Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

Member of:


    1. 2018
    2. Published

      Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

      Cavaliere, G., Nielsen, Heino Bohn, Pedersen, Rasmus Søndergaard & Rahbek, Anders, 5 Dec 2018, 36 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18-10).

      Research output: Working paperResearch

    3. 2017
    4. Published

      Testing Garch-X Type Models

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2017, 35 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-15).

      Research output: Working paperResearch

    5. 2015
    6. Published

      Inference and Testing on the Boundary in Extended Constant Conditional Correlation GARCH Models

      Pedersen, Rasmus Søndergaard, 4 Sep 2015, 42 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 10, Vol. 2015).

      Research output: Working paperResearch

    7. Published

      Nonstationary ARCH and GARCH with t-Distributed Innovations

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2015, Copenhagen, 29 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 7, Vol. 2015).

      Research output: Working paperResearch

    8. 2014
    9. Published

      Targeting estimation of CCC-GARCH models with infinite fourth moments

      Pedersen, Rasmus Søndergaard, 2014, Kbh.: Økonomisk institut, Københavns Universitet, 31 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 04, Vol. 2014).

      Research output: Working paperResearch

    10. 2012
    11. Published

      Multivariate Variance Targeting in the BEKK-GARCH Model

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2012, Kbh.: Økonomisk institut, Københavns Universitet, 33 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 23, Vol. 12).

      Research output: Working paperResearch

    ID: 40100909