Rasmus Søndergaard Pedersen
Associate Professor
Department of Economics
Ãster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-01
Member of:
- Published
Nonstationary ARCH and GARCH with t-Distributed Innovations
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2015, Copenhagen, 29 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 7, Vol. 2015).Research output: Working paper › Research
- Published
Nonstationary GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In: Economics Letters. 138, p. 19-21Research 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
- Published
Robust inference in conditionally heteroskedastic autoregressions
Pedersen, Rasmus Søndergaard, 2020, In: Econometric Reviews. 39, 3, p. 244-259Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Targeting estimation of CCC-GARCH models with infinite fourth moments
Pedersen, Rasmus Søndergaard, Apr 2016, In: Econometric Theory. 32, 02, p. 498-531Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Targeting estimation of CCC-GARCH models with infinite fourth moments
Pedersen, Rasmus Søndergaard, 2014, Kbh.: Økonomisk institut, Københavns Universitet, 31 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 04, Vol. 2014).Research output: Working paper › Research
- 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 paper › Research
- Published
Testing in GARCH-X Type Models
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047Research output: Contribution to journal › Journal article › Research › peer-review
- 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
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
downloads
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