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Combining long memory and level shifts in modeling and forecasting of persistent time series
Varneskov, Rasmus Tangsgaard; Perron, Pierre - 2011
Persistent link: https://www.econbiz.de/10009228960
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The role of dynamic specification in forecasting volatility in the presence of jumps and noisy high-frequency data
Varneskov, Rasmus Tangsgaard - 2010
Persistent link: https://www.econbiz.de/10008651714
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The properties of model selection when retain theory variables
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009356170
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Flat-top realized kernel estimation of quadratic covariation with non-synchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009308207
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Generalized flat-top realized kernel estimation of ex-post variation of asset
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009272099
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The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
Varneskov, Rasmus Tangsgaard; Voev, Valeri - 2010
Persistent link: https://www.econbiz.de/10008651679
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Unit roots, nonlinearities and structural breaks
Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; … - 2012
Persistent link: https://www.econbiz.de/10009524063
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Dynamic global currency hedging
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - 2016
Persistent link: https://www.econbiz.de/10011421767
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A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - 2015
Persistent link: https://www.econbiz.de/10010529445
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Medium band least squares estimation of fractional cointegration in the presence of low-requency contamination
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - 2015
Persistent link: https://www.econbiz.de/10010529447