Rasmus Søndergaard Pedersen

Rasmus Søndergaard Pedersen is Associate Professor at the Department of Economics, University of Copenhagen, Faculty of Social Sciences. His research focuses on financial and time-series econometrics, with special emphasis on heavy-tailed distributions, time-varying volatility and GARCH-type models.

Education:

• Ph.D. in Economics, University of Copenhagen (2012–2015)
• M.Sc. in Economics (cand.polit.), University of Copenhagen (2010–2012)
• Exchange student, University of California, San Diego (2010–2011)
• B.Sc. in Economics, University of Copenhagen (2006–2010)

Research Interests:
His work spans time-series econometrics, theoretical econometrics, financial econometrics, multidimensional time-series models, GARCH and BEKK specifications, heavy-tailed processes, bootstrap inference on parameter boundaries, high-dimensional VARs and robust inference in financial markets.

Scientific Awards:

• Winner, Econometric Game 2012
• Selected Young Economist, 5th Lindau Meeting on Economic Sciences

Research Visits & Collaboration:

• Visiting researcher, Imperial College London (Jan–Jun 2014)
• Active participant in Econometric Society World Congress, Lindau Meetings, EC² conferences and numerous workshops on time-series econometrics

Teaching & Guidance:
He teaches Econometrics C and Financial Econometrics A at the University of Copenhagen and serves on assessment committees and research networks.