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Anders Rahbek

Global rank #4466 94%

Institution: Københavns Universitet

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.econ.ku.dk/rahbek/

First Publication: 1999

Most Recent: 2021

RePEc ID: pra434 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.50 0.00 0.00 1.01
Last 10 Years 0.00 1.68 1.51 0.00 5.36
All Time 0.67 5.03 9.38 0.00 22.62

Publication Statistics

Raw Publications 20
Coauthorship-Adjusted Count 16.16

Publications (20)

Year Article Journal Tier Authors
2021 Bootstrapping non-stationary stochastic volatility Journal of Econometrics A 4
2020 Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling Journal of Business & Economic Statistics A 3
2019 TESTING GARCH-X TYPE MODELS Econometric Theory B 2
2018 DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER Econometric Theory B 4
2016 Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics A 4
2016 Nonstationary GARCH with t-distributed innovations Economics Letters C 2
2015 A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models Oxford Bulletin of Economics and Statistics B 4
2015 Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models Econometrica S 3
2013 TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS Econometric Theory B 2
2010 COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY Econometric Theory B 3
2010 Testing for co-integration in vector autoregressions with non-stationary volatility Journal of Econometrics A 3
2010 Likelihood-based inference for cointegration with nonlinear error-correction Journal of Econometrics A 2
2008 The ACR Model: A Multivariate Dynamic Mixture Autoregression* Oxford Bulletin of Economics and Statistics B 3
2007 ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS Econometric Theory B 2
2007 THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL Econometric Theory B 2
2005 ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS Econometric Theory B 2
2004 ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH Econometric Theory B 2
2000 Similarity Issues in Cointegration Analysis Oxford Bulletin of Economics and Statistics B 2
1999 Weak exogeneity in I(2) VAR systems Journal of Econometrics A 2
1999 Trend stationarity in the I(2) cointegration model Journal of Econometrics A 3