Anders Rahbek
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View article: Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations Open
Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite their resemblance, asymptotic theory for ACD is challenging an…
View article: A Comment on: <i>“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”</i>
A Comment on: <i>“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”</i> Open
Based on the GARCH literature, Engle and Russell (1998) established consistency and asymptotic normality of the QMLE for the autoregressive conditional duration (ACD) model, assuming strict stationarity and ergodicity of the durations. Usi…
View article: High-Dimensional Cointegration and Kuramoto Inspired Systems
High-Dimensional Cointegration and Kuramoto Inspired Systems Open
This paper presents a novel estimator for a nonstandard restriction to both symmetry and low rank in the context of high-dimensional cointegrated processes. Furthermore, we discuss rank estimation for high-dimensional cointegrated processe…
View article: Tail behavior of ACD models and consequences for likelihood-based estimation
Tail behavior of ACD models and consequences for likelihood-based estimation Open
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by …
View article: Asymptotics for the Generalized Autoregressive Conditional Duration Model
Asymptotics for the Generalized Autoregressive Conditional Duration Model Open
Engle and Russell (1998, Econometrica, 66:1127--1162) apply results from the GARCH literature to prove consistency and asymptotic normality of the (exponential) QMLE for the generalized autoregressive conditional duration (ACD) model, the …
View article: Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary
Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary Open
We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constraints on some or all of the parameters, as well as time-ser…
View article: Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary Open
This article develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov…
View article: The validity of bootstrap testing for threshold autoregression
The validity of bootstrap testing for threshold autoregression Open
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be biased in case of small, or even moderate sample sizes…
View article: Bootstrap inference for Hawkes and general point processes
Bootstrap inference for Hawkes and general point processes Open
Inference and testing in general point process models such as the Hawkes model is predominantly based on asymptotic approximations for likelihood-based estimators and tests. As an alternative, and to improve finite sample performance, this…
View article: Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary Open
This article develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov…
View article: Specification tests for GARCH processes with nuisance parameters on the boundary
Specification tests for GARCH processes with nuisance parameters on the boundary Open
This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov a…
View article: High-dimensional cointegration and Kuramoto systems
High-dimensional cointegration and Kuramoto systems Open
This paper presents a novel estimator for a non-standard restriction to both symmetry and low rank in the context of high dimensional cointegrated processes. Furthermore, we discuss rank estimation for high dimensional cointegrated process…
View article: The Econometrics of Financial Duration Modeling
The Econometrics of Financial Duration Modeling Open
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by …
View article: The validity of bootstrap testing in the threshold framework
The validity of bootstrap testing in the threshold framework Open
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be oversized in the case of small, or even moderate sampl…
View article: Asset Prices Under Knightian Uncertainty
Asset Prices Under Knightian Uncertainty Open
We extend Lucas’s classic asset-price model by opening the stochastic process driving dividends to Knightian uncertainty arising from unforeseeable change. Implementing Muth’s hypothesis, we represent participants’ expectations as being co…
View article: MinP Score Tests with an Inequality Constrained Parameter Space
MinP Score Tests with an Inequality Constrained Parameter Space Open
Score tests have the advantage of requiring estimation alone of the model restricted by the null hypothesis, which often is much simpler than models defined under the alternative hypothesis. This is typically so when the alternative hypoth…
View article: An Introduction to Bootstrap Theory in Time Series Econometrics
An Introduction to Bootstrap Theory in Time Series Econometrics Open
While often simple to implement in practice, application of the bootstrap in econometric modeling of economic and financial time series requires establishing validity of the bootstrap. Establishing bootstrap asymptotic validity relies on v…
View article: A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS Open
In this article, we discuss the bootstrap as a tool for statistical inference in econometric time series models. Importantly, in the context of testing, properties of the bootstrap under the null (size) as well as under the alternative (po…
View article: Bootstrapping Non-Stationary Stochastic Volatility
Bootstrapping Non-Stationary Stochastic Volatility Open
To what extent can the bootstrap be applied to conditional mean models – such as regression or time series models – when the volatility of the innovations is random and possibly non-stationary? In fact, the volatility of many economic …
View article: TESTING GARCH-X TYPE MODELS
TESTING GARCH-X TYPE MODELS Open
We present novel theory for testing for reduction of GARCH-X type models with an exogenous (X) covariate to standard GARCH type models. To deal with the problems of potential nuisance parameters on the boundary of the parameter space as we…