Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  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, 5 Dec 2018, 36 p. (SSRN: Social Science Research Network ).

    Research output: Working paperResearch

  2. 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. 920-941

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. Accepted/In press

    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, 2019, (Accepted/In press) In : Journal of Econometrics.

    Research output: Contribution to journalJournal articleResearchpeer-review

  4. 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 journalJournal articleResearchpeer-review

  5. Published

    Robust inference in conditionally heteroskedastic autoregressions

    Pedersen, Rasmus Søndergaard, 2020, In : Econometric Reviews. 39, 3

    Research output: Contribution to journalJournal articleResearchpeer-review

  6. 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

  7. Published

    Testing in GARCH-X Type Models

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In : Econometric Theory. 35, 5, p. 1012-1047

    Research output: Contribution to journalJournal articleResearchpeer-review

  8. Published

    Testing Garch-X Type Models

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2017, 35 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-15).

    Research output: Working paperResearch

  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

  10. 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

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