Rasmus Tangsgaard Varneskov

Copenhagen Business School - Department of Finance

A4.17 Solbjerg Plads 3

Copenhagen , Frederiksberg 2000

Denmark

Nordea Bank AB - Nordea Asset Management

PO Box 850

Copenhagen, 0900

Denmark

  • Copenhagen Business School - Department of Finance

  • Nordea Bank AB - Nordea Asset Management

SCHOLARLY PAPERS

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Scholarly Papers (8)

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1.

Option Characteristics as Cross-Sectional Predictors

LawFin Working Paper No. 37
Number of pages: 59 Posted: 08 Mar 2021 Last Revised: 30 Jun 2022
Andreas Neuhierl, Xiaoxiao Tang, Rasmus Tangsgaard Varneskov and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Copenhagen Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,191 (24,718)

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Asset Pricing, Factor Models, High-dimensional Methods, Option-implied Risk

2.

Dynamic Global Currency Hedging

Number of pages: 62 Posted: 19 Jan 2016 Last Revised: 16 Nov 2018
Bent Jesper Christensen and Rasmus Tangsgaard Varneskov
Aarhus University and Copenhagen Business School - Department of Finance
Downloads 204 (205,642)
Citation 3

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Currency Hedging, Foreign Exchange Rates, High-frequency Data, Infill Asymptotics, Mean-Variance Analyis, Quadratic Covariation, Realized Currency Beta

3.

Frequency Dependent Risk

Number of pages: 67 Posted: 26 Oct 2018 Last Revised: 23 Apr 2020
Andreas Neuhierl and Rasmus Tangsgaard Varneskov
Washington University in St. Louis - John M. Olin Business School and Copenhagen Business School - Department of Finance
Downloads 182 (227,460)
Citation 4

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Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis

4.

Bootstrapping Laplace Transforms of Volatility

Number of pages: 41 Posted: 03 Feb 2020 Last Revised: 27 May 2021
Ulrich Hounyo, Zhi Liu and Rasmus Tangsgaard Varneskov
University at Albany, SUNY, University of Macau and Copenhagen Business School - Department of Finance
Downloads 68 (449,645)
Citation 2

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Bootstrap inference, Edgeworth expansions, High-frequency data, Higher-order refinements, Ito semimartingales, Realized Laplace transform, Spot measure inference

5.

Consistent Inference for Predictive Regressions in Persistent Economic Systems

Downloads 54 (494,248)
Citation 9

Consistent Inference for Predictive Regressions in Persistent Economic Systems

Number of pages: 91 Posted: 02 Apr 2019 Last Revised: 15 Nov 2019
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 54 (510,723)
Citation 8

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Endogeneity Bias, Fractional Integration, Frequency Domain Inference, Hypothesis Testing, Spurious Inference, Stochastic Volatility, VAR Models

6.

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Downloads 53 (506,521)
Citation 1

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Number of pages: 77 Posted: 23 Nov 2020 Last Revised: 08 Dec 2021
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 53 (515,082)
Citation 1

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Cointegration, Fractional Integration, Frequency Domain Inference, Local Spectrum Procedure, Return Predictability, Rank Testing, VAR Models

7.

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Downloads 47 (519,467)

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Number of pages: 43 Posted: 25 Jun 2020 Last Revised: 15 Mar 2021
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 47 (542,957)

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Cointegration, Fractional Integration, Frequency Domain Inference, Local Spectrum Procedure, Parameter Instability, Structural Change, Volatility Forecasting

8.

Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach

Number of pages: 56 Posted: 10 Dec 2018
Ulrich Hounyo and Rasmus Tangsgaard Varneskov
University at Albany, SUNY and Copenhagen Business School - Department of Finance
Downloads 11 (769,916)
Citation 1

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Bootstrap Inference, High-Frequency Data, It\^o Semimartingales, Kolmogorov-Smirnov Test, Stable Processes, Von-Mises Statistics