Rasmus Søndergaard Pedersen

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Dynamic conditional eigenvalue GARCH Journal of Econometrics	2023-11-17	Paper
Multivariate variance targeting in the BEKK-GARCH model Econometrics Journal	2022-07-26	Paper
Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach Econometric Theory	2022-03-21	Paper
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models Journal of Econometrics	2022-03-16	Paper
Robust inference in conditionally heteroskedastic autoregressions Econometric Reviews	2022-03-04	Paper
Testing GARCH-X type models Econometric Theory	2019-11-18	Paper
The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models Journal of Time Series Analysis	2018-11-16	Paper
Modelling the pharmacokinetics of tramadol: on the difference between CYP2D6 extensive and poor metabolizers Journal of Theoretical Biology	2018-10-22	Paper
Nonstationary GARCH with \(t\)-distributed innovations Economics Letters	2018-08-31	Paper
On the tail behavior of a class of multivariate conditionally heteroskedastic processes Extremes	2018-08-03	Paper
On the tail behavior of a class of multivariate conditionally heteroskedastic processes Extremes	2018-08-03	Paper
Inference and testing on the boundary in extended constant conditional correlation GARCH models Journal of Econometrics	2016-11-17	Paper
Targeting estimation of CCC-GARCH models with infinite fourth moments Econometric Theory	2016-04-22	Paper

Research outcomes over time

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