Rasmus Søndergaard Pedersen
Associate Professor
Økonomisk Institut
Øster Farimagsgade 5, 1353 København K, 26, Building: 26.3.01
ORCID: 0000-0002-5137-6003
1 - 2 out of 2Page size: 10
- 2016
- 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
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
ID: 40100909
Most downloads
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2182
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Research output: Working paper › Research
Published -
70
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Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
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