Details about Rasmus Søndergaard Pedersen

Access statistics for papers by Rasmus Søndergaard Pedersen.

Last updated 2017-01-16. Update your information in the RePEc Author Service.

Short-id: ppe754

Working Papers

2015

1. Inference and testing on the boundary in extended constant conditional correlation GARCH models
   Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
   See also Journal Article Inference and testing on the boundary in extended constant conditional correlation GARCH models, Journal of Econometrics, Elsevier (2017) View citations (27) (2017)
2. Nonstationary ARCH and GARCH with t-Distributed Innovations
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)

2014

3. Targeting estimation of CCC-Garch models with infinite fourth moments
   Discussion Papers, University of Copenhagen. Department of Economics View citations (5)
   See also Journal Article TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS, Econometric Theory, Cambridge University Press (2016) View citations (9) (2016)

2012

4. Multivariate Variance Targeting in the BEKK-GARCH Model
   Discussion Papers, University of Copenhagen. Department of Economics View citations (1)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (1)
   See also Journal Article Multivariate variance targeting in the BEKK–GARCH model, Econometrics Journal, Royal Economic Society (2014) View citations (41) (2014)

Journal Articles

2017

1. Inference and testing on the boundary in extended constant conditional correlation GARCH models
   Journal of Econometrics, 2017, 196, (1), 23-36 View citations (27)
   See also Working Paper Inference and testing on the boundary in extended constant conditional correlation GARCH models, Discussion Papers (2015) View citations (2) (2015)

2016

2. Nonstationary GARCH with t-distributed innovations
   Economics Letters, 2016, 138, (C), 19-21 View citations (16)
3. TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS
   Econometric Theory, 2016, 32, (2), 498-531 View citations (9)
   See also Working Paper Targeting estimation of CCC-Garch models with infinite fourth moments, Discussion Papers (2014) View citations (5) (2014)

2014

4. Multivariate variance targeting in the BEKK–GARCH model
   Econometrics Journal, 2014, 17, (1), 24-55 View citations (41)
   See also Working Paper Multivariate Variance Targeting in the BEKK-GARCH Model, Discussion Papers (2012) View citations (1) (2012)