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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
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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
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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