Anders Rahbek : Citation Profile

Are you Anders Rahbek?

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

17

H index

27

i10 index

1116

Citations

RESEARCH PRODUCTION:

39

Articles

52

Papers

RESEARCH ACTIVITY:

   25 years (1996 - 2021). See details.
   Cites by year: 44
   Journals where Anders Rahbek has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 36 (3.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pra434
   Updated: 2024-12-03    RAS profile: 2021-09-13    
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Relations with other researchers

Works with:

Cavaliere, Giuseppe (12)

Lu, Ye (3)

Johansen, Soren (2)

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 (41)

Johansen, Soren (31)

Paruolo, Paolo (26)

juselius, katarina (26)

Saikkonen, Pentti (24)

Francq, Christian (23)

Taylor, Robert (21)

Meitz, Mika (20)

Kristensen, Dennis (18)

Trenkler, Carsten (16)

Bec, Frédérique (16)

Cites to:

Cavaliere, Giuseppe (48)

Taylor, Robert (38)

Hansen, Bruce (35)

Andrews, Donald (26)

Engle, Robert (23)

Kilian, Lutz (19)

Obstfeld, Maurice (18)

Goncalves, Silvia (17)

Saikkonen, Pentti (17)

Johansen, Soren (17)

Kristensen, Dennis (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

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
Working Papers Series / Institute for New Economic Thinking2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Anders Rahbek (2024 and 2023)

YearTitle of citing document
2023A 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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2023Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2019). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

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2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692.

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2023Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary. (2023). Rahbek, Anders ; Nielsen, Heino Bohn. In: Papers. RePEc:arx:papers:2302.02867.

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2023Artificial neural networks and time series of counts: A class of nonlinear INGARCH models. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2304.01025.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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2023Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779.

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2024Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Common Trends and Long-Run Multipliers 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 ; Trapani, Lorenzo ; Horvath, Lajos. 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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2023Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Modeling and inference for multivariate time series of counts based on the INGARCH scheme. (2023). Kim, Byungsoo ; Lee, Sangyeol. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001591.

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2023Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555.

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2023Bayesian modeling of spatial integer-valued time series. (2023). Hsiung, Mo-Hua ; Chen, Chun-Shu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:188:y:2023:i:c:s016794732300138x.

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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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2023Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759.

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2023Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275.

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2023Synthetic Learner: Model-free inference on treatments over time. (2023). Bradic, Jelena ; Viviano, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:691-713.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2023GARCH density and functional forecasts. (2023). Paruolo, Paolo ; Luati, Alessandra ; Abadir, Karim M. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:470-483.

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2023Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141.

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2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

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2023Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects. (2023). Koopman, Siem Jan ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. 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 ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. 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 ; Rahbek, Anders ; Goracci, Greta. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623000040.

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

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328.

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2023Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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2023Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x.

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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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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 M ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454.

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2023iETS: State space model for intermittent demand forecasting. (2023). Boylan, John E ; Svetunkov, Ivan. In: International Journal of Production Economics. RePEc:eee:proeco:v:265:y:2023:i:c:s0925527323002451.

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2023Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317.

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2023Fluctuations and precise deviations of cumulative INAR time series. (2023). Torrisi, Giovanni Luca ; Kirchner, Matthias. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:1-32.

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2023.

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2023.

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2023To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory. (2022). Karlsson, Johan ; Johansson, Dan ; Henrekson, Magnus. In: Working Paper Series. RePEc:hhs:iuiwop:1441.

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2023Modeling extreme events:time-varying extreme tail shape. (2023). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0399.

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2023Long run non-linearity in $$\hbox {CO}_2$$ CO 2 emissions: the I(2) cointegration model and the environmental Kuznets curve. (2023). Kivedal, Bjornar Karlsen. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:4:d:10.1007_s10663-023-09587-8.

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2023Testing for parameter change epochs in GARCH time series. (2023). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:3:p:467-491..

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2023The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556.

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

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2023Global linear convergence of evolution strategies with recombination on scaling-invariant functions. (2023). Hansen, Nikolaus ; Auger, Anne ; Toure, Cheikh. In: Journal of Global Optimization. RePEc:spr:jglopt:v:86:y:2023:i:1:d:10.1007_s10898-022-01249-6.

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2023A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5.

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2023On bivariate threshold Poisson integer-valued autoregressive processes. (2023). Wang, Dehui ; Li, Han ; Zhao, Yiwei ; Yang, Kai. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00899-0.

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2023On consistency for time series model selection. (2023). Kengne, William. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09284-6.

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2023Consistency and asymptotic normality in a class of nearly unstable processes. (2023). Proia, Frederic ; Badreau, Marie. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:3:d:10.1007_s11203-023-09290-2.

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2023Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations. (2023). Shintani, Mototsugu ; Kurita, Takamitsu. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1216.

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2023Short T dynamic panel data models with individual, time and interactive effects. (2023). Pesaran, Mohammad ; Hayakawa, Kazuhiko ; Smith, Vanessa L. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:6:p:940-967.

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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]		paper66
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: 66		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: 66		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: 66		paper
2009Poisson Autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper117
2009Poisson Autoregression.(2009) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 117		article
2008Poisson Autoregression.(2008) In: Discussion Papers.
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2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper46
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has nother version. Agregated cites: 46		article
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.
[Full Text][Citation analysis]		paper16
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.
[Full Text][Citation analysis]		paper30
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.
[Full Text][Citation analysis]		paper42
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.
[Full Text][Citation analysis]		paper29
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: 29		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 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.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]		article1
2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
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.
[Full Text][Citation analysis]		article46
2008The ACR Model: A Multivariate Dynamic Mixture Autoregression* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article32
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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2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper9
2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article9
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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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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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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