Rasmus T. Varneskov

    • Denmark

    20182019
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    Research Output 2018 2019

    Frequency Dependent Risk

    Neuhierl, A. & Varneskov, R. T., 2019. 50 p.

    Research output: Contribution to conferencePaperResearchpeer-review

    Open Access

    Inference for Option Panels in PURE-Jump Settings

    Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T., Oct 2019, In : Econometric Theory. 35, 5, p. 901-942 42 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span

    Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T., Sep 2019, In : Journal of Econometrics. 212, 1, p. 4-25 22 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Combining Long Memory and Level Shifts in Modelling and Forecasting the Volatility of Asset Returns

    Varneskov, R. T. & Perron, P., 2018, In : Quantitative Finance. 18, 3, p. 371-393 23 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Consistent Inference for Predictive Regressions in Persistent VAR Economies

    Andersen, T. G. & Varneskov, R. T., 2018, Aarhus: Aarhus Universitet, 62 p. (Creates Research Paper; No. 2018-9).

    Research output: Working paperResearch

    Open Access