Rasmus Søndergaard Pedersen

Available identifiers

Publication	Date of Publication	Type
Dynamic conditional eigenvalue GARCH	2023-11-17	Paper
Multivariate variance targeting in the BEKK-GARCH model	2022-07-26	Paper
CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH	2022-03-21	Paper
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models	2022-03-16	Paper
Robust inference in conditionally heteroskedastic autoregressions	2022-03-04	Paper
TESTING GARCH-X TYPE MODELS	2019-11-18	Paper
The Fixed Volatility Bootstrap for a Class of Arch(q) Models	2018-11-16	Paper
Modelling the pharmacokinetics of tramadol: on the difference between CYP2D6 extensive and poor metabolizers	2018-10-22	Paper
Nonstationary GARCH with \(t\)-distributed innovations	2018-08-31	Paper
On the tail behavior of a class of multivariate conditionally heteroskedastic processes	2018-08-03	Paper
Inference and testing on the boundary in extended constant conditional correlation GARCH models	2016-11-17	Paper
Targeting estimation of CCC-GARCH models with infinite fourth moments	2016-04-22	Paper

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