos G ; Hukova, Marie. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:4:p:843-865.

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2017WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706.

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2017FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Eroglu, Burak ; Trokic, Mirza ; Gogebakan, Kemal Caglar. In: Working Papers. RePEc:bli:wpaper:1707.

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2017Money-Multiplier Shocks. (2017). Ireland, Peter ; Benati, Luca. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:933.

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2017The Demand for Divisia Money: Theory and Evidence. (2017). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:937.

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2019Modeling directional (circular) time series. (2019). Thiele, S ; Hurn, S ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1971.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

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2018Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel. (2018). Torres García, Alejandro ; Velasquez, Hermilson ; Posada, Carlos Esteban ; Villca, Alfredo . In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:017008.

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2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1924r.

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2017Variation of household electricity consumption and potential impact of outdoor PM2.5 concentration: A comparison between Singapore and Shanghai. (2017). Dai, Yanjun ; Tong, Yen Wah ; NEOH, KOON GEE ; You, Siming ; Wang, Chi-Hwa. In: Applied Energy. RePEc:eee:appene:v:188:y:2017:i:c:p:475-484.

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2017Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model. (2017). Arvanitis, Stelios ; Louka, Alexandros. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:135-137.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62.

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2017New goodness-of-fit diagnostics for conditional discrete response models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:135-149.

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2018The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:1-17.

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2018The cointegrated vector autoregressive model with general deterministic terms. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:214-229.

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2018Testing for parameter instability in predictive regression models. (2018). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:101-118.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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2019Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:208-237.

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2019A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Chen, Nan ; Yang, Nian. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Binary time series models driven by a latent process. (2017). Fokianos, Konstantinos ; Moysiadis, Theodoros . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130.

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2017Energy demand, substitution and environmental taxation: An econometric analysis of eight subsectors of the Danish economy. (2017). Møller, Niels ; Moller, Niels Framroze. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:97-109.

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2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market. (2018). Stillwagon, Josh ; juselius, katarina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:93-105.

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2019Modelling portfolio capital flows in a global framework: Multilateral implications of capital controls. (2019). Boero, Gianna ; Taylor, Mark P ; Mandalinci, Zeyyad. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:142-160.

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2019Wavelet variance ratio cointegration test and wavestrapping. (2019). Erolu, Burak Alparslan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:298-319.

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2017Cointegrated market-neutral strategy for basket trading. (2017). , Philip ; Lu, Renjie . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:112-124.

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2017Conditional maximum likelihood estimation for a class of observation-driven time series models for count data. (2017). Cui, Yunwei ; Zheng, QI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:123:y:2017:i:c:p:193-201.

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2018On periodic ergodicity of a general periodic mixed Poisson autoregression. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: Statistics & Probability Letters. RePEc:eee:stapro:v:134:y:2018:i:c:p:15-21.

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2019Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model. (2019). Arvanitis, Stelios. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:166-172.

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2019Limit theory for moderate deviation from Integrated GARCH processes. (2019). Tao, Yubo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:126-136.

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2017Improving on daily measures of price discovery. (2017). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet . In: Textos para discussão. RePEc:fgv:eesptd:444.

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2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

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2017Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-95.

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2017International Evidence on Long-Run Money Demand. (2017). Weber, Warren ; Nicolini, Juan Pablo ; Lucas, Robert ; Benati, Luca. In: Working Papers. RePEc:fip:fedmwp:737.

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2017Online Appendix for: International Evidence on Long-Run Money Demand. (2017). Weber, Warren ; Nicolini, Juan Pablo ; Lucas, Robert ; Benati, Luca. In: Working Papers. RePEc:fip:fedmwp:738.

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2017Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597.

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2017Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems. (2017). Paruolo, Paolo ; Boswijk, H. Peter. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:28-:d:103006.

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2017Modeling Real Exchange Rate Persistence in Chile. (2017). Salazar, Leonardo. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:29-:d:103932.

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2017Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032.

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2017Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market. (2017). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:40-:d:110779.

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2017Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models. (2017). Paruolo, Paolo ; Doornik, Jurgen ; Mosconi, Rocco . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:49-:d:119536.

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2018The Relation between Monetary Policy and the Stock Market in Europe. (2018). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:36-:d:162048.

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2018The Stochastic Stationary Root Model. (2018). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046.

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2017On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Krauss, Christopher ; Herrmann, Klaus . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

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2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes. (2017). Pedersen, Rasmus ; Wintenberger, Olivier. In: Post-Print. RePEc:hal:journl:hal-01436267.

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2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes. (2017). Pedersen, Rasmus ; Wintenberger, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01436267.

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2018A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence. (2018). Tarassow, Artur ; Grol, Ingrid . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201504.

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2018A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence. (2018). Tarassow, Artur ; Groessl, Ingrid . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201802.

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2017EUREFE’17 International Conference. (2017). Kuukkaya, Hatice ; Yenpazarli, Asl. In: Turkish Economic Review. RePEc:ksp:journ2:v:4:y:2017:i:3:p:343-344.

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2017Economic freedom and effects on economic growth: A time series analysis for Turkey. (2017). Yenpazarli, Asl. In: Turkish Economic Review. RePEc:ksp:journ2:v:4:y:2017:i:3:p:345-351.

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2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703.

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2017Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina. In: Discussion Papers. RePEc:kud:kuiedp:1707.

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2017A CVAR scenario for a standard monetary model using theory-consistent expectations. (2017). juselius, katarina. In: Discussion Papers. RePEc:kud:kuiedp:1708.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2018Searching for a theory that fits the data: A personal research odyssey. (2018). juselius, katarina. In: Discussion Papers. RePEc:kud:kuiedp:1807.

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2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810.

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2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

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2019A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS. (2019). Cavaliere, Giuseppe ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1903.

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2017Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574.

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2017On periodic ergodicity of a general periodic mixed Poisson autoregression. (2017). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: MPRA Paper. RePEc:pra:mprapa:79650.

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2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos. In: MPRA Paper. RePEc:pra:mprapa:87837.

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2018Count and duration time series with equal conditional stochastic and mean orders. (2018). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:90838.

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2019Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Demetrescu, Matei. In: Working Papers. RePEc:ptu:wpaper:w201906.

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2017Monetary Aggregates and Monetary Policy in Peru. (2017). Lahura, Erick. In: Working Papers. RePEc:rbp:wpaper:2017-003.

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2017International Evidence on Long Run Money Demand. (2017). Weber, Warren ; Nicolini, Juan Pablo ; Lucas, Robert ; Benati, Luca. In: 2017 Meeting Papers. RePEc:red:sed017:1154.

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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Yu, Jun ; Tao, Yubo ; Phillips, Peter. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2017_018.

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2017Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation. (2017). Osarumwense, Osabuohien-Irabor ; Mbegbu, Julian I. In: Romanian Statistical Review. RePEc:rsr:journl:v:65:y:2017:i:3:p:17-34.

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2018Self-exciting jump processes with applications to energy markets. (2018). Eyjolfsson, Heidar ; Tjostheim, Dag. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-016-0591-8.

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2019CUSUM test for general nonlinear integer-valued GARCH models: comparison study. (2019). Lee, Sangyeol. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0676-7.

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2018A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility. (2018). Walle, Yabibal ; Herwartz, Helmut. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0784-5.

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2017Testing the compounding structure of the CP-INARCH model. (2017). Weiss, Christian H ; Lopes, Nazare Mendes ; Gonalves, Esmeralda . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:80:y:2017:i:5:d:10.1007_s00184-017-0617-0.

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2017Wild bootstrap tests for autocorrelation in vector autoregressive models. (2017). Catani, Paul ; Ahlgren, Niklas . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0.

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2018Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. (2018). Lee, Youngmi ; Tjostheim, Dag. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0510-6.

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2018A new bivariate integer-valued GARCH model allowing for negative cross-correlation. (2018). Cui, Yan ; Zhu, Fukang . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:2:d:10.1007_s11749-017-0552-4.

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More than 100 citations found, this list is not complete...

Works by Anders Rahbek:


YearTitleTypeCited
2007Likelihood-Based Inference in Nonlinear Error-Correction Models In: CREATES Research Papers.
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paper2
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
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2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
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2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 55
paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
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This paper has another version. Agregated cites: 55
paper
2009Poisson Autoregression In: CREATES Research Papers.
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paper55
2009Poisson Autoregression.(2009) In: Journal of the American Statistical Association.
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This paper has another version. Agregated cites: 55
article
2008Poisson Autoregression.(2008) In: Discussion Papers.
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paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
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paper35
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has another version. Agregated cites: 35
article
2009An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application In: CREATES Research Papers.
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paper0
2009An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application.(2009) In: Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
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paper4
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
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paper4
2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS.(2013) In: Econometric Theory.
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2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.(2010) In: Discussion Papers.
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paper
2012Unit Root Vector Autoregression with volatility Induced Stationarity In: CREATES Research Papers.
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paper0
2012Unit root vector autoregression with volatility induced stationarity.(2012) In: Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
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paper26
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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This paper has another version. Agregated cites: 26
paper
2012Multivariate Variance Targeting in the BEKK-GARCH Model In: CREATES Research Papers.
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paper22
2012Multivariate Variance Targeting in the BEKK-GARCH Model.(2012) In: Discussion Papers.
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This paper has another version. Agregated cites: 22
paper
2014Multivariate variance targeting in the BEKK–GARCH model.(2014) In: Econometrics Journal.
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This paper has another version. Agregated cites: 22
article
2000 Similarity Issues in Cointegration Analysis. In: Oxford Bulletin of Economics and Statistics.
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article41
2008The ACR Model: A Multivariate Dynamic Mixture Autoregression In: Oxford Bulletin of Economics and Statistics.
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article21
2008The ACR model: a multivariate dynamic mixture autoregression.(2008) In: THEMA Working Papers.
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This paper has another version. Agregated cites: 21
paper
2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
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article9
2005The Autoregressive Conditional Root (ACR) Model In: Working Papers.
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paper4
2004ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH In: Econometric Theory.
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article68
2005ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS In: Econometric Theory.
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article27
2007THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL In: Econometric Theory.
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article15
2007ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS In: Econometric Theory.
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article4
2008Purchasing power parity: A nonlinear multivariate perspective In: Economics Bulletin.
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article1
2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case In: Econometrica.
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article40
2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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article33
2011An I(2) cointegration model with piecewise linear trends In: Econometrics Journal.
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article2
1999Cointegration rank inference with stationary regressors in VAR models In: Econometrics Journal.
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article66
2004Vector equilibrium correction models with non-linear discontinuous adjustments In: Econometrics Journal.
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article27
2010Likelihood-based inference for cointegration with nonlinear error-correction In: Journal of Econometrics.
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article7
1999Trend stationarity in the I(2) cointegration model In: Journal of Econometrics.
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article87
1996Trend-Stationarity in the I(2) Cointegration Model..(1996) In: Discussion Papers.
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This paper has another version. Agregated cites: 87
paper
1999Weak exogeneity in I(2) VAR systems In: Journal of Econometrics.
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article31
2003Likelihood Ratio Testing for Cointegration Ranks in I(2) Models. In: Discussion Papers.
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paper3
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions In: Discussion Papers.
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paper11
2010Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional In: Estudios de Economia Aplicada.
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article0
2009Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers.
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paper0
2002Autoregressive conditional root model In: Economics Papers.
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paper9
2004Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions In: Statistical Inference for Stochastic Processes.
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article6
2011Estimation and Asymptotic Inference in the AR-ARCH Model In: Econometric Reviews.
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article13

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