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Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

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Nonstationary GARCH with tt-distributed innovations

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Testing GARCH-X type models

Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Econometric theory 35 (2019) 5, pp. 1012-1047

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Dynamic conditional eigenvalue GARCH

Hetland, Simon Thinggaard; Pedersen, Rasmus Søndergaard; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-21

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Bootstrapping non-stationary stochastic volatility

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Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)

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Inference on co-integration parameters in heteroskedastic vector autoregressions

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Determining the cointegration rank in heteroskedastic VAR models of unknown order

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Bootstrapping noncausal autoregressions : with applications to explosive bubble modeling

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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - In: Econometric Reviews 33 (2014) 5-6, pp. 606-650

In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio (PLR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...

Persistent link: https://www.econbiz.de/10010953307