Department of Economics and Business Economics

Rasmus T. Varneskov

  1. Published

    Unified inference for nonlinear factor models from panels with fixed and large time span. / Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.

    In: Journal of Econometrics, Vol. 212, No. 1, 09.2019, p. 4-25.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  2. Published

    Consistent Inference for Predictive Regressions in Persistent VAR Economies. / Andersen, Torben Gustav; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  3. 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: Working paperResearch

  4. 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: Working paperResearch

  5. E-pub ahead of print

    Inference for option panels in pure-jump settings. / Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.

    In: Econometric Theory, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. Accepted/In press

    Unified Inference For Nonlinear Factor Models From Panels With Fixed And Large Time Span. / Andersen, Torben Gustav; Fusari, Nicola ; Todorov, Victor; Varneskov, Rasmus T.

    In: Journal of Econometrics, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. Published

    Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. / Varneskov, Rasmus T.; Perron, Pierre.

    In: Quantitative Finance, Vol. 18, No. 3, 2018, p. 371–393.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. Published

    Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels. / Varneskov, Rasmus Tangsgaard.

    In: Econometric Theory, Vol. 33, No. 6, 12.2017, p. 1457-1501.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 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, p. 218-244.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. Published

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

    In: Journal of Econometrics, Vol. 198, No. 1, 2017, p. 10-28.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 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: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. Published
  13. 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: Working paperResearch

  14. Published

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

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

    Research output: Book/anthology/dissertation/reportPh.D. thesisResearch

  15. Published
  16. 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, 2013. p. 61-94 (Handbook of Research Methods and Applications series).

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  17. 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: Working paperResearchpeer-review

  18. 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: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. 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: Working paperResearch

  20. Published