Department of Economics and Business Economics

Rasmus T. Varneskov

  1. 2018
  2. Published

    Option Panels in Pure-Jump Settings. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Viktor; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: ResearchWorking paper

  3. Published

    Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Viktor; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: ResearchWorking paper

  4. 2017
  5. Published

    Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination. / Christensen, Bent Jesper; Varneskov, Rasmus T.

    In: Journal of Econometrics, Vol. 197, No. 2, 01.04.2017.

    Research output: Research - peer-reviewJournal article

  6. Accepted/In press

    A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. / Hounyo, Ulrich; Varneskov, Rasmus T.

    In: Journal of Econometrics, 2017.

    Research output: Research - peer-reviewJournal article

  7. 2016
  8. Published

    Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices. / Varneskov, Rasmus T.

    In: Journal of Business and Economic Statistics, Vol. 34, No. 1, 2016, p. 1-22.

    Research output: Research - peer-reviewJournal article

  9. 2015
  10. Published

    A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. / Hounyo, Ulrich; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: ResearchWorking paper

  11. Published
  12. 2014
  13. Published

    Econometric Analysis of Volatility in Financial Additive Noise Models. / Varneskov, Rasmus T.

    Århus : Institut for Økonomi, Aarhus Universitet, 2014. 252 p.

    Research output: ResearchPh.D. thesis

  14. Published
  15. 2013
  16. Published

    Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. / Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Research - peer-reviewWorking paper

  17. Published

    The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts. / Varneskov, Rasmus T.; Voev, Valeri Radkov.

    In: Journal of Empirical Finance, Vol. 20, No. January, 2013, p. 83-95.

    Research output: Research - peer-reviewJournal article

  18. Published

    Unit Roots, Non-linearities, and Structural Breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Handbook of Research Methods and Applications in Empirical Macroeconomics. ed. / Nigar Hashimzade; Michael A. Thornton. Cheltenham : Edward Elgar Publishing, Incorporated, 2013. p. 61-94.

    Research output: Research - peer-reviewBook chapter

  19. 2012
  20. Published

    Unit roots, nonlinearities and structural breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: ResearchWorking paper

  21. Published