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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- E-pub ahead of print
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, 15 Sep 2020, In : Journal of Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Robust inference in conditionally heteroskedastic autoregressions
Pedersen, Rasmus Søndergaard, 2020, In : Econometric Reviews. 39, 3, p. 244-259Research output: Contribution to journal › Journal article › Research › peer-review
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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70
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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