Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. 2019
  2. E-pub ahead of print

    Robust inference in conditionally heteroskedastic autoregressions. / Pedersen, Rasmus Søndergaard.

    In: Econometric Reviews, 22.06.2019.

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. 2018
  4. Published
  5. Published

    Testing in GARCH-X Type Models. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

    In: Econometric Theory, Vol. 35, No. 5, 18.10.2018, p. 1-36.

    Research output: Contribution to journalJournal articleResearchpeer-review

  6. Published

    The Fixed Volatility Bootstrap for a Class of ARCH(q) Models. / Cavaliere, Giuseppe; Pedersen, Rasmus Søndergaard; Rahbek, Anders.

    In: Journal of Time Series Analysis, Vol. 39, No. 6, 05.08.2018, p. 920-941.

    Research output: Contribution to journalJournal articleResearchpeer-review

  7. Published

    On the tail behavior of a class of multivariate conditionally heteroskedastic processes. / Pedersen, Rasmus Sondergaard; Wintenberger, Olivier.

    In: Extremes, Vol. 21, No. 2, 06.2018, p. 261-284.

    Research output: Contribution to journalJournal articleResearchpeer-review

  8. 2017
  9. Published

    Inference and testing on the boundary in extended constant conditional correlation GARCH models. / Pedersen, Rasmus Søndergaard.

    In: Journal of Econometrics, Vol. 196, No. 1, 01.01.2017, p. 25-36.

    Research output: Contribution to journalJournal articleResearchpeer-review

  10. Published

    Testing Garch-X Type Models. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

    2017.

    Research output: Working paperResearch

  11. 2016
  12. Published

    Targeting estimation of CCC-GARCH models with infinite fourth moments. / Pedersen, Rasmus Søndergaard.

    In: Econometric Theory, Vol. 32, No. 02, 04.2016, p. 498-531.

    Research output: Contribution to journalJournal articleResearchpeer-review

  13. Published

    Nonstationary GARCH with t-distributed innovations. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

    In: Economics Letters, Vol. 138, 2016, p. 19-21.

    Research output: Contribution to journalJournal articleResearchpeer-review

  14. 2015
  15. Published
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