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: 100
- 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 paper › Research
- Published
Testing in GARCH-X Type Models
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In : Econometric Theory. 35, 5, p. 1012-1047Research output: Contribution to journal › Journal article › Research › peer-review
ID: 40100909
Most downloads
-
2182
downloads
Targeting estimation of CCC-GARCH models with infinite fourth moments
Research output: Working paper › Research
Published -
70
downloads
Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
14
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