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Determination of the number of common stochastic trends under conditional heteroskedasticity

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Estudios de economía aplicada : revista promovida por … 28 (2010) 3, pp. 519-551

Persistent link: https://www.econbiz.de/10009712288

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

Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - In: Journal of empirical finance 38 (2016), pp. 640-663

Persistent link: https://www.econbiz.de/10011663393

A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729

Persistent link: https://www.econbiz.de/10015401165

Tail behavior of ACD models and consequences for likelihood-based estimation

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10015073910

Trend-stationarity in the I(2) cointegration model

Jørgensen, Clara M. D. - 1996

Persistent link: https://www.econbiz.de/10000952100

Trend stationarity in the I(2) cointegration model

Rahbek, Anders; Kongsted, Hans Christian; Jørgensen, … - In: Journal of econometrics 90 (1999) 2, pp. 265-289

Persistent link: https://www.econbiz.de/10001382131

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

Purchasing Power Parity : A Nonlinear Multivariate Approach

Bec, Frederique; Ben Salem, Melika; Rahbek, Anders - 2009

The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a threshold vector equilibrium correction model, whose dynamics is consistent...

Persistent link: https://www.econbiz.de/10014209711

The likelihood ratio test for cointegration ranks in the I(2) model

Bohn Nielsen, Heino; Rahbek, Anders - In: Econometric theory 23 (2007) 4, pp. 615-637

Persistent link: https://www.econbiz.de/10003549573

Likelihood ratio testing for cointegration ranks in I(2) models

Bohn Nielsen, Heino (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001839976