2 citations · 2 across the 4 of their papers we have counts for
5 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…
New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence
Rustam Ibragimov, Rasmus Pedersen, Anton Skrobotov
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the anal…
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…
On the tail behavior of a class of multivariate conditionally heteroskedastic processes
Rasmus Pedersen, Olivier Wintenberger
Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) paramet…