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Rasmus T. Varneskov · Study

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Rasmus T. Varneskov

8 works· latest 2020· 3 institutionscluster: provisionalORCID 0000-0002-6533-5608

h-index8

i108

Citations226

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Most cited in this library

Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices2015 · 43 citations
ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS2016 · 40 citations
Frequency Dependent Risk2018 · 36 citations
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns2017 · 34 citations
The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts2012 · 23 citations

Works

8 shown

Consistent inference for predictive regressions in persistent economic systems

Journal of Econometrics·2020·2 authors·Open access

19citations

Frequency Dependent Risk

Journal of Financial Economics·2018·2 authors·Open access

36citations

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Quantitative Finance·2017·2 authors·Open access

34citations

A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation

Journal of Econometrics·2017·2 authors·Open access

19citations

ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS

Econometric Theory·2016·1 author

40citations

Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices

Journal of Business and Economic Statistics·2015·1 author·Open access

43citations

Unit roots, non-linearities and structural breaks

Edward Elgar Publishing eBooks·2013·4 authors·chapter

12citations

The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts

Journal of Empirical Finance·2012·2 authors

23citations