rtvfi
Department of Finance
- Center for Statistics
Rasmus Tangsgaard
Varneskov
Professor
Room:
SOL/A4.18
Tel:
+4538153710
E-mail:
rtv.fi@cbs.dk
512196
Presentation
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.
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
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:
2022
Torben G. Andersen; Rasmus T. Varneskov / Consistent Local Spectrum Inference for Predictive Return Regressions
In: Econometric Theory, 3.8.2022
In: Econometric Theory, 3.8.2022
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
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
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
2020
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
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
2017
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 25 results)
Outside activities
Nordea Asset Management