Department of Finance

rtvfi

Department of Finance

  • Center for Statistics
Rasmus Tangsgaard
Varneskov
Professor


Kontor: SOL/A4.13
Tel:
+4538153710
E-mail: rtv.fi@cbs.dk
Præsentation

Rasmus Varneskov is a Professor of Statistics and Financial Econometrics. Moreover, he is a Portfolio Manager and the Head of Asset Allocation Research for the Multi Assets investment boutique at Nordea 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, Econometric Theory and Journal of Business and Economic Statistics. Before joining CBS, 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

Personal website

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

Financial derivatives and their applications

Financial Econometrics

 

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:
2023
Ulrich Hounyo; Zhi Liu; Rasmus T. Varneskov / Bootstrapping Laplace Transforms of Volatility
I: Quantitative Economics, Vol. 14, Nr. 3, 7.2023, s. 1059-1103
Tidsskriftartikel > peer review
Andreas Neuhierl; Xiaoxiao Tang; Rasmus T. Varneskov; Guofu Zhou / Option Characteristics as Cross-sectional Predictors
Abstract from ASSA 2023 Annual Meeting, 2023
Konferenceabstrakt til konference > peer review
2022
Torben G. Andersen; Rasmus T. Varneskov / Consistent Local Spectrum Inference for Predictive Return Regressions
I: Econometric Theory, Vol. 38, Nr. 6, 12.2022, s. 1253-1307
Tidsskriftartikel > peer review
Torben G. Andersen; Rasmus T. Varneskov / Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
I: Journal of Econometrics, Vol. 231, Nr. 2, 12.2022, s. 361-386
Tidsskriftartikel > peer review
2021
Torben G. Andersen; Rasmus T. Varneskov / Consistent Inference for Predictive Regressions in Persistent Economic Systems
I: Journal of Econometrics, Vol. 224, Nr. 1, 9.2021, s. 215-244
Tidsskriftartikel > 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 s. (National Bureau of Economic Research. Working Paper Series, Nr. 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 s. (National Bureau of Economic Research. Working Paper Series, Vol. 28569)
Working paper > peer review
Bent Jesper Christensen; Rasmus T. Varneskov / Dynamic Global Currency Hedging
I: Journal of Financial Econometrics, Vol. 19, Nr. 1, 1.2021, s. 97-127
Tidsskriftartikel > peer review
Andreas Neuhierl; Rasmus T. Varneskov / Frequency Dependent Risk
I: Journal of Financial Economics, Vol. 140, Nr. 2, 5.2021, s. 644-675
Tidsskriftartikel > peer review
Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus T. Varneskov / Spatial Dependence in Option Observation Errors
I: Econometric Theory, Vol. 37, Nr. 2, 4.2021, s. 205-247
Tidsskriftartikel > peer review
Flere resultater ...(i alt 27 )
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Bibeskæftigelse

Nordea Asset Management