Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. 2015
  2. 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

  3. 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

  4. 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

  5. 2014
  6. 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

  7. 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

  8. 2012
  9. 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

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