rtvfi
Department of Finance
- Center for Big Data in Finance (BIGFI)
- Center for Statistics
Rasmus Tangsgaard
Varneskov
Professor
Room:
SOL/A4.13
Tel:
+4538153710
E-mail:
rtv.fi@cbs.dk
512196
Presentation
Rasmus Varneskov is a Professor of Statistics and Financial Econometrics. Moreover, he is employed by Alphadyne Asset Management. His research interests span a variety of areas in time series and financial econometrics, asset pricing and financial economics. He has published in leading academic journals such as Journal of Econometrics, Journal of Financial Economics, Journal of Business and Economic Statistics and Quantitative Economics. He received the Econometric Theory Multa Scripsit award in 2023. Before joining CBS, Rasmus was a postdoctoral researcher in Finance at Northwestern University's Kellogg School of Management.
Primary research areas
- Econometrics
- High-Dimensional Statistics
- Asset Pricing
- Financial Economics
Links
Link to this homepage
www.cbs.dk/en/staff/rtvfi
Courses
Financial derivatives and their applications
Financial Econometrics
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, 33(6), pp. 1457-1501.
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:
2025
Ulrich Hounyo; Zhi Liu; Rasmus T. Varneskov / A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility
In: Economics Letters, Vol. 247, 2.2025
In: Economics Letters, Vol. 247, 2.2025
Journal article > peer review
2023
Ulrich Hounyo; Zhi Liu; Rasmus T. Varneskov / Bootstrapping Laplace Transforms of Volatility
In: Quantitative Economics, Vol. 14, No. 3, 7.2023, p. 1059-1103
In: Quantitative Economics, Vol. 14, No. 3, 7.2023, p. 1059-1103
Journal article > peer review
Andreas Neuhierl; Xiaoxiao Tang; Rasmus T. Varneskov; Guofu Zhou / Option Characteristics as Cross-sectional Predictors
Abstract from ASSA 2023 Annual Meeting, 2023
Abstract from ASSA 2023 Annual Meeting, 2023
Conference abstract for conference > peer review
2022
Torben G. Andersen; Rasmus T. Varneskov / Consistent Local Spectrum Inference for Predictive Return Regressions
In: Econometric Theory, Vol. 38, No. 6, 12.2022, p. 1253-1307
In: Econometric Theory, Vol. 38, No. 6, 12.2022, p. 1253-1307
Journal article > peer review
Torben G. Andersen; Rasmus T. Varneskov / Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
In: Journal of Econometrics, Vol. 231, No. 2, 12.2022, p. 361-386
In: Journal of Econometrics, Vol. 231, No. 2, 12.2022, p. 361-386
Journal article > peer review
2021
Torben G. Andersen; Rasmus T. Varneskov / Consistent Inference for Predictive Regressions in Persistent Economic Systems
In: Journal of Econometrics, Vol. 224, No. 1, 9.2021, p. 215-244
In: Journal of Econometrics, Vol. 224, No. 1, 9.2021, p. 215-244
Journal article > peer review
Torben G. Andersen; Rasmus T. Varneskov / Consistent Inference for Predictive Regressions in Persistent Economic Systems
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 52 p. (National Bureau of Economic Research. Working Paper Series, No. 28568)
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 52 p. (National Bureau of Economic Research. Working Paper Series, No. 28568)
Working paper > peer review
Torben G. Andersen; Rasmus T. Varneskov / Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 57 p. (National Bureau of Economic Research. Working Paper Series, Vol. 28569)
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 57 p. (National Bureau of Economic Research. Working Paper Series, Vol. 28569)
Working paper > peer review
Andreas Neuhierl; Xiaoxiao Tang; Rasmus T. Varneskov; Guofu Zhou / Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?
: SSRN: Social Science Research Network 2021, 54 p. (S&P Global Market Intelligence Research Paper Series)
: SSRN: Social Science Research Network 2021, 54 p. (S&P Global Market Intelligence Research Paper Series)
Working paper
Bent Jesper Christensen; Rasmus T. Varneskov / Dynamic Global Currency Hedging
In: Journal of Financial Econometrics, Vol. 19, No. 1, 1.2021, p. 97-127
In: Journal of Financial Econometrics, Vol. 19, No. 1, 1.2021, p. 97-127
Journal article > peer review
2021
Andreas Neuhierl; Rasmus T. Varneskov / Frequency Dependent Risk
In: Journal of Financial Economics, Vol. 140, No. 2, 5.2021, p. 644-675
In: Journal of Financial Economics, Vol. 140, No. 2, 5.2021, p. 644-675
Journal article > peer review
Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus T. Varneskov / Spatial Dependence in Option Observation Errors
In: Econometric Theory, Vol. 37, No. 2, 4.2021, p. 205-247
In: Econometric Theory, Vol. 37, No. 2, 4.2021, p. 205-247
Journal article > peer review
Torben G. Andersen; Rasmus T. Varneskov / Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 42 p. (National Bureau of Economic Research. Working Paper Series, No. 28570)
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 42 p. (National Bureau of Economic Research. Working Paper Series, No. 28570)
Working paper > peer review
2020
Andreas Neuhierl; Rasmus T. Varneskov / Frequency Dependent Risk
Paper presented at The 80th Annual Meeting of American Finance Association. AFA 2020, 2020
Paper presented at The 80th Annual Meeting of American Finance Association. AFA 2020, 2020
Paper > peer review
Ulrich Hounyo; Rasmus T. Varneskov / Inference for Local Distributions at High Sampling Frequencies : A Bootstrap Approach.
In: Journal of Econometrics, Vol. 215, No. 1, 3.2020, p. 1-34
In: Journal of Econometrics, Vol. 215, No. 1, 3.2020, p. 1-34
Journal article > peer review
2019
Andreas Neuhierl; Rasmus T. Varneskov / Frequency Dependent Risk
Paper presented at Midwest Finance Association 2019 Annual Meeting , 2019
Paper presented at Midwest Finance Association 2019 Annual Meeting , 2019
Paper > peer review
Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus T. Varneskov / Inference for Option Panels in PURE-Jump Settings
In: Econometric Theory, Vol. 35, No. 5, 10.2019, p. 901-942
In: Econometric Theory, Vol. 35, No. 5, 10.2019, p. 901-942
Journal article > 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
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
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)
Aarhus : Aarhus Universitet 2018, 62 p. (Creates Research Paper, No. 2018-9)
Working paper
2018
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)
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)
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)
Aarhus : Aarhus Universitet 2018, 73 p. (Creates Research Paper, No. 2018-3)
Working paper
2017
Ulrich Hounyo; Rasmus T. Varneskov / A Local Stable Bootstrap for Power Variations of Pure-jump Semimartingales and Activity Index Estimation
In: Journal of Econometrics, Vol. 198, No. 1, 5.2017, p. 10-28
In: Journal of Econometrics, Vol. 198, No. 1, 5.2017, p. 10-28
Journal article > peer review
Rasmus T. Varneskov / Estimating the Quadratic Variation Spectrum of Noisy Asset Prices using Generalized Flat-Top Realized Kernels
In: Econometric Theory, Vol. 33, No. 6, 12.2017, p. 1457-1501
In: Econometric Theory, Vol. 33, No. 6, 12.2017, p. 1457-1501
Journal article > peer review
Bent Jesper Christensen; Rasmus T. Varneskov / Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-frequency Contamination
In: Journal of Econometrics, Vol. 197, No. 2, 4.2017, p. 218-244
In: Journal of Econometrics, Vol. 197, No. 2, 4.2017, p. 218-244
Journal article > peer review
2016
Rasmus T. Varneskov / Flat-top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices
In: Journal of Business and Economic Statistics, Vol. 34, No. 1, 2016, p. 1-22
In: Journal of Business and Economic Statistics, Vol. 34, No. 1, 2016, p. 1-22
Journal article > peer review
2013
Rasmus T. Varneskov; Valeri Voev / The Role of Realized Ex-Post Covariance Measures and Dynamic Model Choice and the Quality of Covariance Forecast
In: Journal of Empirical Finance, Vol. 20, 2013, p. 83-95
In: Journal of Empirical Finance, Vol. 20, 2013, p. 83-95
Journal article > peer review
Niels Haldrup; Robinson Kruse; Timo Teräsvirta; Rasmus T. Varneskov / Unit Roots, Non-Linearities and Structural Breaks
In: Handbook of Research Methods and Applications in Empirical Macroeconomics. ed. /Nigar Hashimzade; Michael A. Thornton . : Edward Elgar Publishing 2013, p. 61-94 (Handbooks of Research Methods and Application )
In: Handbook of Research Methods and Applications in Empirical Macroeconomics. ed. /Nigar Hashimzade; Michael A. Thornton . : Edward Elgar Publishing 2013, p. 61-94 (Handbooks of Research Methods and Application )
Book chapter > peer review
More results... (total 29 results)
Research Projects
Outside activities
- Nordea Asset Management (2014 -- 2024)
- Alphadyne Asset Management (2024 -- present)