Associate Professor @ Department of Economics,  University of Copenhagen.

Contact Information:

E-mail: rsp "at" econ.ku.dk

Mail:  

        Department of Economics

        University of Copenhagen

        Øster Farimagsgade 5, Building 26  

        DK-1353, Copenhagen K

        Denmark

Research Interests:

• Financial Econometrics

• Heavy-Tailed Time Series

• Econometric Theory

• Resampling Methods

• High-Dimensional Statistics

My CV

Publications

Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions (with Anders Kock and Jesper Riis-Vestergaard Sørensen), 2025, Forthcoming in Journal of the American Statistical Association [working paper]

Testing in GARCH-X Models: Boundary, Correlations, and Bootstrap Theory (with Heino Bohn Nielsen, Anders Rahbek, and Sigurd Nellemann Thorsen), 2024, Forthcoming in Journal of Time Series Analysis. [working paper]

New approaches to robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence (with Rustam Ibragimov and Anton Skrobotov), 2024, Journal of Financial Econometrics, 22, pp. 1075-1097. [working paper] [online appendix]

Dynamic Conditional Eigenvalue GARCH (with Simon Hetland and Anders Rahbek), 2023. Journal of Econometrics, 237, Issue 2, Part B. [working paper]      

Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach (with Muneya Matsui), 2022.  Econometric Theory, 38, pp.1-34. [working paper]

Bootstrap inference on the boundary of the parameter space with application to conditional volatility models (with Giuseppe Cavaliere, Heino Bohn Nielsen, and Anders Rahbek), 2022, Journal of Econometrics, 227, pp. 241-263 [working paper]

Robust inference in conditionally heteroskedastic autoregressions, 2020, Econometric Reviews, 39, pp. 244-259 [working paper]

Testing GARCH-X type models (with Anders Rahbek), 2019, Econometric Theory, 35, pp. 1012-1047 [working paper]

The fixed volatility bootstrap for a class of ARCH(q) models (with  Giuseppe Cavaliere and Anders Rahbek), 2018, Journal of Time Series Analysis, 39, pp. 920-941 [working paper]

On the tail behavior of a class of multivariate conditionally heteroskedastic processes (with Olivier Wintenberger), 2018, Extremes, 21, pp. 261-284 [working paper]

Inference and testing on the boundary in extended constant conditional correlation GARCH models, 2017, Journal of Econometrics, 196, pp. 23-36 [working paper]

Targeting estimation of CCC-GARCH models with infinite fourth moments, 2016, Econometric Theory, 32, pp. 498-531 [working paper]

Nonstationary GARCH with t-distributed innovations (with Anders Rahbek) (supplementary material), 2016, Economics Letters, 138, pp. 19-21 [working paper]

Multivariate variance targeting in the BEKK-GARCH model (with Anders Rahbek), 2014, The Econometrics Journal, 17, pp. 24-55 [working paper]

Work in progress and working papers

Uniform Critical Value Construction for Likelihood Ratio Statistics in Boundary Problems (with Giuseppe Cavaliere, Adam McCloskey, and Anders Rahbek)

Testing for Equal Predictive Ability under Heavy Tails (with Jonas F. Frederiksen and Muneya Matsui)