Anders Rahbek, Professor                       

        University of Copenhagen, Department of Economics.       
A. Rahbek (link): Bootstrap | DFF Advanced Grant link

        Affiliated with CREATES as Research Fellow.
        CREATES (link) is funded by the Danish National Research Foundation.
        University of Copenhagen
        Department of Economics
        Øster Farimagsgade 5, Building 26
        DK-1353 Copenhagen K, Denmark

        Phone:      +45 3532 4031  Fax: +45 3532 3000
        E-mail:      anders.rahbek [@]




        PhD in Econometrics, Institute of Mathematical Sciences (IMF), University of Copenhagen, 1996
        Cand.Scient.Oecon (M.Phil),  Mathematics and Economics, IMF, 1992
        MSc in Econometrics, London School of Economics, 1991
        MA in Mathematics, University of Pennsylvania, 1988

        Professor, University of Copenhagen, from 2007   
Professor, Oxford University, Hilary Terms, 2011 and 2012
        Economics Group Visitor, Oxford University, 2000-2001
        Associate Professor, University of Copenhagen, 1999 to 2007
        Assistant Professor, University of Copenhagen, 1996 to 1999         

        Research interests in econometrics and statistics:
        Econometrics in finance and macroeconomics, including  co-integration analysis; bootstrap methods;
        count models; (stochastic) volatility and GARCH modeling; discrete time vs. continuous time modeling.

        DFF-Advanced Grant/ DFF-topforsker bevilling | Sapere Aude program:
        Developing and implementing new bootstrap methods for the econometric analysis of financial and
        macroeconomic time series data.
        Principal Investigator, link.

        Research Prizes:
2014    Nykredit Research Prize, Financial Econometrics.
        2012    Reinholdt W. Jorck og Hustrus Fond.

        Research network in time series, co-ordinator: ETSERN network, link  

        Econometric Theory, Associate Editor (2013-)
s Journal,
Associate Editor (2007-2013)
        Scandinavian Journal of Statistics, Associate Editor (2007-2015)     
        Journal of Time Series Analysis, Associate Editor (2013-) 


            2018                    Testing GARCH-X Type Models,
                                        with R.S. Pedersen, Econometric Theory, forthcoming.
            2018                    Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling,
                                        with G. Cavaliere and H.B. Nielsen, Journal of Business and Economics Statistics, forthcoming.
            2018                    The Fixed Volatility Bootstrap for a Class of ARCH(q) Models,
                                        with G. Cavaliere and R.S. Pedersen, Journal of Time Series Analysis, forthcoming.
            2018                    Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order,
                                        with Angelis, G. Cavaliere and A.M.R. Taylor, Econometric Theory, 34:349-382.
            2017                    On the Consistency of Bootstrap Testing for Parameters on the Boundary of the Parameter Space,
                                        with G. Cavaliere and H.B. Nielsen, Journal of Time Series Analysis, 38:513-534.
            2017                    Oscilating Systems with Cointegrated Phase Processes,
                                        with S.Ditlevsen and J. Østergaard, Journal of Mathematical Biology,75:845-883. 
            2016                    Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,
                                        with H.P. Boswijk, G. Cavaliere and A.M.R. Taylor, Journal of Econometrics, 192:64-85.
            2016                    Nonstationary GARCH with t-Distributed Innovations,
                                        with R.S. Pedersen, Economics Letters, 138:19-21 (Suppl. appendix online)
            2016                    Bootstrap Testing of Hypotheses on Cointegration Relations in VAR Models,
                                        with G. Cavaliere and H.B. Nielsen, Econometrica, 83:813-831.
            2016                    Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),
                                        with A. Agosto, G. Cavaliere and D. Kristensen, Journal of Empirical Finance, 38:640–663.
            2015                    Bootstrap Determination of the Co-integration Rank in VAR Models with Unrestricted Deterministic Components,
                                        with A.M.R. Taylor and G. Cavaliere, Journal of Time Series Analysis, 36: 272–289.
            2014                    Unit Root Vector Autoregression with Volatility Induced Stationarity,
                                        with H.B.Nielsen, Journal of Empirical Finance, 29:144-167.
            2014                    Bootstrap Determination of the Cointegration Rank in Heteroskedastic VAR Models,
                                        with A.M.R. Taylor and G. Cavaliere, Econometric Reviews, 33:606-650.
            2014                    Information-based Methods for Cointegration Rank Determination un the Presence of Heteroskedasticity,
                                        with A.M.R. Taylor, L. De Angelis, and G. Cavaliere, Oxford Bulletin of Economics and Statistics, forthcoming.
            2013                    Testing and Inference in Nonlinear Cointegration Vector Error Correction Models,
                                        with D. Kristensen, Econometric Theory, 29:1238-1288.
            2013                    Multivariate Variance Targeting in the BEKK-GARCH Models,
                                        with R.S. Pedersen, Econometrics Journal, 17:24-55.
            2012                    Bootstrap Determination of the Cointegration Rank in VAR Models,
                                        with A.M.R. Taylor and G. Cavaliere, Econometrica, 80:1721-1740.
            2011                    An I(2) Cointegration Model with Piecewise Linear Trends, 
                                        with T. Kurita and H. B. Nielsen, Econometrics Journal, 14:131-155.
            2010                    Cointegration Rank Testing under Conditional Heteroskedasticity,
                                        with A.M.R. Taylor and G. Cavaliere, Econometric Theory, 26:1719-1760.
            2010                    Estimation and Asymptotic Inference in the AR-ARCH Model, 
                                        with T. Lange and S.T. Jensen, Econometric Reviews, 30:129-153.
            2010                    Determination of the Number of Common Stochastic Trends under Conditional Heteroskedasticity,
                                        with G. Cavaliere, and A.M.R. Taylor, Estudios De Economia Applicada, 28(3):1-34.
            2010                    Likelihood-Based Inference in Nonlinear Error-Correction Models, with D. Kristensen, 
                                        Journal of Econometrics, 158(1):78-94, link
            2010                    Testing for Cointegration in Vector Autoregressions with Non-Stationary Volatility, 
                                        with R. Taylor and G. Cavaliere, Journal of Econometrics, 158(1):7-24.
            2009                    Poisson Autoregression, w. D. Tjøstheim and K. Fokianos, 
                                        Journal of American Statistical Association, 104(488):1430-1439.
            2009                    Asymptotics of the QMLE for Non-Linear ARCH Models, w. D. Kristensen, 
                                        Journal of Time Series Econometrics, Vol.1, link
            2009                    Regime Switching Models: A Survey, w. T. Lange, Handbook of Financial Time Series, 
                                        Springer verlag, editors: T. Mikosch, T. G. Andersen, R. Davies and J.-P. Kress, link to book
            2008                    The ACR Model: A Dynamic Mixture Autoregression, with N. Shephard and F. Bec, 
                                        Oxford Bulletin of Economics and Statistics, 70:583-618, link
            2008                    Nonlinear Adjustment towards the Purchasing Power Parity Relation: A Multivariate Approach, 
                                        w. F. Bec and M. Ben-Salem, Economics Bulletin, 6:1-6, link
            2007                    Likelihood Ratio Testing for Cointegration Ranks in I(2) Models, with H. B. Nielsen, 
                                        Econometric Theory, 23:615-637, link
            2007                    A note on the Law of Large Numbers for Functions of Geometrically Ergodic Time Series, with S.T. Jensen,
                                        Econometric Theory, 23:761-766, link
            2005                    Asymptotics of the QMLE for a Class of ARCH(q) Models, with D. Kristensen,  
                                        Econometric Theory 21:946-961, link
            2004                    Non-Stationary and no Moments Asymptotics for the ARCH Model with S.T. Jensen, 
                                        Econometrica, 72:641-646, link
            2004                    Vector equilibrium correction models with non-linear discontinuous adjustment, with F. Bec, 
                                        Econometrics Journal, 7:628-651.
            2004                    Asymptotic Inference for Nonstationary GARCH, with S. T. Jensen, 
                                        Econometric Theory, 20:6:1203-1226, link
            2004                    Identification and Inference for Cointegrated and Ergodic Gaussian Diffusions, with M. Kessler,
                                        Statistical Inference for Stochastic Processes, 36:153-188, link
            2002                    Approximate Conditional Unit Root Inference, with Henrik Hansen, 
                                        Journal of Time Series Analysis, 23:1-28, link
            2001                    Asymptotic Continuous Time Likelihood based Cointegration Inference, with M. Kessler,
                                        Scandinavian Journal of Statistics, 28:455-470, link
            2000                    Similarity Issues in Cointegration Analysis, with Bent Nielsen, 
                                        Oxford  Bulletin  of Economics and Statistics, 62:5-22, link
            1999                    Trend-Stationarity in the I(2) Cointegration Model, with H.C. Kongsted and C. Jørgensen, 
                                        Journal of Econometrics, 90:265-289, link
            1999                    Weak Exogeneity in I(2) VAR systems, with P. Paruolo, 
                                        Journal of Econometrics,  93:281-308, link
            1998                    The Role of Stationary Regressors in the Cointegration Test, with R. Mosconi,  
                                        Econometrics Journal, 2:76-91, link
            1998                    Asymptotic Inference on Cointegration Rank in Partial Systems, with I. Harbo, 
                                        S. Johansen and B. Nielsen, Journal of Business and Economic Statistics, 16:388-99, link


Updated: Jan, 2016