Narrow search
Showing 1 - 9 of 9
Cover Image
Inference and testing on the boundary in extended constant conditional correlation GARCH models
Pedersen, Rasmus Søndergaard - In: Journal of econometrics 196 (2017) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10011743481
Cover Image
Targeting estimation of CCC-GARCH models with infinite fourth moments
Pedersen, Rasmus Søndergaard - In: Econometric theory 32 (2016) 2, pp. 498-531
Persistent link: https://www.econbiz.de/10011578507
Cover Image
Robust inference in conditionally heteroskedastic autoregressions
Pedersen, Rasmus Søndergaard - In: Econometric reviews 39 (2020) 3, pp. 244-259
Persistent link: https://www.econbiz.de/10012181447
Cover Image
Nonstationary GARCH with tt-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Economics letters 138 (2016), pp. 19-21
Persistent link: https://www.econbiz.de/10011615340
Cover Image
Testing GARCH-X type models
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Econometric theory 35 (2019) 5, pp. 1012-1047
Persistent link: https://www.econbiz.de/10012146218
Cover Image
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard; Pedersen, Rasmus Søndergaard; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Cover Image
Characterization of the tail behavior of a class of BEKK processes : a stochastic recurrence equation approach
Matsui, Muneya; Pedersen, Rasmus Søndergaard - In: Econometric theory 38 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013166113
Cover Image
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Pedersen, … - In: Journal of econometrics 227 (2022) 1, pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Cover Image
The Fixed Volatility Bootstrap for a Class of Arch(q ) Models
Cavaliere, Giuseppe; Pedersen, Rasmus Søndergaard; … - In: Journal of Time Series Analysis 39 (2018) 6, pp. 920-941
Persistent link: https://www.econbiz.de/10012094946