Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Rasmus T. Varneskov"'
Publikováno v:
Andersen, T G & Varneskov, R T 2022, ' Testing for parameter instability and structural change in persistent predictive regressions ', Journal of Econometrics, vol. 231, no. 2, pp. 361-386 . https://doi.org/10.1016/j.jeconom.2021.05.011
This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b4381c2abc4735b3954e32c5b790d091
https://doi.org/10.1016/j.jeconom.2021.05.011
https://doi.org/10.1016/j.jeconom.2021.05.011
Publikováno v:
Andersen, T G & Varneskov, R T 2021, ' Consistent inference for predictive regressions in persistent economic systems ', Journal of Econometrics, vol. 224, no. 1, pp. 215-244 . https://doi.org/10.1016/j.jeconom.2020.04.051
This paper studies standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all – or a subset – of the variables may be fractionally integrated, which induce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3b408b8242130aeebbc5ac42825c77d7
https://pure.au.dk/portal/da/publications/consistent-inference-for-predictive-regressions-in-persistent-economic-systems(78497c3b-ee33-46b8-b2f6-5a260cd2de3c).html
https://pure.au.dk/portal/da/publications/consistent-inference-for-predictive-regressions-in-persistent-economic-systems(78497c3b-ee33-46b8-b2f6-5a260cd2de3c).html
Autor:
Andreas Neuhierl, Rasmus T. Varneskov
Publikováno v:
Neuhierl, A & Varneskov, R T 2021, ' Frequency dependent risk ', Journal of Financial Economics, vol. 140, no. 2, pp. 644-675 . https://doi.org/10.1016/j.jfineco.2021.01.007
We provide a model-free framework for studying the dynamics of the state vector and its risk prices. Specifically, we derive a frequency domain decomposition of the unconditional asset return premium in a general setting with a log-affine stochastic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a21afa4d4ff157eaf2040235e224ae99
https://pure.au.dk/portal/da/publications/frequency-dependent-risk(2a9e1fbd-9e83-4221-b43b-f21cc87e0896).html
https://pure.au.dk/portal/da/publications/frequency-dependent-risk(2a9e1fbd-9e83-4221-b43b-f21cc87e0896).html
Publikováno v:
Andersen, T G, Fusari, N, Todorov, V & Varneskov, R T 2021, ' Spatial dependence in option observation errors ', Econometric Theory, vol. 37, no. 2, pp. 205-247 . https://doi.org/10.1017/S0266466620000183
In this paper, we develop the first formal nonparametric test for whether the observation errors in option panels display spatial dependence. The panel consists of options with different strikes and tenors written on a given underlying asset. The asy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef0c92e6a4c0b3ae0662bbb137159b31
https://pure.au.dk/ws/files/310213955/Andersen_et_al_Spatial_dependence_ET_2021_AM.pdf
https://pure.au.dk/ws/files/310213955/Andersen_et_al_Spatial_dependence_ET_2021_AM.pdf
This paper studies the properties of predictive regressions for asset returns in economic systems governed by persistent vector autoregressive dynamics. In particular, we allow for the state variables to be fractionally integrated, potentially of dif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c66a9a612fbcb560f84e990b6448ba1
https://doi.org/10.3386/w28569
https://doi.org/10.3386/w28569
Publikováno v:
Christensen, B J & Varneskov, R T 2021, ' Dynamic Global Currency Hedging ', Journal of Financial Econometrics, vol. 19, no. 1, pp. 97-127 . https://doi.org/10.1093/jjfinec/nbaa030
Aarhus University
Aarhus University
This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign currency exchange rate returns. In particular, the vector of optimal currency exposures is shown to be given by the negative realized re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::94a0bd127f9d044f137081d92082c005
https://pure.au.dk/portal/da/publications/dynamic-global-currency-hedging(00fde582-372c-4ec8-9c61-12efffd9272a).html
https://pure.au.dk/portal/da/publications/dynamic-global-currency-hedging(00fde582-372c-4ec8-9c61-12efffd9272a).html
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::880f766123b2a17f0b8b771c22010fb3
https://doi.org/10.2139/ssrn.3795486
https://doi.org/10.2139/ssrn.3795486
Autor:
Rasmus T. Varneskov, Ulrich Hounyo
Publikováno v:
Hounyo, U & Varneskov, R T 2020, ' Inference for local distributions at high sampling frequencies : A bootstrap approach ', Journal of Econometrics, vol. 215, no. 1, pp. 1-34 . https://doi.org/10.1016/j.jeconom.2019.09.001
We study inference for the local innovations of It\^o semimartingales. Specifically, we construct a resampling procedure for the empirical CDF of high-frequency innovations that have been standardized using a nonparametric estimate of its stochastic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6663af562627c671e13e8a6f78c232af
https://pure.au.dk/ws/files/230362859/Hounyo_Varneskov_Inference_2020_AM.pdf
https://pure.au.dk/ws/files/230362859/Hounyo_Varneskov_Inference_2020_AM.pdf
Publikováno v:
SSRN Electronic Journal.
This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstraps provide inconsistent inference, we propose local Gaussian (LG) and modif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f36d470b60e967fae87b48017d7f38b
https://doi.org/10.2139/ssrn.3523293
https://doi.org/10.2139/ssrn.3523293
Publikováno v:
SSRN Electronic Journal.
This paper studies the properties of predictive regressions for asset returns in economic systems governed by persistent vector autoregressive dynamics. In particular, we allow for the state variables to be fractionally integrated, potentially of dif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0df6fcc2a2086d654dc0f39362645ee9
https://doi.org/10.2139/ssrn.3729454
https://doi.org/10.2139/ssrn.3729454