E-LIB Suche - Ergebnisse für: Rahbek, Anders

1

High-Dimensional Cointegration and Kuramoto Inspired System:

Stærk-Østergaard, Jacob ; Rahbek, Anders ; Ditlevsen, Susanne
SIAM Journal on Applied Dynamical Systems. 23 (2024) 1 - p. 236-255 , 2024

Link: https://doi.org/10.1137/..

2

Tail behavior of ACD models and consequences for likelihood..:

Cavaliere, Giuseppe ; Mikosch, Thomas ; Rahbek, Anders.
Journal of Econometrics. 238 (2024) 2 - p. 105613 , 2024

Link: https://doi.org/10.1016/..

3

The validity of bootstrap testing for threshold autoregress..:

Giannerini, Simone ; Goracci, Greta ; Rahbek, Anders
Journal of Econometrics. 239 (2024) 1 - p. 105379 , 2024

Link: https://doi.org/10.1016/..

4

Penalized quasi-likelihood estimation and model selection w..:

Nielsen, Heino Bohn ; Rahbek, Anders
The Econometrics Journal. 27 (2023) 1 - p. 107-125 , 2023

Link: https://doi.org/10.1093/..

5

Specification Tests for GARCH Processes with Nuisance Param..:

Cavaliere, Giuseppe ; Perera, Indeewara ; Rahbek, Anders
Journal of Business & Economic Statistics. 42 (2023) 1 - p. 197-214 , 2023

Link: https://doi.org/10.1080/..

6

Bootstrap inference for Hawkes and general point processes:

Cavaliere, Giuseppe ; Lu, Ye ; Rahbek, Anders.
Journal of Econometrics. 235 (2023) 1 - p. 133-165 , 2023

Link: https://doi.org/10.1016/..

7

Dynamic conditional eigenvalue GARCH:

Hetland, Simon ; Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Journal of Econometrics. 237 (2023) 2 - p. 105175 , 2023

Link: https://doi.org/10.1016/..

8

Bootstrap inference on the boundary of the parameter space,..:

Cavaliere, Giuseppe ; Nielsen, Heino Bohn ; Pedersen, Rasmus Søndergaard.
Journal of Econometrics. 227 (2022) 1 - p. 241-263 , 2022

Link: https://doi.org/10.1016/..

9

Bootstrapping non-stationary stochastic volatility:

Boswijk, H. Peter ; Cavaliere, Giuseppe ; Georgiev, Iliyan.
Journal of Econometrics. 224 (2021) 1 - p. 161-180 , 2021

Link: https://doi.org/10.1016/..

10

A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES ..:

Cavaliere, Giuseppe ; Rahbek, Anders
Econometric Theory. 37 (2020) 1 - p. 1-48 , 2020

Link: https://doi.org/10.1017/..

11

Bootstrapping Noncausal Autoregressions: With Applications ..:

Cavaliere, Giuseppe ; Nielsen, Heino Bohn ; Rahbek, Anders
Journal of Business & Economic Statistics. 38 (2018) 1 - p. 55-67 , 2018

Link: https://doi.org/10.1080/..

12

TESTING GARCH-X TYPE MODELS:

Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Econometric Theory. 35 (2018) 5 - p. 1012-1047 , 2018

Link: https://doi.org/10.1017/..

13

The Fixed Volatility Bootstrap for a Class of Arch(q) Model:

Cavaliere, Giuseppe ; Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Journal of Time Series Analysis. 39 (2018) 6 - p. 920-941 , 2018

Link: https://doi.org/10.1111/..

14

DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR M..:

Cavaliere, Giuseppe ; De Angelis, Luca ; Rahbek, Anders.
Econometric Theory. 34 (2018) 2 - p. 349-382 , 2018

Link: https://www.jstor.org/st..

15

Oscillating systems with cointegrated phase processes:

Østergaard, Jacob ; Rahbek, Anders ; Ditlevsen, Susanne
Journal of Mathematical Biology. 75 (2017) 4 - p. 845-883 , 2017

Link: https://doi.org/10.1007/..