Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. 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

  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. 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

  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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