Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

Member of:


    1. 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

    2. 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 articlepeer-review

    3. 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 articlepeer-review

    ID: 40100909