← All authors Anders Rahbek University of Copenhagen (from arXiv:2302.02867, 2023) · ORCID · OpenAlex
60 papers in scope · 54 published · 5 on the econ.EM arXiv · 2,593 citations · h-index 27 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Iliyan Georgiev Yang Zu H. Peter Boswijk Giuseppe Cavaliere Jun Yu Alessandro Casini Pierre Perrón Torben G. Andersen Viktor Todorov Bo Zhou Ayush Jha Luca Fanelli Giovanni Angelini Taosong Deng Vadim Gorin Anna Bykhovskaya Christis Katsouris Arkadiusz Szydłowski Marco Mazzali Mikkel Bennedsen Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (8 of 60)
Confidence Intervals for Price Discovery
published 2026 · Oxford Bulletin of Economics and Statistics · 1 citations
working paper 2025 · arXiv
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”
published 2025 · Econometrica · 1 citations
Testing in GARCH‐X models: boundary, correlations and bootstrap theory
published 2024 · Journal of Time Series Analysis · 1 citations
Tail behavior of ACD models and consequences for likelihood-based estimation
published 2023 · Journal of Econometrics · 4 citations
Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
published 2023 · Econometrics Journal · 5 citations
working paper 2023 · arXiv
working paper 2023 · arXiv
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
published 2023 · Journal of Business and Economic Statistics · 4 citations
The validity of bootstrap testing for threshold autoregression
published 2023 · Journal of Econometrics · 17 citations
working paper 2022 · arXiv
published 2022 · Journal of Econometrics · 11 citations · first circulated 2021
working paper 2021 · arXiv
working paper 2021 · arXiv · 1 citations
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
published 2020 · Journal of Econometrics · 27 citations · first circulated 2018
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS
published 2020 · Econometric Theory · 9 citations · first circulated 2019
Dynamic Conditional Eigenvalue GARCH
published 2019 · Journal of Econometrics · 8 citations
published 2019 · Journal of Econometrics · 1 citations
TESTING GARCH-X TYPE MODELS
published 2018 · Econometric Theory · 28 citations · first circulated 2017
with Rasmus Søndergaard Pedersen, Rasmus Soendergaard Pedersen
The Fixed Volatility Bootstrap for a Class of Arch( q ) Models
published 2018 · Journal of Time Series Analysis · 11 citations
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
published 2018 · Journal of Business and Economic Statistics · 36 citations
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
published 2016 · Journal of Time Series Analysis · 28 citations
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
published 2016 · Econometric Theory · 24 citations
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
published 2016 · Journal of Empirical Finance · 16 citations
Inference on co-integration parameters in heteroskedastic vector autoregressions
published 2015 · Journal of Econometrics · 38 citations · first circulated 2013
Nonstationary GARCH with t -distributed innovations
published 2015 · Economics Letters · 11 citations
with Rasmus Søndergaard Pedersen
Recent Developments in Bootstrap Methods for Dependent Data
published 2015 · Journal of Time Series Analysis · 4 citations
A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models
published 2015 · Oxford Bulletin of Economics and Statistics · 14 citations · first circulated 2014
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
published 2015 · Econometrica · 43 citations
Unit root vector autoregression with volatility induced stationarity
published 2014 · Journal of Empirical Finance · 34 citations · first circulated 2012
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
published 2013 · Econometric Reviews · 32 citations · first circulated 2010
Multivariate variance targeting in the BEKK-GARCH model
published 2013 · Econometrics Journal · 56 citations · first circulated 2012
with Rasmus Søndergaard Pedersen, Rasmus S. Pedersen
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
published 2013 · Econometric Theory · 28 citations · first circulated 2010
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
published 2012 · Econometrica · 116 citations
An I(2) cointegration model with piecewise linear trends
published 2011 · Econometrics Journal · 13 citations · first circulated 2009
Estimation and Asymptotic Inference in the AR-ARCH Model
published 2011 · Econometric Reviews · 24 citations
with Theis Lange, Søren Jensen
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
published 2010 · Econometric Theory · 86 citations
Likelihood-based inference for cointegration with nonlinear error-correction
published 2010 · Journal of Econometrics · 36 citations
Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional
published 2010 · Studies of Applied Economics
Poisson Autoregression
published 2009 · Journal of the American Statistical Association · 415 citations · first circulated 2008
with Konstantinos Fokianos, Dag Tjøstheim
Asymptotics of the QMLE for Non-Linear ARCH Models
published 2009 · Journal of Time Series Econometrics · 16 citations
Co-integration Rank Testing under Conditional Heteroskedasticity
published 2009 · CREATES Research Papers · 26 citations
The ACR Model: A Multivariate Dynamic Mixture Autoregression*
published 2008 · Oxford Bulletin of Economics and Statistics · 71 citations
Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility
published 2008 · Journal of Econometrics · 24 citations
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
published 2007 · Econometric Theory · 43 citations · first circulated 2003
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS
published 2007 · Econometric Theory · 33 citations
with Søren Jensen
Likelihood-Based Inference in Nonlinear Error-Correction Models
published 2007 · CREATES Research Papers · 20 citations
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
published 2005 · Econometric Theory · 72 citations
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
published 2004 · Econometric Theory · 213 citations
with Søren Jensen
Vector equilibrium correction models with non‐linear discontinuous adjustments
published 2004 · Econometrics Journal · 19 citations
with Frédérique Bec
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
published 2004 · Statistical Inference for Stochastic Processes · 38 citations
with Mathieu Kessler
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
published 2004 · Econometrica · 152 citations
with Søren Jensen
Stochastic properties of multivariate time series equations with emphasis on ARCH
published 2003 · IFAC Proceedings Volumes · 2 citations
Approximate Conditional Unit Root Inference
published 2002 · Journal of Time Series Analysis · 15 citations
with Henrik Hansen
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions
published 2001 · Scandinavian Journal of Statistics · 51 citations
with Mathieu Kessler
Similarity Issues in Cointegration Analysis
published 2000 · Oxford Bulletin of Economics and Statistics · 76 citations
Weak exogeneity in I(2) VAR systems
published 1999 · Journal of Econometrics · 63 citations
Trend stationarity in the I(2) cointegration model
published 1999 · Journal of Econometrics · 137 citations · first circulated 1996
with Hans Christian Kongsted, Clara Jørgensen
Cointegration rank inference with stationary regressors in VAR models
published 1999 · Econometrics Journal · 108 citations
with Rocco Mosconi
Asymptotic Inference on Cointegrating Rank in Partial Systems
published 1998 · Journal of Business and Economic Statistics · 231 citations
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