Anders Rahbek

Anders Rahbek is a professor of econometrics at the University of Copenhagen from where he acquired his PhD degree in 1995. His research interests include multivariate and univariate discrete (and continuous) time series analysis, cointegration analysis in particular. More recently he has moved into the fields of non-linear and financial econometrics with a particular focus on volatility modeling. His publications include journals like Econometrica, Econometrics Journal, Econometric Theory, and Journal of Econometrics.


Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models. / Cavaliere, Giuseppe; Nielsen, Heino Bohn; Rahbek, Anders.

I: Econometrica, Vol. 83, Nr. 2, 2015, s. 813-831.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Nonstationary ARCH and GARCH with t-Distributed Innovations. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

Copenhagen : Økonomisk institut, Københavns Universitet, 2015. (University of Copenhagen. Institute of Economics. Discussion Papers; Nr. 07, Vol. 2015).

Publikation: Forskning › Working paper

Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. / Rahbek, Anders; Cavaliere, Giuseppe; Boswijk, H. Peter; Taylor, Robert.

I: Journal of Econometrics, 20.08.2015.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models. / Cavaliere, Giuseppe; de Angelis, Luca; Rahbek, Anders; Taylor, A. M. Robert.

I: Oxford Bulletin of Economics and Statistics, 15.02.2014.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models. / Cavaliere , G. ; Rahbek, Anders; Taylor, A.M.R. .

I: Econometric Reviews, Vol. 33, Nr. 5–6, 2014, s. 606–650.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Unit Root Vector Autoregression with Volatility induced Stationarity. / Nielsen, Heino Bohn; Rahbek, Anders.

I: Journal of Empirical Finance, Vol. 29, 12.2014, s. 144-167.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Multivariate Variance Targeting in the BEKK-GARCH Model. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

I: Econometrics Journal, Vol. 17, Nr. 1, 2014, s. 24-55.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Bootstrap Determination of the Co-integration Rank in VAR Models with Unrestricted Deterministic Components. / Rahbek, Anders; Cavaliere, Giuseppe; Taylor, A.M. Robert.

I: Journal of Time Series Analysis, Nr. SPECIAL ISSUE, 2014.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. / Boswijk, H. Peter ; Cavaliere, Giuseppe ; Rahbek, Anders; Taylor, A.M. Robert.

Kbh : Økonomisk institut, Københavns Universitet, 2013. (University of Copenhagen. Institute of Economics. Discussion Papers; Nr. 13, Vol. 2013).

Publikation: Forskning › Working paper

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models. / Kristensen, Dennis; Rahbek, Anders.

I: Econometric Theory, Vol. 29, Nr. 6, 2013, s. 1238-1288.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel