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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
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Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2015
Persistent link: https://www.econbiz.de/10010515451
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Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2015
Persistent link: https://www.econbiz.de/10010529443
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Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2012
Persistent link: https://www.econbiz.de/10009667363
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Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: The econometrics journal 17 (2014) 1, pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
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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
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Bootstrap inference on the boundary of the parameter space with application to conditional volatility models
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Pedersen, … - 2018
Persistent link: https://www.econbiz.de/10011948862
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Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard; Pedersen, Rasmus Søndergaard; … - 2019
Persistent link: https://www.econbiz.de/10012319208
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Inference and testing in multivariate GARCH models
Pedersen, Rasmus Søndergaard - 2015
Persistent link: https://www.econbiz.de/10011433554
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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