Rasmus Søndergaard Pedersen
Associate Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-01
Member of:
ORCID: 0000-0002-5137-6003
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New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence
Ibragimov, R., Pedersen, Rasmus Søndergaard & Skrobotov, A., 2024, In: Journal of Financial Econometrics.Research 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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Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Research output: Contribution to journal › Journal article › Research › peer-review
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98
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Robust inference in conditionally heteroskedastic autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
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