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Details about Rasmus Søndergaard Pedersen

E-mail:
Homepage:https://sites.google.com/site/rspecon/
Workplace:Økonomisk Institut (Department of Economics), Københavns Universitet (University of Copenhagen), (more information at EDIRC)

Access statistics for papers by Rasmus Søndergaard Pedersen.

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

Short-id: ppe754


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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 Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2017)
  2. Nonstationary ARCH and GARCH with t-Distributed Innovations
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

2014

  1. Targeting estimation of CCC-Garch models with infinite fourth moments
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (5)
    See also Journal Article in Econometric Theory (2016)

2012

  1. Multivariate Variance Targeting in the BEKK-GARCH Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) Downloads View citations (1)

    See also Journal Article in Econometrics Journal (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 Downloads View citations (14)
    See also Working Paper (2015)

2016

  1. Nonstationary GARCH with t-distributed innovations
    Economics Letters, 2016, 138, (C), 19-21 Downloads View citations (13)
  2. TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS
    Econometric Theory, 2016, 32, (2), 498-531 Downloads View citations (4)
    See also Working Paper (2014)

2014

  1. Multivariate variance targeting in the BEKK–GARCH model
    Econometrics Journal, 2014, 17, (1), 24-55 Downloads View citations (29)
    See also Working Paper (2012)
 
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