Robust Econometric Methods in Empirical and Quantitative Finance
Rasmus Søndergaard Pedersen develops new improved financial econometric methods. The new methods take the properties heavy-tailedness and time-varying volatility into account with particular attention to the applicability of the methods within important areas of finance.
Risk and returns on financial assets are key areas of interest in both academics and applied quantitative finance. In order to empirically assess risk and returns on assets, one should be aware of the well-documented properties that financial assets exhibit heavy-tailedness and are subject to time-varying volatility.
Rasmus Søndergaard Pedersen develops new improved financial econometric methods that take these properties into account with particular attention to the applicability of the methods within important areas of finance. The methods may be used to answer questions like:
How does one select a best performing model for quantifying the risk of financial assets, and how well is the risk estimated?
The methods should be intuitive and easy to use, despite the underlying requirement of sophisticated and technical econometric theory. The applicability of the methods will be illustrated by shedding new light on important topics and existing studies within empirical and quantitative finance.
Researchers
| Name | Title | Job responsibilities | |
|---|---|---|---|
| Rasmus Søndergaard Pedersen | Associate Professor | Financial Econometrics; Time Series Econometrics; Econometric Theory; Heavy-Tailed Time Series; Models for Time-Varying Volatility |
|
Funded by:
Robust Econometric Methods in Empirical and Quantitative Finance has received a three year funding from The Independent Research Foundation Denmark
Period: July 2020 - April 2024
Contact
Principal investigator Rasmus Søndergaard Pedersen