Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen

Associate Professor

Member of:

    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 journalJournal articlepeer-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 journalJournal articlepeer-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 journalJournal articlepeer-review

    Selected activities

    1. Econometric Society World Congress 2015

      Pedersen, Rasmus Søndergaard (Speaker)

      17 Aug 201521 Aug 2015

      Activity: Participating in an event - typesOrganisation of and participation in conference

    2. 5th Lindau Meeting on Economic Sciences

      Pedersen, Rasmus Søndergaard (Participant)

      19 Aug 201423 Aug 2014

      Activity: Participating in an event - typesOrganisation of and participation in conference

    ID: 40100909