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
1 - 2 out of 2Page size: 10
- 2018
- Published
The Fixed Volatility Bootstrap for a Class of ARCH(q) Models
Cavaliere, G., Pedersen, Rasmus Søndergaard & Rahbek, Anders, 5 Aug 2018, In: Journal of Time Series Analysis. 39, 6, p. 920-941Research output: Contribution to journal › Journal article › Research › peer-review
- Published
On the tail behavior of a class of multivariate conditionally heteroskedastic processes
Pedersen, Rasmus Søndergaard & Wintenberger, O., Jun 2018, In: Extremes. 21, 2, p. 261-284Research 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
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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