Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

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    ORCID: 0000-0002-5137-6003

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

    2. 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

    3. Published

      Multivariate Variance Targeting in the BEKK-GARCH Model

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2012, Kbh.: Økonomisk institut, Københavns Universitet, 33 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 23, Vol. 12).

      Research output: Working paper › Research

    4. Published

      Multivariate Variance Targeting in the BEKK-GARCH Model

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2014, In: Econometrics Journal. 17, 1, p. 24-55

      Research output: Contribution to journal › Journal article › Research › peer-review

    5. Published

      Targeting estimation of CCC-GARCH models with infinite fourth moments

      Pedersen, Rasmus Søndergaard, 2014, Kbh.: Økonomisk institut, Københavns Universitet, 31 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 04, Vol. 2014).

      Research output: Working paper › Research

    6. 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

    7. Published

      Targeting estimation of CCC-GARCH models with infinite fourth moments

      Pedersen, Rasmus Søndergaard, Apr 2016, In: Econometric Theory. 32, 02, p. 498-531

      Research output: Contribution to journal › Journal article › Research › peer-review

    8. Published

      Nonstationary ARCH and GARCH with t-Distributed Innovations

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2015, Copenhagen, 29 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 7, Vol. 2015).

      Research output: Working paper › Research

    9. Published

      Dynamic Conditional Eigenvalue GARCH

      Rahbek, Anders, Pedersen, Rasmus Søndergaard & Hetland, Simon Thinggaard, 2023, In: Journal of Econometrics. 237, 2B, 21 p., 105175.

      Research output: Contribution to journal › Journal article › Research › peer-review

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