Rasmus Søndergaard Pedersen
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
Econometric Theory
Resampling Methods
Publications
New approaches to robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence (with Rustam Ibragimov and Anton Skrobotov), 2023, Forthcoming in Journal of Financial Econometrics. [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
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions (with Anders Kock and Jesper Riis-Vestergaard Sørensen), 2024
Uniform Critical Value Construction for Likelihood Ratio Statistics in Boundary Problems (with Giuseppe Cavaliere, Adam McCloskey, and Anders Rahbek)
Testing in GARCH-X Models: Boundary, Correlations, and Bootstrap Theory (with Heino Bohn Nielsen, Anders Rahbek, and Sigurd Nellemann Thorsen)