Rasmus Varneskov

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

SCHOLARLY PAPERS

4

DOWNLOADS

39

SSRN CITATIONS

7

CROSSREF CITATIONS

5

Scholarly Papers (4)

Consistent Inference for Predictive Regressions in Persistent Economic Systems

NBER Working Paper No. w28568
Number of pages: 54 Posted: 22 Mar 2021 Last Revised: 22 Jan 2023
Torben G. Andersen and Rasmus Varneskov
Downloads 12 (1,026,697)
Citation 1

Abstract:

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Consistent Local Spectrum (Lcm) Inference for Predictive Return Regressions

NBER Working Paper No. w28569
Number of pages: 78 Posted: 22 Mar 2021 Last Revised: 24 Jul 2023
Torben G. Andersen and Rasmus Varneskov
Downloads 4 (1,103,636)

Abstract:

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Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

NBER Working Paper No. w28570
Number of pages: 44 Posted: 14 Apr 2021 Last Revised: 26 Jul 2023
Torben G. Andersen and Rasmus Varneskov
Downloads 11 (1,037,261)
Citation 2

Abstract:

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4.

A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility1

Number of pages: 7 Posted: 24 Apr 2023
Rasmus Varneskov, Ulrich Hounyo and Zhi Liu
Copenhagen Business School, University at Albany, SUNY and University of Macau
Downloads 12 (991,173)

Abstract:

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