Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor


  1. 2020
  2. 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, 2020, (Accepted/In press) In : Journal of Econometrics.

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. Published

    Robust inference in conditionally heteroskedastic autoregressions

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

    Research output: Contribution to journalJournal articleResearchpeer-review

  4. 2019
  5. Published

    Dynamic Conditional Eigenvalue GARCH

    Hetland, Simon Thinggaard, Pedersen, Rasmus Søndergaard & Rahbek, Anders, 17 Dec 2019, 55 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-13).

    Research output: Working paperResearch

  6. 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

  7. 2018
  8. 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

  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 journalJournal articleResearchpeer-review

  10. 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

  11. 2017
  12. Published

    Inference and testing on the boundary in extended constant conditional correlation GARCH models

    Pedersen, Rasmus Søndergaard, 1 Jan 2017, In : Journal of Econometrics. 196, 1, p. 25-36 12 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  13. 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

  14. 2016
  15. 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 journalJournal articleResearchpeer-review

  16. Published

    Nonstationary GARCH with t-distributed innovations

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In : Economics Letters. 138, p. 19-21

    Research output: Contribution to journalJournal articleResearchpeer-review

  17. 2015
  18. 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

  19. Published

    Inference and Testing in Multivariate GARCH Models

    Pedersen, Rasmus Søndergaard, 2015, Copenhagen: Department of Economics, University of Copenhagen. 137 p.

    Research output: Book/ReportPh.D. thesisResearch

  20. 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 paperResearch

  21. 2014
  22. 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

  23. 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 paperResearch

  24. 2012
  25. 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

ID: 40100909