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

4

DOWNLOADS

175

CITATIONS

2

Scholarly Papers (4)

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 124 (224,407)
Citation 1

Abstract:

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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: 51 Posted: 26 Oct 2018
Andreas Neuhierl and Rasmus Tangsgaard Varneskov
University of Notre Dame - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 36 (434,769)

Abstract:

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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: 78 Posted: 02 Apr 2019
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 9 (579,871)
Citation 1

Abstract:

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

4.

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 (598,786)

Abstract:

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