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Inference and testing on the boundary in extended constant conditional correlation GARCH models
Pedersen, Rasmus Søndergaard - 2015
Persistent link: https://www.econbiz.de/10011343436
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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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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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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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Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard; Pedersen, Rasmus Søndergaard; … - 2019
Persistent link: https://www.econbiz.de/10012319208
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Testing GARCH-X type models
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2017
Persistent link: https://www.econbiz.de/10011721273