Rasmus T. Varneskov
Rasmus Varneskov is an Associate Professor of Finance and Senior Quantitative Analyst at Nordea Asset Mangement. 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. Rasmus obtained his PhD from Aarhus University and CREATES in 2014.
Andersen, T. G. & Varneskov, R. T. (2022). Testing for parameter instability and structural change in persistent predictive regressions. Journal of Econometrics, 231(2), 361-386. https://doi.org/10.1016/j.jeconom.2021.05.011
Andersen, T. G. & Varneskov, R. T. (2021). Consistent inference for predictive regressions in persistent economic systems. Journal of Econometrics, 224(1), 215-244. https://doi.org/10.1016/j.jeconom.2020.04.051
Christensen, B. J. & Varneskov, R. T. (2021). Dynamic Global Currency Hedging. Journal of Financial Econometrics, 19(1), 97-127. https://doi.org/10.1093/jjfinec/nbaa030
Neuhierl, A. & Varneskov, R. T. (2021). Frequency dependent risk. Journal of Financial Economics, 140(2), 644-675. https://doi.org/10.1016/j.jfineco.2021.01.007
Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2021). Spatial dependence in option observation errors. Econometric Theory, 37(2), 205-247. https://doi.org/10.1017/S0266466620000183
Hounyo, U. & Varneskov, R. T. (2020). Inference for local distributions at high sampling frequencies: A bootstrap approach. Journal of Econometrics, 215(1), 1-34. https://doi.org/10.1016/j.jeconom.2019.09.001
Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2019). Inference for option panels in pure-jump settings. Econometric Theory, 35(5), 901-942. https://doi.org/10.1017/S0266466618000373
Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2019). Unified inference for nonlinear factor models from panels with fixed and large time span. Journal of Econometrics, 212(1), 4-25. https://doi.org/10.1016/j.jeconom.2019.04.018
Varneskov, R. T. & Perron, P. (2018). Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Quantitative Finance, 18(3), 371–393. https://doi.org/10.1080/14697688.2017.1329591
Hounyo, U. & 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. https://doi.org/10.1016/j.jeconom.2017.01.002
Varneskov, R. T. (2017). Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels. Econometric Theory, 33(6), 1457-1501. https://doi.org/10.1017/S0266466616000475
Christensen, B. J. & 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. https://doi.org/10.1016/j.jeconom.2016.07.009
Varneskov, R. T. (2016). Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices. Journal of Business and Economic Statistics, 34(1), 1-22. https://doi.org/10.1080/07350015.2015.1005622
Varneskov, R. T. (2014). Estimating the Quadratic Variation Spectrum of Noisy Asset Prices Using Generalized Flat-top Realized Kernels. http://econ.au.dk/fileadmin/site_files/filer_oekonomi/Working_Papers/CREATES/2011/rp11_31.pdf
Varneskov, R. T. (2013). Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. Institut for Økonomi, Aarhus Universitet.
Varneskov, R. T. & Voev, V. R. (2013). The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts. Journal of Empirical Finance, 20(January), 83-95. https://doi.org/10.1016/j.jempfin.2012.11.002
Haldrup, N., Kruse, R., Teräsvirta, T. & Varneskov, R. T. (2013). Unit Roots, Non-linearities, and Structural Breaks. In N. Hashimzade & M. A. Thornton (Eds.), Handbook of Research Methods and Applications in Empirical Macroeconomics (pp. 61-94). Edward Elgar Publishing.
