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Asymptotic inference for nonstationary GARCH
Jensen, Søren Tolver; Rahbek, Anders - In: Econometric theory 20 (2004) 6, pp. 1203-1226
Persistent link: https://www.econbiz.de/10002424931
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Vector equilibrium correction models with non-linear discontinuous adjustments
Bec, Frédérique; Rahbek, Anders - In: The econometrics journal 7 (2004) 2, pp. 628-651
Persistent link: https://www.econbiz.de/10002463704
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Similarity issues in cointegration analysis
Nielsen, Bent; Rahbek, Anders - In: Oxford bulletin of economics and statistics 62 (2000) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10001481785
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Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
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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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Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case
Jensen, Søren Tolver; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 641-646
Persistent link: https://www.econbiz.de/10001978054
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Asymptotic likelihood based inference for cointegrated homogenous Gaussian diffusions
Kessler, Mathieu; Rahbek, Anders - 1999
Persistent link: https://www.econbiz.de/10001456590
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Asymptotic inference on cointegrating rank in partial systems
Harbo, Ingrid; Johansen, Søren; Nielsen, Bent; Rahbek, … - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 388-399
Persistent link: https://www.econbiz.de/10001251806
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Trend-stationarity in the I(2) cointegration model
Jørgensen, Clara M. D. - 1996
Persistent link: https://www.econbiz.de/10000952100
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Stationary and asymptotics of multivariate ARCH time series with an application to robustness of cointegration analysis
Hansen, Ernst; Rahbek, Anders - 1998
Persistent link: https://www.econbiz.de/10001369614