Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

Member of:

    ORCID: 0000-0002-5137-6003

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    1. 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

    2. 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

    3. 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

    4. 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

    5. 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

    6. 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

    7. 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

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

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

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