Rasmus Søndergaard Pedersen : Citation Profile


Are you Rasmus Søndergaard Pedersen?

Københavns Universitet

4

H index

3

i10 index

56

Citations

RESEARCH PRODUCTION:

4

Articles

6

Papers

RESEARCH ACTIVITY:

   5 years (2012 - 2017). See details.
   Cites by year: 11
   Journals where Rasmus Søndergaard Pedersen has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 3 (5.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe754
   Updated: 2020-09-26    RAS profile: 2017-01-16    
   Missing citations? Add them    Incorrect content? Let us know

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 (11)

darolles, serge (4)

Laurent, Sébastien (4)

Hotta, Luiz (4)

Ruiz, Esther (4)

Wintenberger, Olivier (4)

Zakoian, Jean-Michel (3)

Zhu, Ke (3)

Bitros, George (3)

Storti, Giuseppe (2)

Pelizzon, Loriana (2)

Cites to:

Zakoian, Jean-Michel (9)

Francq, Christian (9)

Rahbek, Anders (5)

Conrad, Christian (4)

Teräsvirta, Timo (4)

Weber, Enzo (3)

Horvath, Lajos (3)

Phillips, Peter (2)

Nakatani, Tomoaki (2)

Granger, Clive (2)

Andrews, Donald (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 (2020 and 2019)


YearTitle of citing document
2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

Full description at Econpapers || Download paper

2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

Full description at Econpapers || Download paper

2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

Full description at Econpapers || Download paper

2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

Full description at Econpapers || Download paper

2020A note on Portmanteau tests for conditional heteroscedastistic models. (2020). Jiang, Feiyu ; Ben, Youhong. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301257.

Full description at Econpapers || Download paper

2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

Full description at Econpapers || Download paper

2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

Full description at Econpapers || Download paper

2019Effect of bifurcation on the interaction between Bitcoin and Litecoin. (2019). Xue, Changyong ; Tu, Zhiyong. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306275.

Full description at Econpapers || Download paper

2019Testing the existence of moments for GARCH processes. (2019). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:98892.

Full description at Econpapers || Download paper

2020Mean targeting estimator for the integer-valued GARCH(1, 1) model. (2020). Li, QI ; Zhu, Fukang. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0958-9.

Full description at Econpapers || Download paper

2020Networks in risk spillovers: A multivariate GARCH perspective. (2020). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo ; Caporin, Massimiliano. In: Working Papers. RePEc:ven:wpaper:2020:16.

Full description at Econpapers || Download paper

Works by Rasmus Søndergaard Pedersen:


YearTitleTypeCited
2012Multivariate Variance Targeting in the BEKK-GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]
paper22
2012Multivariate Variance Targeting in the BEKK-GARCH Model.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2014Multivariate variance targeting in the BEKK–GARCH model.(2014) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
article
2015Nonstationary ARCH and GARCH with t-distributed Innovations In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2015Nonstationary ARCH and GARCH with t-Distributed Innovations.(2015) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS In: Econometric Theory.
[Full Text][Citation analysis]
article6
2014Targeting estimation of CCC-Garch models with infinite fourth moments.(2014) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2016Nonstationary GARCH with t-distributed innovations In: Economics Letters.
[Full Text][Citation analysis]
article13
2017Inference and testing on the boundary in extended constant conditional correlation GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]
article15
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: 15
paper

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team