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: 50
- 2017
- 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
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 journal › Journal article › Research › peer-review
ID: 40100909
Most downloads
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2141
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Research output: Working paper › Research
Published -
63
downloads
Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
15
downloads
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