Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

Personal website: https://sites.google.com/site/rspecon/

Primary fields of research

Time series econometrics, econometric theory, financial econometrics, multivariate models for time series, GARCH.

Teaching

Econometrics C, Financial Econometrics A.

Selected publications

  1. Published

    Targeting estimation of CCC-GARCH models with infinite fourth moments

    Pedersen, R. S., Apr 2016, In : Econometric Theory. 32, 02, p. 498-531

    Research output: Contribution to journalJournal articleResearchpeer-review

  2. Published

    Inference and testing on the boundary in extended constant conditional correlation GARCH models

    Pedersen, R. S., 1 Jan 2017, In : Journal of Econometrics. 196, 1, p. 25-36 12 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. Published

    Multivariate Variance Targeting in the BEKK-GARCH Model

    Pedersen, R. S. & Rahbek, A., 2014, In : Econometrics Journal. 17, 1, p. 24-55

    Research output: Contribution to journalJournal articleResearchpeer-review

Selected activities

  1. Econometric Society World Congress 2015

    Rasmus Søndergaard Pedersen (Speaker)
    17 Aug 201521 Aug 2015

    Activity: Participating in or organising an event typesOrganisation of and participation in conference

  2. 5th Lindau Meeting on Economic Sciences

    Rasmus Søndergaard Pedersen (Participant)
    19 Aug 201423 Aug 2014

    Activity: Participating in or organising an event typesOrganisation of and participation in conference

ID: 40100909