| Multivariate variance targeting in the BEKK–GARCH model RS Pedersen, A Rahbek The Econometrics Journal 17 (1), 24-55, 2014 | 78 | 2014 |
| Inference and testing on the boundary in extended constant conditional correlation GARCH models RS Pedersen Journal of Econometrics 196 (1), 23-36, 2017 | 38 | 2017 |
| Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models G Cavaliere, HB Nielsen, RS Pedersen, A Rahbek Journal of Econometrics 227 (1), 241-263, 2022 | 31 | 2022 |
| Testing GARCH-X type models RS Pedersen, A Rahbek Econometric Theory 35 (5), 1012-1047, 2019 | 31 | 2019 |
| The Fixed Volatility Bootstrap for a Class of Arch(q) Models G Cavaliere, RS Pedersen, A Rahbek Journal of Time Series Analysis 39 (6), 920-941, 2018 | 14 | 2018 |
| Targeting estimation of CCC-GARCH models with infinite fourth moments RS Pedersen Econometric Theory 32 (2), 498-531, 2016 | 13 | 2016 |
| Dynamic conditional eigenvalue GARCH S Hetland, RS Pedersen, A Rahbek Journal of Econometrics 237 (2), 105175, 2023 | 11 | 2023 |
| Nonstationary GARCH with t-distributed innovations RS Pedersen, A Rahbek Economics letters 138, 19-21, 2016 | 9 | 2016 |
| On the tail behavior of a class of multivariate conditionally heteroskedastic processes RS Pedersen, O Wintenberger Extremes 21 (2), 261-284, 2018 | 8 | 2018 |
| New approaches to robust inference on market (non-) efficiency, volatility clustering and nonlinear dependence R Ibragimov, RS Pedersen, A Skrobotov Journal of Financial Econometrics, nbad020, 2023 | 7 | 2023 |
| Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach M Matsui, RS Pedersen Econometric Theory 38 (1), 1-34, 2022 | 5 | 2022 |
| Robust inference in conditionally heteroskedastic autoregressions RS Pedersen Econometric Reviews 39 (3), 244-259, 2020 | 5 | 2020 |
| New approaches to robust inference on market (non-) efficiency, volatility clustering and nonlinear dependence A Skrobotov, R Pedersen, R Ibragimov Volatility Clustering and Nonlinear Dependence (July 20, 2021), 2021 | 1 | 2021 |
| Nonstationary ARCH and GARCH with t-Distributed Innovations R Pedersen, A Rahbek Univ. of Copenhagen Dept. of Economics Discussion Paper, 2015 | 1 | 2015 |
| Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions AB Kock, RS Pedersen, JRV Sørensen arXiv preprint arXiv:2403.06657, 2024 | | 2024 |
| Testing GARCH-X Models A Rahbek, RS Pedersen Department of Economics, University of Copenhagen, 2017 | | 2017 |
| Inference and testing in multivariate GARCH models RS Pedersen Copenhagen: University of Copenhagen, Department of Economics, 2015 | | 2015 |
| Nonstationary ARCH and GARCH with T-distributed Innovations A Rahbek, RS Pedersen Department of Economics, University of Copenhagen, 2015 | | 2015 |
| Multivariate Variance Targeting in the BEKK-GARCH Model A Rahbek, RS Pedersen Department of Economics, University of Copenhagen, 2012 | | 2012 |
