Rasmus Søndergaard Pedersen

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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

   Targeting estimation of CCC-GARCH models with infinite fourth moments

   Pedersen, Rasmus Søndergaard, Apr 2016, In: Econometric Theory. 32, 02, p. 498-531

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

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

   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

Selected activities

1. Econometric Society World Congress 2015

   Pedersen, Rasmus Søndergaard (Speaker)

   17 Aug 2015 → 21 Aug 2015

   Activity: Participating in an event - types › Organisation of and participation in conference

2. 5th Lindau Meeting on Economic Sciences

   Pedersen, Rasmus Søndergaard (Participant)

   19 Aug 2014 → 23 Aug 2014

   Activity: Participating in an event - types › Organisation of and participation in conference