Rasmus Søndergaard Pedersen : Citation Profile


Are you Rasmus Søndergaard Pedersen?

Københavns Universitet

3

H index

1

i10 index

27

Citations

RESEARCH PRODUCTION:

4

Articles

6

Papers

RESEARCH ACTIVITY:

   5 years (2012 - 2017). See details.
   Cites by year: 5
   Journals where Rasmus Søndergaard Pedersen has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 3 (10 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe754
   Updated: 2017-11-23    RAS profile: 2017-01-16    
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Relations with other researchers


Works with:

Rahbek, Anders (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rasmus Søndergaard Pedersen.

Is cited by:

Francq, Christian (6)

Wintenberger, Olivier (4)

Storti, Giuseppe (2)

Zakoian, Jean-Michel (2)

Sucarrat, Genaro (2)

Bauwens, Luc (2)

Karanasos, Menelaos (1)

Khrapov, Stanislav (1)

Horvath, Lajos (1)

Ruiz, Esther (1)

Galeano, Pedro (1)

Cites to:

Zakoian, Jean-Michel (9)

Francq, Christian (9)

Rahbek, Anders (5)

Conrad, Christian (4)

Weber, Enzo (3)

Teräsvirta, Timo (3)

Horvath, Lajos (3)

Phillips, Peter (2)

Fan, Jianqing (2)

Granger, Clive (2)

Ling, Shiqing (2)

Main data


Where Rasmus Søndergaard Pedersen has published?


Working Papers Series with more than one paper published# docs
Discussion Papers / University of Copenhagen. Department of Economics4

Recent works citing Rasmus Søndergaard Pedersen (2017 and 2016)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Asgharian, Hossein ; Wang, Weining ; Jun, AI ; Christiansen, Charlotte . In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes. (2017). Wintenberger, Olivier ; Pedersen, Rasmus . In: Papers. RePEc:arx:papers:1701.05091.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2016Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Pape, Katharina ; Wied, Dominik . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz K ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes. (2017). Wintenberger, Olivier ; Pedersen, Rasmus . In: Working Papers. RePEc:hal:wpaper:hal-01436267.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders . In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2016Variance targeting estimation of the BEKK-X model. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75572.

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2016Equation by equation estimation of the semi-diagonal BEKK model with covariates. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75582.

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Works by Rasmus Søndergaard Pedersen:


YearTitleTypeCited
2012Multivariate Variance Targeting in the BEKK-GARCH Model In: CREATES Research Papers.
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paper16
2012Multivariate Variance Targeting in the BEKK-GARCH Model.(2012) In: Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2014Multivariate variance targeting in the BEKK–GARCH model.(2014) In: Econometrics Journal.
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This paper has another version. Agregated cites: 16
article
2015Nonstationary ARCH and GARCH with t-distributed Innovations In: CREATES Research Papers.
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paper0
2015Nonstationary ARCH and GARCH with t-Distributed Innovations.(2015) In: Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2016TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS In: Econometric Theory.
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article4
2014Targeting estimation of CCC-Garch models with infinite fourth moments.(2014) In: Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2016Nonstationary GARCH with t-distributed innovations In: Economics Letters.
[Full Text][Citation analysis]
article2
2017Inference and testing on the boundary in extended constant conditional correlation GARCH models In: Journal of Econometrics.
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article5
2015Inference and testing on the boundary in extended constant conditional correlation GARCH models.(2015) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper

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