Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

Member of:


    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 journalJournal articlepeer-review

    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 articlepeer-review

    3. 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. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18-10).

      Research output: Working paperResearch

    4. 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 journalJournal articlepeer-review

    5. 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 articlepeer-review

    6. Published

      Robust inference in conditionally heteroskedastic autoregressions

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

      Research output: Contribution to journalJournal articlepeer-review

    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 articlepeer-review

    8. 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 journalJournal articlepeer-review

    9. 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

    10. 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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