rtvfi

Department of Finance

Rasmus Tangsgaard
Varneskov
Associate professor


Room: SOL/A4.18
Tel:
+4538153710
E-mail: rtv.fi@cbs.dk
Presentation

Rasmus Varneskov is an Associate Professor of Finance and Senior Quantitative Analyst at Nordea Asset Mangement. He is also a research fellow at CREATES. His research interests cover a variety of fields in time series and financial econometrics, asset pricing and financial economics. He has published his research in leading academic journals such as Journal of Econometrics, Econometric Theory and Journal of Business and Economic Statistics. Before joining CBS in 2017, Rasmus was a postdoctoral researcher at Kellogg School of Management, Northwestern University.

Primary research areas
  • Econometrics
  • High-Dimensional Statistics
  • Asset Pricing
  • Financial Economics
Administrative tasks


Links
Link to this homepage
www.cbs.dk/en/staff/rtvfi
Courses


Supervision


Other teaching activities


Selected publications

Hounyo, U. and Varneskov, R. T. (2017), "A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation", Journal of Econometrics, 198(1), 10-28.

Christensen, B. J. and Varneskov, R. T. (2017), "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination", Journal of Econometrics, 197(2), 218-244.

Varneskov, R. T. (2016), "Estimating the Quadratic Variation Spectrum of Noisy Asset Prices using Generalized Flat-top Realized Kernels", Econometric Theory, forthcoming.

Varneskov, R. T. (2016), "Flat-top Realized Kernel Estimation of Quadratic Covariation with Nonsynchronous and Noisy Asset Prices", Journal of Business and Economic Statistics 31(1), 1-22 (Lead article).

Publications sorted by:
2019
Andreas Neuhierl; Rasmus T. Varneskov / Frequency Dependent Risk
Paper presented at Midwest Finance Association 2019 Annual Meeting , 2019
Paper > peer review
Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus T. Varneskov / Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span
In: Journal of Econometrics, Vol. 212, No. 1, 9.2019, p. 4-25
Journal article > peer review
2018
Rasmus T. Varneskov; Pierre Perron / Combining Long Memory and Level Shifts in Modelling and Forecasting the Volatility of Asset Returns
In: Quantitative Finance, Vol. 18, No. 3, 2018, p. 371-393
Journal article > peer review
Torben G. Andersen; Rasmus T. Varneskov / Consistent Inference for Predictive Regressions in Persistent VAR Economies
Aarhus : Aarhus Universitet 2018, 62 p. (Creates Research Paper, No. 2018-9)
Working paper
Ulrich Hounyo; Rasmus T. Varneskov / Inference for Local Distributions at High Sampling Frequencies : A Bootstrap Approach.
Aarhus : Aarhus Universitet 2018, 54 p. (Creates Research Paper, No. 2018-16)
Working paper > peer review
Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus T. Varneskov / Option Panels in Pure-jump Settings
Aarhus : Aarhus Universitet 2018, 31 p. (Creates Research Paper, No. 2018-4)
Working paper
Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus T. Varneskov / Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span
Aarhus : Aarhus Universitet 2018, 73 p. (Creates Research Paper, No. 2018-3)
Working paper
Academic Interests


Outside activities

Nordea Asset Management