Rasmus Søndergaard Pedersen

University of Copenhagen

Nørregade 10

Copenhagen, DK-1165

Denmark

SCHOLARLY PAPERS

2

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229

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2

CROSSREF CITATIONS

1

Scholarly Papers (2)

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1.

Dynamic Conditional Eigenvalue GARCH

Number of pages: 55 Posted: 09 Jan 2020
Simon Hetland, Rasmus Søndergaard Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 131 (396,380)

Abstract:

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Multivariate GARCH; GO-GARCH; Reduced Rank; Asymptotic Theory

2.

Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

Number of pages: 36 Posted: 05 Dec 2018
Giuseppe Cavaliere, Heino Bohn Nielsen, Rasmus Søndergaard Pedersen and Anders Rahbek
University of Bologna - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 98 (489,656)
Citation 3

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Inference on the boundary, Nuisance parameters on the boundary, ARCH models, Bootstrap