Anders Rahbek : Citation Profile

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

18

H index

32

i10 index

1245

Citations

RESEARCH PRODUCTION:

41

Articles

52

Papers

RESEARCH ACTIVITY:

   25 years (1996 - 2021). See details.
   Cites by year: 49
   Journals where Anders Rahbek has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 36 (2.81 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pra434
   Updated: 2026-02-21    RAS profile: 2021-09-13    
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Relations with other researchers

Works with:

Cavaliere, Giuseppe (11)

Lu, Ye (3)

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 (48)

Johansen, Soren (31)

Paruolo, Paolo (27)

juselius, katarina (26)

Saikkonen, Pentti (24)

Francq, Christian (24)

Taylor, Robert (22)

Meitz, Mika (20)

Benati, Luca (19)

Kristensen, Dennis (18)

Zakoian, Jean-Michel (16)

Cites to:

Cavaliere, Giuseppe (48)

Taylor, Robert (38)

Hansen, Bruce (35)

Andrews, Donald (26)

Engle, Robert (23)

Obstfeld, Maurice (19)

Kilian, Lutz (19)

Saikkonen, Pentti (17)

Johansen, Soren (17)

Goncalves, Silvia (17)

Phillips, Peter (16)

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
Journal of Empirical Finance2
Econometric Reviews2
Econometrica2

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 (2025 and 2024)

YearTitle of citing document
2025Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2023). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

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2025Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2025Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2025). Fisher, Zachary F ; Kim, Younghoon ; Pipiras, Vladas. In: Papers. RePEc:arx:papers:2307.10454.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2024Common Trends and Long-Run Identification in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2404.05349.

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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2024A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality. (2024). Cox, Gregory Fletcher. In: Papers. RePEc:arx:papers:2409.09962.

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2025Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572.

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2025VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Sequential Monte Carlo for Noncausal Processes. (2025). Cubadda, Gianluca ; Grassi, Stefano ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2501.03945.

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2025On a new robust method of inference for general time series models. (2025). Wang, Zihan ; Li, Dong ; Qiao, Xinghao ; Tong, Howell. In: Papers. RePEc:arx:papers:2503.08655.

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2025Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations. (2025). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Papers. RePEc:arx:papers:2505.06190.

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2025Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492.

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2025Mixed LR-$C(\alpha)$-type tests for irregular hypotheses, general criterion functions and misspecified models. (2025). Tuvaandorj, Purevdorj ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2510.17070.

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2024Penalisation Methods in Fitting High‐Dimensional Cointegrated Vector Autoregressive Models: A Review. (2024). Ditlevsen, Susanne ; Levakova, Marie. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:2:p:160-193.

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2024Count network autoregression. (2024). Armillotta, Mirko ; Fokianos, Konstantinos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:584-612.

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2024Interest rate, price level, and the inflation rate: Evidence from the UK during the gold standard regimes. (2024). Choudhry, Taufiq. In: Manchester School. RePEc:bla:manchs:v:92:y:2024:i:1:p:20-39.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402.

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2024Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions. (2024). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2103.

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2026Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter. (2026). Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd ; Lucas, Andr. In: Working Paper Series. RePEc:ecb:ecbwps:20263166.

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2024Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962.

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2024Electronic payments and money demand in China. (2024). Wen, Min ; Hwang, Jen-Te. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:47-64.

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2025A new class of Z-valued INAR(1) models with application to mutual fund flows. (2025). Kang, Yao ; Zhang, Yuqing ; Wang, Shuhui ; Zhao, Zhiwen. In: Economics Letters. RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001764.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Beutner, Eric ; Heinemann, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024The validity of bootstrap testing for threshold autoregression. (2024). Giannerini, Simone ; Goracci, Greta ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623000040.

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2024Modelling circular time series. (2024). Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen ; Palumbo, Dario. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach. (2025). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000569.

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2025Time-varying vector error-correction models: Estimation and inference. (2025). Yan, Yayi ; GAO, Jiti ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000892.

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2024Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116.

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2025Inference in mixed causal and noncausal models with generalized Student’s t-distributions. (2025). Hecq, Alain ; Giancaterini, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:1-12.

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2025Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR). (2025). Semmler, Willi ; Chen, PU ; Maurer, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:105-134.

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2024A maximum entropy bootstrap approach to financial development and economic growth in China. (2024). McFarlane, Adian ; Feng, Hui ; Xu, Jingjing ; Tian, Renfang. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:4:s0939362524000414.

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2024Discrete forecast reconciliation. (2024). Kang, Yanfei ; Zhang, Bohan ; Panagiotelis, Anastasios. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:1:p:143-153.

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2024Testing rational expectations in a cointegrated VAR with structural change. (2024). Marçal, Emerson ; Maral, Emerson Fernandes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003673.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2024Properties of the reconciled distributions for Gaussian and count forecasts. (2024). Giudici, Paolo ; Zambon, Lorenzo ; Corani, Giorgio ; Agosto, Arianna. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1438-1448.

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2025Stock return predictability in the frequency domain. (2025). Xue, Bowen ; Kang, Jie ; Jiang, Fuwei ; Dai, Zhifeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1126-1147.

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2024Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM. (2024). Semmler, Willi ; Chen, PU. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:220:y:2024:i:c:p:433-452.

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2025The return of return dominance: Decomposing the cross-section of prices. (2025). Myers, Sean ; Han, Xiao ; Delao, Ricardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:169:y:2025:i:c:s0304405x25000674.

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2024Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454.

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2024On higher-order moments of INGARCH processes. (2024). Weiss, Christian H. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001676.

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2024Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil. (2024). Marçal, Emerson ; Simes, Oscar Rodrigues ; Maral, Emerson. In: Textos para discussão. RePEc:fgv:eesptd:571.

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2025VAR Models with an Index Structure: A Survey with New Results. (2025). Cubadda, Gianluca. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:4:p:40-:d:1777016.

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2025Modelling the dependence between recent changes in polar ice sheets: Implications for global sea-level projections. (2025). Martinez, Andrew ; Jackson, Luke P ; Pretis, Felix ; Juselius, Katarina. In: Working Papers. RePEc:gwc:wpaper:2025-002.

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2025Too risky to hedge: An experiment on narrow bracketing. (2025). Zheng, Jiakun ; Zhou, Ling. In: Post-Print. RePEc:hal:journl:hal-05063379.

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2025Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2025). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0446.

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2025Analyzing Stationarity in World Coffee Prices. (2025). Gil-Alana, Luis ; Komatsu, Flores C. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10630-4.

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2025Supply Constraints and Search Equilibrium in Office Markets. (2025). Michelle, Lok Man ; Marcato, Gianluca. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:70:y:2025:i:2:d:10.1007_s11146-023-09955-y.

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2025How important is the home market for cross - listed biotech companies?. (2025). Panagiotidis, Theodore ; Tsiokas, Pavlos. In: Discussion Paper Series. RePEc:mcd:mcddps:2025_04.

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2024Volatility models versus intensity models: analogy and differences. (2024). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:122528.

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2025VAR Models With An Index Structure: A Survey With New Results. (2025). Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:611.

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2024To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory. (2024). Johansson, Dan ; Henrekson, Magnus ; Karlsson, Johan. In: Entrepreneurship Theory and Practice. RePEc:sae:entthe:v:48:y:2024:i:1:p:104-140.

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2024Conditional sum of squares estimation of k-factor GARMA models. (2024). Beaumont, Paul ; Smallwood, Aaron D. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:108:y:2024:i:3:d:10.1007_s10182-023-00482-y.

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2025The impact of geopolitical risk on food prices: evidence from the TVP-SV-VAR model. (2025). Xu, Zhenwei ; Liu, Qiang. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:49:y:2025:i:2:d:10.1007_s12197-025-09710-4.

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2025Variable selection in sparse multivariate GLARMA models: application to germination control by environment. (2025). Sansonnet, Laure ; Ouadah, Sarah ; Lvy-Leduc, Cline ; Gomtsyan, Marina ; Rajjou, Loc ; Bailly, Christophe. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:2:d:10.1007_s10260-025-00786-0.

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2024Learning CHARME models with neural networks. (2024). Gmez-Garca, Jos G ; Fadili, Jalal ; Chesneau, Christophe. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:3:d:10.1007_s00362-023-01442-z.

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2024Specifications tests for count time series models with covariates. (2024). Meintanis, Simos G ; Hukov, Marie ; Hudecov, Rka. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00933-x.

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2024Marginal analysis of count time series in the presence of missing observations. (2024). Nik, Simon. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00938-6.

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2024Bootstrapping GARCH Models Under Dependent Innovations. (2024). Schaumburg, Julia ; Beutner, Eric ; Spanjers, Barend. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240008.

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2024Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2024). Lucas, Andre ; D'Innocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240069.

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2025Copula tensor count autoregressions for modeling multidimensional integer-valued time series. (2025). Armillotta, Mirko ; Gorgi, Paolo ; Lucas, Andrae. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250004.

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2024Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions. (2024). Spagnolo, Nicola ; Sola, Martin ; Psaradakis, Zacharias ; Yunis, Patricio ; Rapetti, Francisco. In: Department of Economics Working Papers. RePEc:udt:wpecon:2024_02.

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2024Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04.

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2024Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Bruns, Martin. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-06.

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2025A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”. (2025). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Econometrica. RePEc:wly:emetrp:v:93:y:2025:i:2:p:719-729.

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Works by Anders Rahbek:

YearTitleTypeCited
2007Likelihood-Based Inference in Nonlinear Error-Correction Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper71
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 71		article
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
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This paper has nother version. Agregated cites: 71		paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
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This paper has nother version. Agregated cites: 71		paper
2009Poisson Autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper125
2009Poisson Autoregression.(2009) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 125		article
2008Poisson Autoregression.(2008) In: Discussion Papers.
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This paper has nother version. Agregated cites: 125		paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has nother version. Agregated cites: 48		article
2009An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application In: CREATES Research Papers.
[Full Text][Citation analysis]		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 nother version. Agregated cites: 0		paper
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
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This paper has nother version. Agregated cites: 4		paper
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS.(2013) In: Econometric Theory.
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This paper has nother version. Agregated cites: 11		article
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.(2010) In: Discussion Papers.
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This paper has nother version. Agregated cites: 11		paper
2012Unit Root Vector Autoregression with volatility Induced Stationarity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2014Unit root vector autoregression with volatility induced stationarity.(2014) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 16		article
2012Unit root vector autoregression with volatility induced stationarity.(2012) In: Discussion Papers.
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This paper has nother version. Agregated cites: 16		paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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This paper has nother version. Agregated cites: 30		paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 30		article
2012Multivariate Variance Targeting in the BEKK-GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper42
2012Multivariate Variance Targeting in the BEKK-GARCH Model.(2012) In: Discussion Papers.
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This paper has nother version. Agregated cites: 42		paper
2014Multivariate variance targeting in the BEKK–GARCH model.(2014) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 42		article
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper33
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 33		article
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.(2017) In: Discussion Papers.
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2015Recent developments in bootstrap methods for dependent data.(2015) In: Journal of Time Series Analysis.
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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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2007THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 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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2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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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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1996Trend-Stationarity in the I(2) Cointegration Model..(1996) In: Discussion Papers.
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2009Co-integration rank tests under conditional heteroskedasticity In: Discussion 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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2019The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes In: Working Papers Series.
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