E-LIB Suche - Ergebnisse für: Pedersen, Rasmus Søndergaard

1

New Approaches to Robust Inference on Market (Non-)efficien..:

Ibragimov, Rustam ; Pedersen, Rasmus Søndergaard ; Skrobotov, Anton
Journal of Financial Econometrics. , 2023

Link: https://doi.org/10.1093/..

2

Dynamic conditional eigenvalue GARCH:

Hetland, Simon ; Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Journal of Econometrics. 237 (2023) 2 - p. 105175 , 2023

Link: https://doi.org/10.1016/..

3

Bootstrap inference on the boundary of the parameter space,..:

Cavaliere, Giuseppe ; Nielsen, Heino Bohn ; Pedersen, Rasmus Søndergaard.
Journal of Econometrics. 227 (2022) 1 - p. 241-263 , 2022

Link: https://doi.org/10.1016/..

4

CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PR..:

Matsui, Muneya ; Pedersen, Rasmus Søndergaard
Econometric Theory. 38 (2021) 1 - p. 1-34 , 2021

Link: https://doi.org/10.1017/..

5

Robust inference in conditionally heteroskedastic autoregre..:

Pedersen, Rasmus Søndergaard
Econometric Reviews. 39 (2019) 3 - p. 244-259 , 2019

Link: https://doi.org/10.1080/..

6

TESTING GARCH-X TYPE MODELS:

Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Econometric Theory. 35 (2018) 5 - p. 1012-1047 , 2018

Link: https://doi.org/10.1017/..

7

The Fixed Volatility Bootstrap for a Class of Arch(q) Model:

Cavaliere, Giuseppe ; Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Journal of Time Series Analysis. 39 (2018) 6 - p. 920-941 , 2018

Link: https://doi.org/10.1111/..

8

On the tail behavior of a class of multivariate conditional..:

Pedersen, Rasmus Søndergaard ; Wintenberger, Olivier
Extremes. 21 (2017) 2 - p. 261-284 , 2017

Link: https://doi.org/10.1007/..

9

Inference and testing on the boundary in extended constant ..:

Pedersen, Rasmus Søndergaard
Journal of Econometrics. 196 (2017) 1 - p. 23-36 , 2017

Link: https://doi.org/10.1016/..

10

Nonstationary GARCH with t-distributed innovations:

Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Economics Letters. 138 (2016) - p. 19-21 , 2016

Link: https://doi.org/10.1016/..

11

TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOUR..:

Pedersen, Rasmus Søndergaard
Econometric Theory. 32 (2016) 2 - p. 498-531 , 2016

Link: http://www.jstor.org/sta..

12

TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOUR..:

Pedersen, Rasmus Søndergaard
Econometric Theory. 32 (2015) 2 - p. 498-531 , 2015

Link: https://doi.org/10.1017/..

13

Bootstrap inference on the boundary of the parameter space,..:

Cavaliere, Giuseppe ; Nielsen, Heino Bohn ; Pedersen, Rasmus Søndergaard.
info:eu-repo/semantics/altIdentifier/wos/WOS:000760554100014. , 2022

Link: https://hdl.handle.net/1..

14

Characterization of the tail behavior of a class of BEKK pr..:

Matsui, Muneya ; Pedersen, Rasmus Søndergaard
http://arxiv.org/abs/1902.08364. , 2019

Link: http://arxiv.org/abs/190..

15

On the tail behavior of a class of multivariate conditional..:

Pedersen, Rasmus, Søndergaard ; Wintenberger, Olivier
info:eu-repo/semantics/altIdentifier/arxiv/1701.05091. , 2017

Link: https://hal.science/hal-..