Rasmus Søndergaard Pedersen
Associate Professor
Økonomisk Institut
Øster Farimagsgade 5, 1353 København K, 26, Building: 26.3.01
ORCID: 0000-0002-5137-6003
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Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2014, In : Econometrics Journal. 17, 1, p. 24-55Research 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
ID: 40100909
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Research output: Working paper › Research
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Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
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14
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Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach
Research output: Contribution to journal › Journal article › Research › peer-review
E-pub ahead of print