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Department of Finance
- Center for Statistics
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).
I: Journal of Econometrics, Vol. 224, Nr. 1, 9.2021, s. 215-244
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 52 s. (National Bureau of Economic Research. Working Paper Series, Nr. 28568)
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 57 s. (National Bureau of Economic Research. Working Paper Series, Vol. 28569)
I: Journal of Financial Econometrics, Vol. 19, Nr. 1, 1.2021, s. 97-127
I: Journal of Financial Economics, Vol. 140, Nr. 2, 5.2021, s. 644-675
I: Econometric Theory, Vol. 37, Nr. 2, 4.2021, s. 205-247
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 42 s. (National Bureau of Economic Research. Working Paper Series, Nr. 28570)
Paper presented at The 80th Annual Meeting of American Finance Association. AFA 2020, 2020
I: Journal of Econometrics, Vol. 215, Nr. 1, 3.2020, s. 1-34
Paper presented at Midwest Finance Association 2019 Annual Meeting , 2019
I: Econometric Theory, Vol. 35, Nr. 5, 10.2019, s. 901-942
I: Journal of Econometrics, Vol. 212, Nr. 1, 9.2019, s. 4-25
I: Quantitative Finance, Vol. 18, Nr. 3, 2018, s. 371-393
Aarhus : Aarhus Universitet 2018, 62 s. (Creates Research Paper, Nr. 2018-9)
Aarhus : Aarhus Universitet 2018, 54 s. (Creates Research Paper, Nr. 2018-16)
Aarhus : Aarhus Universitet 2018, 31 s. (Creates Research Paper, Nr. 2018-4)
Aarhus : Aarhus Universitet 2018, 73 s. (Creates Research Paper, Nr. 2018-3)
I: Journal of Econometrics, Vol. 198, Nr. 1, 5.2017, s. 10-28
I: Econometric Theory, Vol. 33, Nr. 6, 12.2017, s. 1457-1501
I: Journal of Econometrics, Vol. 197, Nr. 2, 4.2017, s. 218-244
I: Journal of Business and Economic Statistics, Vol. 34, Nr. 1, 2016, s. 1-22
I: Journal of Empirical Finance, Vol. 20, 2013, s. 83-95
I: Handbook of Research Methods and Applications in Empirical Macroeconomics. red. /Nigar Hashimzade; Michael A. Thornton . : Edward Elgar Publishing 2013, s. 61-94 (Handbooks of Research Methods and Application )
Nordea Asset Management