Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. 2012
  2. Published

    Multivariate Variance Targeting in the BEKK-GARCH Model. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

    Kbh. : Økonomisk institut, Københavns Universitet, 2012.

    Research output: Working paperResearch

  3. 2014
  4. Published

    Multivariate Variance Targeting in the BEKK-GARCH Model. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

    In: Econometrics Journal, Vol. 17, No. 1, 2014, p. 24-55.

    Research output: Contribution to journalJournal articleResearchpeer-review

  5. Published

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

    Kbh. : Økonomisk institut, Københavns Universitet, 2014.

    Research output: Working paperResearch

  6. 2015
  7. Published

    Inference and Testing in Multivariate GARCH Models. / Pedersen, Rasmus Søndergaard.

    Copenhagen : Department of Economics, University of Copenhagen, 2015. 137 p.

    Research output: Book/ReportPh.D. thesisResearch

  8. Published
  9. Published
  10. 2016
  11. 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

  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. 2017
  14. Published

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

    2017.

    Research output: Working paperResearch

  15. 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

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