2 citations · 2 across the 3 of their papers we have counts for
3 papers
Heavy Tails and Predictive Ability Testing
Jonas F. Frederiksen, Muneya Matsui, Rasmus S. Pedersen
We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss different…
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems
Giuseppe Cavaliere, Adam McCloskey, Rasmus S. Pedersen +1
Limit distributions of likelihood ratio statistics are well-known to be discontinuous in the presence of nuisance parameters at the boundary of the parameter space, which lead to s…
Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach
Muneya Matsui, Rasmus Søndergaard Pedersen
We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic…