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

10

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20

Scholarly Papers (10)

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1.

Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?

Number of pages: 54 Posted: 08 Mar 2021 Last Revised: 23 Oct 2024
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 2,264 (14,521)
Citation 1

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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 309 (213,308)
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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 269 (244,914)
Citation 4

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Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis

4.

Bootstrapping Laplace Transforms of Volatility

Number of pages: 42 Posted: 03 Feb 2020 Last Revised: 11 Aug 2022
Ulrich Hounyo, Zhi Liu and Rasmus Tangsgaard Varneskov
University at Albany, SUNY, University of Macau and Copenhagen Business School - Department of Finance
Downloads 140 (445,542)
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.

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 119 (506,547)
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Bootstrap Inference, High-Frequency Data, It\^o Semimartingales, Kolmogorov-Smirnov Test, Stable Processes, Von-Mises Statistics

6.

Consistent Inference for Predictive Regressions in Persistent Economic Systems

Downloads 77 (595,998)
Citation 6

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 77 (685,941)
Citation 6

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

7.

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Downloads 85 (612,206)
Citation 1

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

Number of pages: 55 Posted: 23 Nov 2020 Last Revised: 11 Aug 2022
Torben G. Andersen and Rasmus Tangsgaard Varneskov
Northwestern University - Kellogg School of Management and Copenhagen Business School - Department of Finance
Downloads 85 (646,513)
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Cointegration, Fractional Integration, Frequency Domain Inference, Local Spectrum Procedure, Return Predictability, Rank Testing, VAR Models

8.

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Downloads 69 (652,196)

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 69 (730,565)

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

9.

A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility

Number of pages: 7 Posted: 18 Aug 2022
Ulrich Hounyo, Zhi Liu and Rasmus Tangsgaard Varneskov
University at Albany, SUNY, University of Macau and Copenhagen Business School - Department of Finance
Downloads 77 (676,304)
Citation 1

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Bootstrap, High-frequency data, Ito semimartingales, Realized Laplace transform

10.

Bootstrapping Laplace Transforms of Volatility: Supplementary Appendix

Number of pages: 38 Posted: 24 Apr 2023
Ulrich Hounyo, Zhi Liu and Rasmus Tangsgaard Varneskov
University at Albany, SUNY, University of Macau and Copenhagen Business School - Department of Finance
Downloads 27 (1,069,705)

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