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 employed by Alphadyne 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, Journal of Business and Economic Statistics and Quantitative Economics. He received the Econometric Theory Multa Scripsit award in 2023.  Before joining CBS, Rasmus was a postdoctoral researcher in Finance at Northwestern University's Kellogg School of Management. 

 

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

Personal website

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

Financial derivatives and their applications

Financial Econometrics

 

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:
2025
Ulrich Hounyo; Zhi Liu; Rasmus T. Varneskov / A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility
I: Economics Letters, Vol. 247, 2.2025
Tidsskriftartikel > peer review
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
Andreas Neuhierl; Xiaoxiao Tang; Rasmus T. Varneskov; Guofu Zhou / Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?
: SSRN: Social Science Research Network 2021, 54 s. (S&P Global Market Intelligence Research Paper Series)
Working paper
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
Flere resultater ...(i alt 29 )
Bibeskæftigelse
  • Nordea Asset Management (2014 -- 2024)
  • Alphadyne Asset Management (2024 -- present)