Rasmus Søndergaard Pedersen
Associate Professor
Økonomisk Institut
Øster Farimagsgade 5, 1353 København K, 26, Building: 26.3.01
- 2021
- 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, In : Econometric Theory.Research output: Contribution to journal › Journal article › Research › peer-review
- 2020
- 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, 15 Sep 2020, In : Journal of Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Robust inference in conditionally heteroskedastic autoregressions
Pedersen, Rasmus Søndergaard, 2020, In : Econometric Reviews. 39, 3, p. 244-259Research output: Contribution to journal › Journal article › Research › peer-review
- 2019
- 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 paper › Research
- Published
Testing in GARCH-X Type Models
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In : Econometric Theory. 35, 5, p. 1012-1047Research output: Contribution to journal › Journal article › Research › peer-review
- 2018
- 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 paper › Research
- 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. 920-941Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 261-284Research output: Contribution to journal › Journal article › Research › peer-review
- 2017
- 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 journal › Journal article › Research › peer-review
- 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 paper › Research
ID: 40100909
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Research output: Working paper › Research
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Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
Published