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
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Targeting estimation of CCC-GARCH models with infinite fourth moments
Pedersen, R. S., Apr 2016, 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
25 Citations (Scopus) -
Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, R. S. & Rahbek, A., 2014, In: Econometrics Journal. 17, 1, p. 24-55Research output: Contribution to journal › Journal article › Research › peer-review
37 Citations (Scopus) -
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence
Ibragimov, R., Pedersen, R. S. & Skrobotov, A., 2024, In: Journal of Financial Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
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Testing in GARCH-X models: boundary, correlations and bootstrap theory
Nielsen, H. B., Pedersen, R. S., Rahbek, A. & Thorsen, S. N., 2024, (E-pub ahead of print) In: Journal of Time Series Analysis.Research output: Contribution to journal › Journal article › Research › peer-review
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Dynamic Conditional Eigenvalue GARCH
Rahbek, A., Pedersen, R. S. & Hetland, S. T., 2023, In: Journal of Econometrics. 237, 2B, 21 p., 105175.Research output: Contribution to journal › Journal article › Research › peer-review
File3 Citations (Scopus)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., Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263Research output: Contribution to journal › Journal article › Research › peer-review
File13 Citations (Scopus)129 Downloads (Pure) -
Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach
Pedersen, R. S. & Matsui, M., 2022, In: Econometric Theory. 38, 1, p. 1-34Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile49 Downloads (Pure)
Activities
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Econometric Society World Congress 2015
Rasmus Søndergaard Pedersen (Speaker)
17 Aug 2015 → 21 Aug 2015Activity: Participating in 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 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 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 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 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 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