Anders Rahbek

Involvement

Research:

International collaboration on econometric analysis for models applied in analysis of macroeconomic and financial data. This includes analysis for testing and inference, as well as implementation of:

  • Time varying volatility such as GARCH models, univariate and multivariate.
  • Nonlinear time series models, such as regime switching and threshold models.
  • Nonlinear, and linear, multivariate cointegration models, with and without time varying volatility
  • Poisson intensity count models.
  • Development of Bootrap-based econometric analyses.

Teaching:

  • Financial Econometrics | Univariate Volatility models, including GARCH, Stochastic Volatility and Realized Volatility
  • Financial Econometrics | Multivariate modeling, including multivariate GARCH, factor models and term structure models.
  • Cointegration and time series analysis.
  • Econometrics C | An introduction to time series and likelihood-based econometrics.

Faculty web page

H-Index

By this expert

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Paper Working paper | | Mar 2019

This paper introduces the Knightian Uncertainty Hypothesis (KUH), a new approach to macroeconomics and finance theory.

The Qualitative Expectations Hypothesis

Paper Working Paper Series | | Jun 2017

Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 

Featuring this expert

Why We Need the Knightian Uncertainty Hypothesis

Article | Mar 4, 2019

INET’s President introduces a new research program that challenges orthodox assumptions about the limits of economic knowledge

INET Announces Program on Knightian Uncertainity Economics

News Mar 4, 2019

Rethinking the role of markets and government policy in light of our inherently limited ability to foresee economic and social outcomes

Reawakening

From the Origins of Economic Ideas to the Challenges of Our Time

Event Plenary | Oct 21–23, 2017

INET gathered hundreds of new economic thinkers in Edinburgh to discuss the past, present, and future of the economics profession.