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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003788886
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Poisson autoregression
Fokianos, Konstantinos (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003788916
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An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
Persistent link: https://www.econbiz.de/10003859942
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Bootstrap sequential determination of the co-integration rank in VAR-models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2010
Persistent link: https://www.econbiz.de/10003932344
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Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders; Bohn Nielsen, Heino - 2012
Persistent link: https://www.econbiz.de/10009545958
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Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2015
Persistent link: https://www.econbiz.de/10010515451
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Multivariate variance targeting in the BEKK-GARCH Model
Søndergaard Persen, Rasmus; Rahbek, Anders - 2012
Persistent link: https://www.econbiz.de/10009667224
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Bootstrap determination of the co-integration rank in heteroskedastic VAR models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2012
Persistent link: https://www.econbiz.de/10009614389
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Likelihood ratio testing for cointegration ranks in I(2) models
Bohn Nielsen, Heino (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001839976
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Specification tests for GARCH processes
Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - 2021
Persistent link: https://www.econbiz.de/10012627489