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Department of Finance
Rasmus Varneskov is an Associate Professor of Finance and Statistics as well as a research fellow at CREATES. Moreover, he is a Portfolio Manager and the Head of Asset Allocation Research with the Multi Assets investment boutique at Nordea Asset Management. 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.
- Econometrics
- High-Dimensional Statistics
- Asset Pricing
- Financial Economics
Financial derivatives and their applications
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).
Paper presented at The 80th Annual Meeting of American Finance Association. AFA 2020, 2020
In: Journal of Econometrics, Vol. 215, No. 1, 3.2020, p. 1-34
Paper presented at Midwest Finance Association 2019 Annual Meeting , 2019
In: Econometric Theory, Vol. 35, No. 5, 10.2019, p. 901-942
In: Journal of Econometrics, Vol. 212, No. 1, 9.2019, p. 4-25
In: Quantitative Finance, Vol. 18, No. 3, 2018, p. 371-393
Aarhus : Aarhus Universitet 2018, 62 p. (Creates Research Paper, No. 2018-9)
Aarhus : Aarhus Universitet 2018, 54 p. (Creates Research Paper, No. 2018-16)
Aarhus : Aarhus Universitet 2018, 31 p. (Creates Research Paper, No. 2018-4)
Aarhus : Aarhus Universitet 2018, 73 p. (Creates Research Paper, No. 2018-3)
Nordea Asset Management