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

10

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SSRN CITATIONS
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28

CROSSREF CITATIONS

9

Scholarly Papers (10)

1.

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

Number of pages: 54 Posted: 08 Mar 2021 Last Revised: 21 Feb 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 1,894 (16,718)
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 257 (221,824)
Citation 4

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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 238 (239,247)
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 132 (399,854)
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 74 (597,864)
Citation 6

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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: 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 78 (579,491)
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 64 (648,072)

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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 57 (674,242)
Citation 1

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

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 51 (709,443)
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 21 (946,679)

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