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Anders Rahbek


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.


  • 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.

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By this expert

The Qualitative Expectations Hypothesis

Paper Working Paper Series | | Jun 2017

Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment