Rasmus Søndergaard Pedersen : Citation Profile

Are you Rasmus Søndergaard Pedersen?

Københavns Universitet

4

H index

3

i10 index

80

Citations

RESEARCH PRODUCTION:

4

Articles

6

Papers

RESEARCH ACTIVITY:

   5 years (2012 - 2017). See details.
   Cites by year: 16
   Journals where Rasmus Søndergaard Pedersen has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 3 (3.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe754
   Updated: 2023-03-25    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 (12)

Hotta, Luiz (4)

Ruiz, Esther (4)

darolles, serge (4)

Laurent, Sébastien (4)

Zakoian, Jean-Michel (4)

Wintenberger, Olivier (4)

Christiansen, Charlotte (3)

Storti, Giuseppe (3)

Bauwens, Luc (3)

Rahbek, Anders (3)

Cites to:

Francq, Christian (9)

Zakoian, Jean-Michel (9)

Rahbek, Anders (5)

Teräsvirta, Timo (4)

Conrad, Christian (4)

Laurent, Sébastien (3)

Weber, Enzo (3)

Horvath, Lajos (3)

Engle, Robert (2)

Noureldin, Diaa (2)

Bollerslev, Tim (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 (2022 and 2021)

YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

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2021Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329.

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2022Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (2022). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:241-263.

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2022Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64.

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

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2022Estimation of multivariate asymmetric power GARCH models. (2022). Saussereau, B ; Kadmiri, O ; Mainassara, Boubacar Y. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x2200077x.

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2021Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models. (2021). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Pauwels, Laurent. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:21-:d:548851.

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2021.

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2021Project Portfolio Construction Using Extreme Value Theory. (2021). Tabasi, Hamed ; Yousefi, Vahidreza ; Tamoaitien, Jolanta. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:2:p:855-:d:481501.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:510.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Christopoulos, A ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2022Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises. (2022). Hunter, John ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04042-y.

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2021Asymptotic normality of the MLE in the level-effect ARCH model. (2021). Iglesias, Emma ; Dahl, Christian M. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01086-y.

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2022Dynamic Partial Correlation Models. (2022). Lange, Rutger-Jan ; Lucas, Andre ; D'Innocenzo, Enzo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220070.

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2022A three?dimensional asymmetric power HEAVY model. (2022). Noikokyris, Emmanouil ; Karanasos, Menelaos ; Chortareas, Georgios ; Yfanti, Stavroula. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:2737-2761.

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Works by Rasmus Søndergaard Pedersen:

YearTitleTypeCited
2012Multivariate Variance Targeting in the BEKK-GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper34
2012Multivariate Variance Targeting in the BEKK-GARCH Model.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2014Multivariate variance targeting in the BEKK–GARCH model.(2014) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		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]		article7
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: 7		paper
2016Nonstationary GARCH with t-distributed innovations In: Economics Letters.
[Full Text][Citation analysis]		article16
2017Inference and testing on the boundary in extended constant conditional correlation GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
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: 23		paper

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