Research output per year
Research output per year
Personal profile
Short presentation
Personal website: https://sites.google.com/site/rspecon/
Primary fields of research
Time series econometrics, econometric theory, financial econometrics, multivariate models for time series, GARCH.
Teaching
Econometrics C, Financial Econometrics A.
CV
Academic visitorship:
Jan 2014 - Jun 2014: Visiting researcher at Imperial College London
Education:
2012-2015: Ph.D. Economics, University of Copenhagen
2010-2012: M.Sc. Economics (cand.polit), University of Copehagen
2010-2011: Visiting student, University of California, San Diego
2006-2010: B.Sc. Economics, University of Copenhagen
Awards:
Winner of the 2012 Econometric Game
Selected as Young Economist at the 5th Lindau Meeting of the Winners of the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, Lindau, August 2014
Keywords
- Faculty of Social Sciences
- Time series econometrics
- econometric theory
- Financial Econometrics
- multivariate models for time series
- GARCH
Fingerprint
Dive into the research topics where Rasmus Søndergaard Pedersen is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 2 Similar Profiles
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Pedersen, R. S., 4 Dec 2014, In: Econometric Theory. 32, 02, p. 498-531Research output: Contribution to journal › Journal article › Research › peer-review
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Inference and testing on the boundary in extended constant conditional correlation GARCH models
Pedersen, R. S., 1 Jan 2017, In: Journal of Econometrics. 196, 1, p. 25-36 12 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, R. S. & Rahbek, A., Feb 2014, In: Econometrics Journal. 17, 1, p. 24-55Research output: Contribution to journal › Journal article › Research › peer-review
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Robust inference in conditionally heteroskedastic autoregressions
Pedersen, R. S., 15 Mar 2020, In: Econometric Reviews.Research output: Contribution to journal › Journal article › Research › peer-review
42 Downloads (Pure) -
Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, G., Nielsen, H. B., Pedersen, R. S. & Rahbek, A., 2019, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
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Testing in GARCH-X Type Models
Pedersen, R. S. & Rahbek, A., 2019, In: Econometric Theory. 35, 5, p. 1012-1047Research output: Contribution to journal › Journal article › Research › peer-review
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Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, G., Nielsen, H. B., Pedersen, R. S. & Rahbek, A., 5 Dec 2018, 36 p. (SSRN: Social Science Research Network ).Research output: Working paper › Research
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On the tail behavior of a class of multivariate conditionally heteroskedastic processes
Pedersen, R. S. & Wintenberger, O., 1 Jun 2018, In: Extremes. 21, 2, p. 261-284Research output: Contribution to journal › Journal article › Research › peer-review
Activities
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Econometric Society World Congress 2015
Rasmus Søndergaard Pedersen (Speaker)
17 Aug 2015 → 21 Aug 2015Activity: Participating in or organising an event types › Organisation of and participation in conference
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5th Lindau Meeting on Economic Sciences
Rasmus Søndergaard Pedersen (Participant)
19 Aug 2014 → 23 Aug 2014Activity: Participating in or organising an event types › Organisation of and participation in conference
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Time Series Econometrics Seminar at University of Helsinki
Rasmus Søndergaard Pedersen (Speaker)
5 Mar 2018Activity: Talk or presentation types › Lecture and oral contribution
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28th (EC)^2 on Time-varying Parameter Models
Rasmus Søndergaard Pedersen (Speaker)
Dec 2017Activity: Participating in or organising an event types › Organisation of and participation in conference
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Vienna-Copenhagen Conference on Financial Econometrics 2017
Rasmus Søndergaard Pedersen (Participant)
9 Mar 2017 → 11 Mar 2017Activity: Participating in or organising an event types › Participation in workshop, seminar, course
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Workshop on Time Series Analysis
Rasmus Søndergaard Pedersen (Participant)
13 Feb 2017Activity: Participating in or organising an event types › Participation in workshop, seminar, course
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CIBS Conference: The Economics of Post-Factual Democracy
Rasmus Søndergaard Pedersen (Participant)
9 Feb 2017Activity: Participating in or organising an event types › Participation in workshop, seminar, course
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28th (EC)^2 on Time-varying Parameter Models (Event)
Rasmus Søndergaard Pedersen (Member)
2017Activity: Membership types › Membership in review committee
Prizes
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Winner of the 2012 Econometric Game
Pedersen, Rasmus Søndergaard (Recipient), 2012
Prize: Prizes, scholarships, distinctions