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

5

DOWNLOADS

246

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (5)

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1.

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 138 (217,251)
Citation 3

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

2.

Frequency Dependent Risk

Number of pages: 58 Posted: 26 Oct 2018 Last Revised: 16 Oct 2019
Andreas Neuhierl and Rasmus Tangsgaard Varneskov
University of Notre Dame - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 70 (341,601)

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Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis

3.

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 20 (541,298)
Citation 3

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

4.

Bootstrapping Laplace Transforms of Volatility

Number of pages: 35 Posted: 03 Feb 2020
Ulrich Hounyo, Zhi Liu and Rasmus Tangsgaard Varneskov
Aarhus University - CREATES, University of Macau and Copenhagen Business School - Department of Finance
Downloads 12 (591,535)

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

5.

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
Aarhus University - CREATES and Copenhagen Business School - Department of Finance
Downloads 6 (631,482)

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