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Rasmus Tangsgaard Varneskov
Rasmus Tangsgaard Varneskov
Copenhagen Business School; Nordea Asset Management; CREATES
Bestätigte E-Mail-Adresse bei cbs.dk - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Combining long memory and level shifts in modeling and forecasting the volatility of asset returns
RT Varneskov, P Perron
Quantitative Finance 18 (3), 371-392, 2017
58*2017
Flat-top realized kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
RT Varneskov
Journal of Business & Economic Statistics 34 (1), 1-22, 2016
382016
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
RT Varneskov
Econometric Theory 33 (6), 1457-1501, 2017
372017
The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
R Varneskov, V Voev
Journal of Empirical Finance 20, 83-95, 2013
312013
Frequency dependent risk
A Neuhierl, RT Varneskov
Journal of Financial Economics 140 (2), 644-675, 2021
282021
Consistent inference for predictive regressions in persistent economic systems
TG Andersen, RT Varneskov
Journal of Econometrics 224 (1), 215-244, 2021
26*2021
Unit roots, non-linearities and structural breaks
N Haldrup, R Kruse, T Teräsvirta, RT Varneskov
Handbook of research methods and applications in empirical macroeconomics, 61-94, 2013
192013
Testing for parameter instability and structural change in persistent predictive regressions
TG Andersen, RT Varneskov
Journal of Econometrics 231 (2), 361-386, 2022
14*2022
Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
BJ Christensen, RT Varneskov
Journal of Econometrics 197 (2), 218-244, 2017
132017
Spatial dependence in option observation errors
TG Andersen, N Fusari, V Todorov, RT Varneskov
Econometric Theory 37 (2), 205-247, 2021
122021
Unified inference for nonlinear factor models from panels with fixed and large time span
TG Andersen, N Fusari, V Todorov, RT Varneskov
Journal of econometrics 212 (1), 4-25, 2019
112019
A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
U Hounyo, RT Varneskov
Journal of Econometrics 198 (1), 10-28, 2017
92017
Dynamic global currency hedging
BJ Christensen, RT Varneskov
Journal of Financial Econometrics 19 (1), 97-127, 2021
82021
Bootstrapping Laplace transforms of volatility
U Hounyo, Z Liu, RT Varneskov
Quantitative Economics 14 (3), 1059-1103, 2023
62023
Consistent Local Spectrum Inference for Predictive Return Regressions
TG Andersen, RT Varneskov
Econometric Theory 38 (6), 1253-1307, 2022
62022
Option characteristics as cross-sectional predictors
A Neuhierl, X Tang, RT Varneskov, G Zhou
Available at SSRN 3795486, 2021
62021
Inference for option panels in pure-jump settings
TG Andersen, N Fusari, V Todorov, RT Varneskov
Econometric Theory 35 (5), 901-942, 2019
6*2019
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
RT Varneskov
62014
Flat-top realized kernel estimation of quadratic covariation with non-synchronous and noisy asset prices
RT Varneskov
62013
Combining long memory and level shifts in modeling and forecasting the volatility of asset returns: Supplementary appendix
RT Varneskov, P Perron
Unpublished Manuscript, Boston University, 2015
52015
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