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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
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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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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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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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Inference and testing in multivariate GARCH models
Pedersen, Rasmus Søndergaard - 2015
Persistent link: https://www.econbiz.de/10011433554
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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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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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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 ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2015
Persistent link: https://www.econbiz.de/10010529443
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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