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

SCHOLARLY PAPERS

8

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10

CROSSREF CITATIONS

8

Scholarly Papers (8)

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

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

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

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