rtvfi

Department of Finance

Rasmus Tangsgaard
Varneskov
Lektor


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

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.

Primære forskningsområder
  • Econometrics
  • High-Dimensional Statistics
  • Asset Pricing
  • Financial Economics
Administrative opgaver


Links
Link til denne hjemmeside
www.cbs.dk/staff/rtvfi
Kurser

Financial derivatives and their applications

 

Vejledning


Andre undervisningsaktiviteter


Udvalgte publikationer

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).

Publikationer sorteret efter:
2020
Andreas Neuhierl; Rasmus T. Varneskov / Frequency Dependent Risk
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.
I: Journal of Econometrics, Vol. 215, Nr. 1, 3.2020, s. 1-34
Tidsskriftartikel > peer review
Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus T. Varneskov / Spatial Dependence in Options Observation Errors
I: Econometric Theory, 13.4.2020
Kommentar/debat > peer review
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 / Inference for Option Panels in PURE-Jump Settings
I: Econometric Theory, Vol. 35, Nr. 5, 10.2019, s. 901-942
Tidsskriftartikel > 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
I: Journal of Econometrics, Vol. 212, Nr. 1, 9.2019, s. 4-25
Tidsskriftartikel > peer review
2018
Rasmus T. Varneskov; Pierre Perron / Combining Long Memory and Level Shifts in Modelling and Forecasting the Volatility of Asset Returns
I: Quantitative Finance, Vol. 18, Nr. 3, 2018, s. 371-393
Tidsskriftartikel > peer review
Torben G. Andersen; Rasmus T. Varneskov / Consistent Inference for Predictive Regressions in Persistent VAR Economies
Aarhus : Aarhus Universitet 2018, 62 s. (Creates Research Paper, Nr. 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 s. (Creates Research Paper, Nr. 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 s. (Creates Research Paper, Nr. 2018-4)
Working paper
Flere resultater ...(i alt 11 )
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Bibeskæftigelse

Nordea Asset Management