| Combining long memory and level shifts in modeling and forecasting the volatility of asset returns RT Varneskov, P Perron Quantitative Finance 18 (3), 371-392, 2017 | 63* | 2017 |
| Flat-top realized kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices RT Varneskov Journal of Business & Economic Statistics 34 (1), 1-22, 2016 | 46 | 2016 |
| Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels RT Varneskov Econometric Theory 33 (6), 1457-1501, 2017 | 40 | 2017 |
| The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts R Varneskov, V Voev Journal of Empirical Finance 20, 83-95, 2013 | 35 | 2013 |
| Frequency dependent risk A Neuhierl, RT Varneskov Journal of Financial Economics 140 (2), 644-675, 2021 | 31 | 2021 |
| Consistent inference for predictive regressions in persistent economic systems TG Andersen, RT Varneskov Journal of Econometrics 224 (1), 215-244, 2021 | 27* | 2021 |
| Unit roots, non-linearities and structural breaks N Haldrup, R Kruse, T Teräsvirta, RT Varneskov Handbook of research methods and applications in empirical macroeconomics, 61-94, 2013 | 22 | 2013 |
| Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination BJ Christensen, RT Varneskov Journal of Econometrics 197 (2), 218-244, 2017 | 15 | 2017 |
| Testing for parameter instability and structural change in persistent predictive regressions TG Andersen, RT Varneskov Journal of Econometrics 231 (2), 361-386, 2022 | 14* | 2022 |
| Spatial dependence in option observation errors TG Andersen, N Fusari, V Todorov, RT Varneskov Econometric Theory 37 (2), 205-247, 2021 | 14 | 2021 |
| Dynamic global currency hedging BJ Christensen, RT Varneskov Journal of Financial Econometrics 19 (1), 97-127, 2021 | 12 | 2021 |
| Option characteristics as cross-sectional predictors A Neuhierl, X Tang, RT Varneskov, G Zhou LawFin Working Paper, 2022 | 10 | 2022 |
| Unified inference for nonlinear factor models from panels with fixed and large time span TG Andersen, N Fusari, V Todorov, RT Varneskov Journal of econometrics 212 (1), 4-25, 2019 | 10 | 2019 |
| A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation U Hounyo, RT Varneskov Journal of Econometrics 198 (1), 10-28, 2017 | 9 | 2017 |
| Consistent Local Spectrum Inference for Predictive Return Regressions TG Andersen, RT Varneskov Econometric Theory 38 (6), 1253-1307, 2022 | 8 | 2022 |
| Bootstrapping Laplace transforms of volatility U Hounyo, Z Liu, RT Varneskov Quantitative Economics 14 (3), 1059-1103, 2023 | 6 | 2023 |
| Inference for option panels in pure-jump settings TG Andersen, N Fusari, V Todorov, RT Varneskov Econometric Theory 35 (5), 901-942, 2019 | 6* | 2019 |
| Combining long memory and level shifts in modeling and forecasting the volatility of asset returns: Supplementary appendix RT Varneskov, P Perron Unpublished Manuscript, Boston University, 2015 | 6 | 2015 |
| Inference for local distributions at high sampling frequencies: A bootstrap approach U Hounyo, RT Varneskov Journal of Econometrics 215 (1), 1-34, 2020 | 3 | 2020 |
| Bootstrapping Laplace Transforms of Volatility: Supplementary Appendix U Hounyo, Z Liu, RT Varneskov Available at SSRN 4414552, 2023 | 2 | 2023 |
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityZweryfikowany adres z northwestern.edu
