Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

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    ORCID: 0000-0002-5137-6003

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    1. 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. 241-263

      Research output: Contribution to journal › Journal article › Research › peer-review

    2. 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. 1-34

      Research output: Contribution to journal › Journal article › Research › peer-review

    3. 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

    4. 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

    5. 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 journal › Journal article › Research › peer-review

    6. 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

    7. Published

      Nonstationary GARCH with t-distributed innovations

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

      Research output: Contribution to journal › Journal article › Research › peer-review

    8. 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. 261-284

      Research output: Contribution to journal › Journal article › Research › peer-review

    9. Published

      Robust inference in conditionally heteroskedastic autoregressions

      Pedersen, Rasmus Søndergaard, 2020, In: Econometric Reviews. 39, 3, p. 244-259

      Research output: Contribution to journal › Journal article › Research › peer-review

    10. 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 journal › Journal article › Research › peer-review

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