Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. 2012
  2. 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 paperResearch

  3. 2014
  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 journalJournal articleResearchpeer-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 paperResearch

  6. 2015
  7. Published

    Inference and Testing in Multivariate GARCH Models

    Pedersen, Rasmus Søndergaard, 2015, Copenhagen: Department of Economics, University of Copenhagen. 137 p.

    Research output: Book/ReportPh.D. thesisResearch

  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 paperResearch

  9. Published

    Inference and Testing on the Boundary in Extended Constant Conditional Correlation GARCH Models

    Pedersen, Rasmus Søndergaard, 4 Sep 2015, 42 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 10, Vol. 2015).

    Research output: Working paperResearch

  10. 2016
  11. Published

    Nonstationary GARCH with t-distributed innovations

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In : Economics Letters. 138, p. 19-21

    Research output: Contribution to journalJournal articleResearchpeer-review

  12. 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 journalJournal articleResearchpeer-review

  13. 2017
  14. 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

  15. 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

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