Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

ORCID: 0000-0002-5137-6003

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  1. Published

    Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models. / Cavaliere, Giuseppe; Nielsen, Heino Bohn; Pedersen, Rasmus Søndergaard; Rahbek, Anders.

    2018.

    Research output: Working paper › Research

  2. 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 journal › Journal article › Research › peer-review

  3. 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 journal › Journal article › Research › peer-review

  4. 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 journal › Journal article › Research › peer-review

ID: 40100909