Rasmus Søndergaard Pedersen
Associate Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-01
Member of:
- 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
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, Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach
Pedersen, Rasmus Søndergaard & Matsui, M., 2022, In: Econometric Theory. 38, 1, p. 1-34Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
Inference and Testing in Multivariate GARCH Models
Pedersen, Rasmus Søndergaard, 2015, Copenhagen: Department of Economics, University of Copenhagen. 137 p.Research output: Book/Report › Ph.D. thesis › Research
- 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 paper › Research
- 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
Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2014, In: Econometrics Journal. 17, 1, p. 24-55Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence
Ibragimov, R., Pedersen, Rasmus Søndergaard & Skrobotov, A., 2024, In: Journal of Financial Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 40100909
Most downloads
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2334
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Research output: Working paper › Research
Published -
104
downloads
Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
98
downloads
Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
Published