Department of Economics

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  1. Published

    Nonstationary ARCH and GARCH with t-Distributed Innovations

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2015, Copenhagen, 29 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 7, Vol. 2015).

    Research output: Working paper › Research

  2. Published

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

    Pedersen, Rasmus Søndergaard, 1 Jan 2017, In: Journal of Econometrics. 196, 1, p. 25-36 12 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. Published

    Targeting estimation of CCC-GARCH models with infinite fourth moments

    Pedersen, Rasmus Søndergaard, 2014, Kbh.: Økonomisk institut, Københavns Universitet, 31 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 04, Vol. 2014).

    Research output: Working paper › Research

  4. Published

    Multivariate Variance Targeting in the BEKK-GARCH Model

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2014, In: Econometrics Journal. 17, 1, p. 24-55

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. Published

    Multivariate Variance Targeting in the BEKK-GARCH Model

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2012, Kbh.: Økonomisk institut, Københavns Universitet, 33 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 23, Vol. 12).

    Research output: Working paper › Research

  6. Published

    Testing Garch-X Type Models

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2017, 35 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-15).

    Research output: Working paper › Research

  7. Published

    Robust inference in conditionally heteroskedastic autoregressions

    Pedersen, Rasmus Søndergaard, 2020, In: Econometric Reviews. 39, 3, p. 244-259

    Research output: Contribution to journal › Journal article › Research › peer-review

  8. Published

    Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

    Pedersen, Rasmus Søndergaard & Matsui, M., 2022, In: Econometric Theory. 38, 1, p. 1-34

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. Published

    Testing in GARCH-X Type Models

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. Published

    Nonstationary GARCH with t-distributed innovations

    Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In: Economics Letters. 138, p. 19-21

    Research output: Contribution to journal › Journal article › Research › peer-review

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