Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. 2021
  2. E-pub ahead of print

    Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

    Pedersen, Rasmus Søndergaard & Matsui, M., 4 Feb 2021, (E-pub ahead of print) In: Econometric Theory.

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. E-pub ahead of print

    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, 2021, (E-pub ahead of print) In: Journal of Econometrics.

    Research output: Contribution to journalJournal articleResearchpeer-review

  4. 2020
  5. Published

    Robust inference in conditionally heteroskedastic autoregressions

    Pedersen, Rasmus Søndergaard, 2020, In: Econometric Reviews. 39, 3, p. 244-259

    Research output: Contribution to journalJournal articleResearchpeer-review

  6. 2019
  7. Published

    Dynamic Conditional Eigenvalue GARCH

    Hetland, Simon Thinggaard, Pedersen, Rasmus Søndergaard & Rahbek, Anders, 17 Dec 2019, 55 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-13).

    Research output: Working paperResearch

  8. Published

    Testing in GARCH-X Type Models

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047

    Research output: Contribution to journalJournal articleResearchpeer-review

  9. 2018
  10. 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

  11. Published

    The Fixed Volatility Bootstrap for a Class of ARCH(q) Models

    Cavaliere, G., Pedersen, Rasmus Søndergaard & Rahbek, Anders, 5 Aug 2018, In: Journal of Time Series Analysis. 39, 6, p. 920-941

    Research output: Contribution to journalJournal articleResearchpeer-review

  12. Published

    On the tail behavior of a class of multivariate conditionally heteroskedastic processes

    Pedersen, Rasmus Søndergaard & Wintenberger, O., Jun 2018, In: Extremes. 21, 2, p. 261-284

    Research output: Contribution to journalJournal articleResearchpeer-review

  13. 2017
  14. Published

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

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

    Research output: Contribution to journalJournal articleResearchpeer-review

  15. 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

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