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Rasmus Søndergaard Pedersen : Citation Profile


Are you Rasmus Søndergaard Pedersen?

Københavns Universitet

3

H index

1

i10 index

30

Citations

RESEARCH PRODUCTION:

4

Articles

6

Papers

RESEARCH ACTIVITY:

   5 years (2012 - 2017). See details.
   Cites by year: 6
   Journals where Rasmus Søndergaard Pedersen has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 3 (9.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe754
   Updated: 2018-02-17    RAS profile: 2017-01-16    
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Relations with other researchers


Works with:

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)

Hotta, Luiz (4)

Wintenberger, Olivier (4)

Braione, Manuela (2)

Storti, Giuseppe (2)

Bauwens, Luc (2)

Zakoian, Jean-Michel (2)

Sucarrat, Genaro (2)

Karanasos, Menelaos (1)

Galeano, Pedro (1)

Anatolyev, Stanislav (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)

McAleer, Michael (2)

Fan, Jianqing (2)

Phillips, Peter (2)

Nakatani, Tomoaki (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 (2018 and 2017)


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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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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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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2017Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model. (2017). Arvanitis, Stelios ; Louka, Alexandros . In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:135-137.

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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 ; Braione, Manuela ; Bauwens, Luc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz ; 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). Pedersen, Rasmus ; Wintenberger, Olivier . In: Post-Print. RePEc:hal:journl:hal-01436267.

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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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Works by Rasmus Søndergaard Pedersen:


YearTitleTypeCited
2012Multivariate Variance Targeting in the BEKK-GARCH Model In: CREATES Research Papers.
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paper17
2012Multivariate Variance Targeting in the BEKK-GARCH Model.(2012) In: Discussion Papers.
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This paper has another version. Agregated cites: 17
paper
2014Multivariate variance targeting in the BEKK–GARCH model.(2014) In: Econometrics Journal.
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This paper has another version. Agregated cites: 17
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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article5
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: 5
paper
2016Nonstationary GARCH with t-distributed innovations In: Economics Letters.
[Full Text][Citation analysis]
article3
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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