Rasmus Søndergaard Pedersen
Associate Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-01
Member of:
ORCID: 0000-0002-5137-6003
11 - 12 out of 12Page size: 10
- 2016
- Published
Nonstationary GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In: Economics Letters. 138, p. 19-21Research output: Contribution to journal › Journal article › Research › peer-review
- 2014
- 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
ID: 40100909
Most downloads
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2338
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Research output: Working paper › Research
Published -
106
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 -
99
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Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
Published