Anders Rahbek

Economics and Econometrics · 2001–2014

A researcher in the Science corpus: 12 papers; trusts 37 researchers and is trusted by 39 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 73 citations into it; #2,042 of 23,481 by trust here, #3,986 by citations
• Finance — 73 citations into it; #1,118 of 10,518 by trust here, #1,605 by citations
• Statistics and Probability — 46 citations into it; #7,002 of 12,932 by trust here, #4,253 by citations
• Artificial Intelligence — 7 citations into it
• Management Science and Operations Research — 6 citations into it

Whom Anders Rahbek trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. S. Ling
2. Søren Johansen
3. Giuseppe Cavaliere
4. Robert F. Engle
5. F. Bec
6. B. Hansen
7. M. Borkovec
8. Anders Rygh Swensen
9. Luc Bauwens
10. Sébastien-Yves Laurent

Who trusts Anders Rahbek overall

1. Heejoon Han
2. Giuseppe Cavaliere
3. Sébastien Fries
4. Pentti Saikkonen
5. Christian M. Hafner
6. Oliver B. Linton
7. P. R. Hansen
8. Dennis Kristensen
9. Jean-Michel Zakoian
10. Alexander Aue

Papers from Anders Rahbek's perspective

Ordered by how strongly the researchers Anders Rahbek trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Asymptotic theory for multivariate GARCH processes
4. GO-GARCH: a multivariate generalized orthogonal GARCH model
5. THRESHOLD AUTOREGRESSION WITH A UNIT ROOT
6. A Three-Step Method for Choosing the Number of Bootstrap Repetitions
7. Bootstrap tests: how many bootstraps?
8. Mixing: Properties and Examples
9. Regular variation of GARCH processes
10. Testing for two-regime threshold cointegration in vector error-correction models

Their papers

• Vector equilibrium correction models with non-linear discontinuous adjustments (2004) — 85 citations
• Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models (2012) — 103 citations
• ASYMPTOTIC NORMALITY OF THE QMLE ESTIMATOR OF ARCH IN THE NONSTATIONARY CASE (2004) — 167 citations
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH (2004) — 225 citations
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010) — 92 citations
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (2005) — 74 citations
• The ACR Model: A Multivariate Dynamic Mixture Autoregression (2008) — 48 citations
• Unit root vector autoregression with volatility induced stationarity (2014) — 49 citations
• Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (2014) — 47 citations
• Multivariate Variance Targeting in the BEKK-GARCH Model (2014) — 76 citations
• Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010) — 133 citations
• Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions (2001) — 52 citations