Robust Econometric Methods in Empirical and Quantitative Finance

Risk and returns on financial assets are key areas of interest in both academics and applied quantitative finance. In order to empirically assess risk and returns on assets, one should be aware of the well-documented properties that financial assets exhibit heavy-tailedness and are subject to time-varying volatility.

Rasmus Søndergaard Pedersen develops new improved financial econometric methods that take these properties into account with particular attention to the applicability of the methods within important areas of finance. The methods may be used to answer questions like:

How does one select a best performing model for quantifying the risk of financial assets, and how well is the risk estimated?

The methods should be intuitive and easy to use, despite the underlying requirement of sophisticated and technical econometric theory. The applicability of the methods will be illustrated by shedding new light on important topics and existing studies within empirical and quantitative finance.