Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. Published
  2. 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

  3. Published
  4. 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

  5. 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

  6. Published

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

    Kbh. : Økonomisk institut, Københavns Universitet, 2012.

    Research output: Working paperResearch

  7. Published
  8. 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

  9. 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

  10. 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

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