Anders Rahbek : Citation Profile


Are you Anders Rahbek?

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

16

H index

22

i10 index

905

Citations

RESEARCH PRODUCTION:

41

Articles

52

Papers

RESEARCH ACTIVITY:

   25 years (1996 - 2021). See details.
   Cites by year: 36
   Journals where Anders Rahbek has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 34 (3.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra434
   Updated: 2022-01-15    RAS profile: 2021-09-13    
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Relations with other researchers


Works with:

Cavaliere, Giuseppe (20)

Johansen, Soren (5)

Taylor, Robert (3)

Lu, Ye (3)

De Angelis, Luca (2)

Boswijk, H. Peter (2)

Tabor, Morten (2)

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

Is cited by:

Johansen, Soren (30)

juselius, katarina (25)

Paruolo, Paolo (25)

Saikkonen, Pentti (24)

Meitz, Mika (20)

Cavaliere, Giuseppe (17)

Francq, Christian (17)

Trenkler, Carsten (15)

Taylor, Robert (15)

Benati, Luca (14)

Kristensen, Dennis (14)

Cites to:

Cavaliere, Giuseppe (46)

Taylor, Robert (36)

Hansen, Bruce (35)

Andrews, Donald (26)

Kilian, Lutz (19)

Granger, Clive (18)

Saikkonen, Pentti (17)

Goncalves, Silvia (16)

Engle, Robert (15)

Kristensen, Dennis (15)

Johansen, Soren (14)

Main data


Where Anders Rahbek has published?


Journals with more than one article published# docs
Econometric Theory8
Journal of Econometrics6
Journal of Time Series Analysis5
Oxford Bulletin of Economics and Statistics3
Econometrics Journal3
Econometrica2
Journal of Empirical Finance2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Discussion Papers / University of Copenhagen. Department of Economics21
Papers / arXiv.org4
Quaderni di Dipartimento / Department of Statistics, University of Bologna3
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Working Papers Series / Institute for New Economic Thinking2

Recent works citing Anders Rahbek (2021 and 2020)


YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2020Time 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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2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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2021Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2021New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2020Spectral Targeting Estimation of $\lambda$-GARCH models. (2020). Hetland, Simon. In: Papers. RePEc:arx:papers:2007.02588.

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2021Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Papers. RePEc:arx:papers:2007.02726.

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2021Nonparametric prediction with spatial data. (2020). Hidalgo, Javier ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.04269.

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2020Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888.

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2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894.

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2020On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models. (2020). Li, Dong ; Gong, Huan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:883-891.

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2020Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales. (2020). Choudhry, Taufiq. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:2:p:504-529.

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2021Variable Selection in Regression Models Using Global Sensitivity Analysis. (2021). Paruolo, Paolo ; Andrea, Saltelli ; William, Becker. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:2:p:187-233:n:5.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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2020Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

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2021What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_003.

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2020A cointegration model of money and wealth. (2020). Assenmacher, Katrin ; Beyer, Andreas. In: Working Paper Series. RePEc:ecb:ecbwps:20202365.

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2022Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559.

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2020Testing linear relationships between non-constant variances of economic variables. (2020). RAÏSSI, HAMDI ; Raissi, Hamdi ; Hirukawa, Junichi. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:182-189.

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2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

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2020A multicointegration model of global climate change. (2020). Stern, David ; Csereklyei, Zsuzsanna ; Bruns, Stephan B. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:175-197.

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2020Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions. (2020). Pretis, Felix. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:256-273.

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2020Inference in heavy-tailed vector error correction models. (2020). Ling, Shiqing ; Qingling, Shi ; She, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:433-450.

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2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

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2020Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267.

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2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

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2020Stationary bubble equilibria in rational expectation models. (2020). Monfort, Alain ; Jasiak, J ; Gourieroux, C. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:714-735.

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2021Hierarchical Markov-switching models for multivariate integer-valued time-series. (2021). di Mari, Roberto ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:118-137.

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2021Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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2021Exogeneity in climate econometrics. (2021). Pretis, Felix. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s014098832100027x.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2021The energy transition, Trump energy agenda and COVID-19. (2021). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Errami, Youssef ; Hammoudeh, Shawkat. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:140-153.

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2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

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2021Semiparametric time series models driven by latent factor. (2021). Ombao, Hernando ; de Souza, Fernando ; Barreto-Souza, Wagner ; de Oliveira, Gisele. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1463-1479.

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2021Currency returns and downside risk: Debt, volatility, and the gap from benchmark values. (2021). Stillwagon, Josh ; Goldberg, Michael D ; Cavusoglu, Nevin. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:68:y:2021:i:c:s0164070421000161.

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2020Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data. (2020). Kurita, Takamitsu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19300910.

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2020Money velocity and the natural rate of interest. (2020). Benati, Luca. In: Journal of Monetary Economics. RePEc:eee:moneco:v:116:y:2020:i:c:p:117-134.

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2021International evidence on long-run money demand. (2021). Lucas, Robert ; Benati, Luca ; Weber, Warren ; Nicolini, Juan Pablo. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:43-63.

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2021Count regression models for COVID-19. (2021). Chu, Jeffrey ; Chan, Stephen ; Nadarajah, Saralees ; Zhang, Yuanyuan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307743.

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2020The empirical properties of euro area M3, 1980-2017. (2020). Carcel, Hector ; Villanova, Hector Carcel ; Jung, Alexander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:37-49.

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2020An empirical analysis of loan supply and demand in the euro area. (2020). Jung, Alexander. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:187-201.

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2021A note on the stability of multivariate non-linear time series with an application to time series of counts. (2021). Truquet, Lionel ; Debaly, Zinsou Max. In: Statistics & Probability Letters. RePEc:eee:stapro:v:179:y:2021:i:c:s0167715221001589.

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2021Searching for Hysteresis. (2021). Benati, Luca ; Lubik, Thomas A. In: Working Paper. RePEc:fip:fedrwp:90443.

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2020A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. (2020). de Matos, Patrick ; Matuschek, Lukas ; Bauer, Dietmar ; Wagner, Martin. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:4:p:42-:d:442543.

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2021Goodness-of-Fit Tests for Bivariate Time Series of Counts. (2021). Meintanis, Simos G ; Hukova, Marie ; Hudecova, Arka. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:10-:d:510257.

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2021Searching for a Theory That Fits the Data: A Personal Research Odyssey. (2021). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:5-:d:490756.

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2021Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models. (2021). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Pauwels, Laurent. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:21-:d:548851.

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2021.

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2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics. (2020). Giudici, Paolo ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:77-:d:385126.

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2020Singular conditional autoregressive Wishart model for realized covariance matrices. (2020). Tyrcha, Joanna ; Javed, Farrukh ; Bodnar, Taras ; Alfelt, Gustav. In: Working Papers. RePEc:hhs:oruesi:2021_001.

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2021What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: Working Papers. RePEc:inn:wpaper:2021-05.

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2020Real Time Forecasting of Covid-19 Intensive Care Units demand. (2020). Verzillo, Stefano ; Paruolo, Paolo ; Lovaglio, Pietro Giorgio ; Berta, Paolo. In: Working Papers. RePEc:jrs:wpaper:202008.

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2021Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2013.

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2020Analyzing the Causal Relationships between Economic Growth, Income Inequality, and Transmission Channels: New Empirical Evidences from Iran. (2020). Hajamini, Mehdi. In: Journal of Money and Economy. RePEc:mbr:jmonec:v:15:y:2020:i:3:p:313-342.

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2020Multivariate cointegration and temporal aggregation: some further simulation results. (2020). Papapanagiotou, Georgios ; Panagiotidis, Theodore ; Otero, Jesus. In: Discussion Paper Series. RePEc:mcd:mcddps:2020_05.

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2020Determining the rank of cointegration with infinite variance. (2020). Trapani, Lorenzo ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Discussion Papers. RePEc:not:notgts:20/01.

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2020A Poisson autoregressive model to understand COVID-19 contagion dynamics. (2020). Giudici, Paolo ; Agosto, Arianna. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0185.

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2020Forecasting transaction counts with integer-valued GARCH models. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:101779.

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2020Stationarity and ergodicity of Markov switching positive conditional mean models. (2020). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:102503.

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2020On an integer-valued stochastic intensity model for time series of counts. (2020). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:105406.

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2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

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2021Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Working Paper series. RePEc:rim:rimwps:20-23.

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2021Structural breaks in cointegration models. (2021). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0429.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:510.

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2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Working Papers. RePEc:sep:wpaper:3_234.

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2020Robust estimation for general integer-valued time series models. (2020). Lee, Sangyeol ; Kim, Byungsoo. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:6:d:10.1007_s10463-019-00728-0.

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2020Flexible bivariate Poisson integer-valued GARCH model. (2020). Zhu, Fukang ; Li, QI ; Cui, Yan. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:6:d:10.1007_s10463-019-00732-4.

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2020Self-excited hysteretic negative binomial autoregression. (2020). Liu, Mengya ; Zhu, Fukang. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:3:d:10.1007_s10182-019-00360-6.

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2021Random coefficients integer-valued threshold autoregressive processes driven by logistic regression. (2021). Zhang, Chenhui ; Wang, Dehui ; Li, Han ; Yang, Kai. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:105:y:2021:i:4:d:10.1007_s10182-020-00379-0.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Karanasos, M ; Christopoulos, A ; Yfanti, S. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2020COVID-19 contagion and digital finance. (2020). Agosto, Arianna ; Giudici, Paolo. In: Digital Finance. RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00021-3.

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2021On cointegration and cryptocurrency dynamics. (2021). Keilbar, Georg ; Zhang, Yanfen. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:1:d:10.1007_s42521-021-00027-5.

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2021Nonlinear models of the Phillips curve. (2021). Cristini, Annalisa ; Ferri, Piero. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:31:y:2021:i:4:d:10.1007_s00191-021-00736-5.

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2021Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach. (2021). Yang, Kai ; Wang, Dehui. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:84:y:2021:i:5:d:10.1007_s00184-020-00799-7.

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2021On robust estimation of negative binomial INARCH models. (2021). Fried, Roland ; Elsaied, Hanan . In: METRON. RePEc:spr:metron:v:79:y:2021:i:2:d:10.1007_s40300-021-00207-8.

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2020A generalized mixture integer-valued GARCH model. (2020). Cui, Yan ; Zhu, Fukang ; Mao, Huiyu. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:3:d:10.1007_s10260-019-00498-2.

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2021Financial contagion through space-time point processes. (2021). Agosto, Arianna ; Chiodi, Marcello ; Adelfio, Giada ; Giudici, Paolo. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00538-2.

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2020Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure. (2020). Zhang, Haixiang ; Wang, Dehui. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0938-0.

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2020Mean targeting estimator for the integer-valued GARCH(1, 1) model. (2020). Li, QI ; Zhu, Fukang. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0958-9.

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2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

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2020A New Class of Robust Observation-Driven Models. (2020). Francq, Christian ; Blasques, Francisco ; Laurent, Sebastien. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200073.

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2020Money Velocity and the Natural Rate of Interest. (2020). Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2022.

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2021The Welfare Costs of Inflation. (2021). Nicolini, Juan-Pablo ; Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2113.

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2020Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors.. (2020). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202006.

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2021Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108.

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2020Networks in risk spillovers: A multivariate GARCH perspective. (2020). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo ; Caporin, Massimiliano. In: Working Papers. RePEc:ven:wpaper:2020:16.

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2020Inference Under Random Limit Bootstrap Measures. (2020). Cavaliere, Giuseppe ; Georgiev, Iliyan. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:6:p:2547-2574.

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2020Real Time Forecasting of Covid-19 Intensive Care Units demand. (2020). Verzillo, S ; Paruolo, P ; Lovaglio, P G ; Berta, P. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:20/16.

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2020A supreme test for periodic explosive GARCH. (2020). Wang, Weining ; Wu, Wei Biao ; Richter, Stefan. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020018.

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2020Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing. (2020). Wang, Weining ; Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020020.

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Works by Anders Rahbek:


YearTitleTypeCited
2007Likelihood-Based Inference in Nonlinear Error-Correction Models In: CREATES Research Papers.
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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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2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
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2009Poisson Autoregression In: CREATES Research Papers.
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2009Poisson Autoregression.(2009) In: Journal of the American Statistical Association.
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2008Poisson Autoregression.(2008) In: Discussion Papers.
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2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
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2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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2009An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application In: CREATES Research Papers.
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2009An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application.(2009) In: Discussion Papers.
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2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
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2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
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2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
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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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2012Unit Root Vector Autoregression with volatility Induced Stationarity In: CREATES Research Papers.
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2014Unit root vector autoregression with volatility induced stationarity.(2014) In: Journal of Empirical Finance.
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2012Unit root vector autoregression with volatility induced stationarity.(2012) In: Discussion Papers.
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2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
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2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
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2012Multivariate Variance Targeting in the BEKK-GARCH Model In: CREATES Research Papers.
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2012Multivariate Variance Targeting in the BEKK-GARCH Model.(2012) In: Discussion Papers.
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2014Multivariate variance targeting in the BEKK–GARCH model.(2014) In: Econometrics Journal.
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2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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2015Nonstationary ARCH and GARCH with t-distributed Innovations In: CREATES Research Papers.
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2015Nonstationary ARCH and GARCH with t-Distributed Innovations.(2015) In: Discussion Papers.
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2017The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment In: CREATES Research Papers.
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2017THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT.(2017) In: Discussion Papers.
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2017The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment.(2017) In: Working Papers Series.
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2021Bootstrapping Non-Stationary Stochastic Volatility In: Papers.
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2021Bootstrapping non-stationary stochastic volatility.(2021) In: Journal of Econometrics.
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2019Bootstrapping Non-Stationary Stochastic Volatility.(2019) In: Tinbergen Institute Discussion Papers.
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2021Bootstrap Inference for Hawkes and General Point Processes In: Papers.
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2021Bootstrap inference for Hawkes and general point processes.(2021) In: Discussion Papers.
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2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES.(2021) In: Working Papers.
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2021Specification tests for GARCH processes In: Papers.
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2021Specification tests for GARCH processes.(2021) In: Discussion Papers.
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2021MinP Score Tests with an Inequality Constrained Parameter Space In: Papers.
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2002Approximate Conditional Unit Root Inference In: Journal of Time Series Analysis.
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2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
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2015Recent developments in bootstrap methods for dependent data.(2015) In: Journal of Time Series Analysis.
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2017On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space In: Journal of Time Series Analysis.
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2016On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space.(2016) In: Quaderni di Dipartimento.
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2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models In: Journal of Time Series Analysis.
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2000Similarity Issues in Cointegration Analysis In: Oxford Bulletin of Economics and Statistics.
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2008The ACR Model: A Multivariate Dynamic Mixture Autoregression* In: Oxford Bulletin of Economics and Statistics.
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2008The ACR model: a multivariate dynamic mixture autoregression.(2008) In: THEMA Working Papers.
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2015A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models In: Oxford Bulletin of Economics and Statistics.
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2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
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2001Asymptotic Likelihood Based Inference for Co?integrated Homogenous Gaussian Diffusions In: Scandinavian Journal of Statistics.
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2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
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2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
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2005The Autoregressive Conditional Root (ACR) Model In: Working Papers.
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2004ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH In: Econometric Theory.
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2005ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS In: Econometric Theory.
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2007THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL In: Econometric Theory.
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2007ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS In: Econometric Theory.
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2018DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory.
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2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers.
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2019TESTING GARCH-X TYPE MODELS In: Econometric Theory.
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2017TESTING GARCH-X TYPE MODELS.(2017) In: Discussion Papers.
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2008Purchasing power parity: A nonlinear multivariate perspective In: Economics Bulletin.
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2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case In: Econometrica.
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2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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2011An I(2) cointegration model with piecewise linear trends In: Econometrics Journal.
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1999Cointegration rank inference with stationary regressors in VAR models In: Econometrics Journal.
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2004Vector equilibrium correction models with non-linear discontinuous adjustments In: Econometrics Journal.
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2016Nonstationary GARCH with t-distributed innovations In: Economics Letters.
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2010Likelihood-based inference for cointegration with nonlinear error-correction In: Journal of Econometrics.
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2016Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics.
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2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers.
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2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers.
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1999Trend stationarity in the I(2) cointegration model In: Journal of Econometrics.
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1996Trend-Stationarity in the I(2) Cointegration Model..(1996) In: Discussion Papers.
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1999Weak exogeneity in I(2) VAR systems In: Journal of Econometrics.
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2003Likelihood Ratio Testing for Cointegration Ranks in I(2) Models. In: Discussion Papers.
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2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS In: Discussion Papers.
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2019The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes In: Discussion Papers.
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2020The Wealth of Parents: Trends over Time in Assortative Mating Based on Parental Wealth In: Discussion Papers.
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2019Dynamic Conditional Eigenvalue GARCH In: Discussion Papers.
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2020What Is Real and What Is Not in the Global FDI Network? In: Discussion Papers.
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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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2009Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers.
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2002Autoregressive conditional root model In: Economics Papers.
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2004Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions In: Statistical Inference for Stochastic Processes.
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2011Estimation and Asymptotic Inference in the AR-ARCH Model In: Econometric Reviews.
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2020Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling In: Journal of Business & Economic Statistics.
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2019The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes In: Working Papers Series.
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2015Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models In: Econometrica.
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