Permanent Faculty – University of Copenhagen

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Department of Economics > People > Permanent Faculty

Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Assistant professor

Personal website: https://sites.google.com/site/rspecon/

Primary fields of research

Time series econometrics, econometric theory, financial econometrics, multivariate models for time series, GARCH.

Teaching

Econometrics C, Financial Econometrics A.

Selected publications

  1. Published

    Inference and testing on the boundary in extended constant conditional correlation GARCH models

    Pedersen, R. S. Jan 2017 In : Journal of Econometrics. 196, 1, p. 23-36

    Research output: Research - peer-reviewJournal article

  2. Published

    Targeting estimation of CCC-GARCH models with infinite fourth moments

    Pedersen, R. S. Apr 2016 In : Econometric Theory. 32, 02, p. 498-531

    Research output: Research - peer-reviewJournal article

  3. Published

    Nonstationary GARCH with t-distributed innovations

    Pedersen, R. S. & Rahbek, A. 2016 In : Economics Letters. 138, p. 19-21

    Research output: Research - peer-reviewJournal article

  4. Published

    Multivariate Variance Targeting in the BEKK-GARCH Model

    Pedersen, R. S. & Rahbek, A. 2014 In : Econometrics Journal. 17, 1, p. 24-55

    Research output: Research - peer-reviewJournal article

Selected activities

  1. Econometric Society World Congress 2015

    Pedersen, R. S. (Speaker)
    17 Aug 201521 Aug 2015

    Activity: Participating in or organising an eventOrganisation of and participation in conference

  2. 5th Lindau Meeting on Economic Sciences

    Pedersen, R. S. (Participant)
    19 Aug 201423 Aug 2014

    Activity: Participating in or organising an eventOrganisation of and participation in conference

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