Rasmus T. Varneskov

MaRDI QIDQ2043265zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS Econometric Theory	2022-12-23	Paper
Testing for parameter instability and structural change in persistent predictive regressions Journal of Econometrics	2022-12-14	Paper
Consistent inference for predictive regressions in persistent economic systems Journal of Econometrics	2021-07-30	Paper
Spatial dependence in option observation errors Econometric Theory	2021-06-11	Paper
Inference for local distributions at high sampling frequencies: a bootstrap approach Journal of Econometrics	2020-02-17	Paper
A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation Journal of Econometrics	2020-02-11	Paper
Inference for option panels in pure-jump settings Econometric Theory	2019-11-18	Paper
Unified inference for nonlinear factor models from panels with fixed and large time span Journal of Econometrics	2019-09-02	Paper
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns Quantitative Finance	2018-11-14	Paper

Research outcomes over time

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