Rasmus Tangsgaard Varneskov

Rasmus Tangsgaard Varneskov is a Professor of Statistics and Financial Econometrics at the Department of Finance, Copenhagen Business School (CBS). He is also employed by Alphadyne Asset Management. His research focuses on econometrics, high-dimensional statistics, asset pricing, and financial economics, with a strong emphasis on time series analysis and financial econometrics methodologies.

Before joining CBS, he was a postdoctoral researcher in Finance at Northwestern University's Kellogg School of Management. He holds affiliations with the Center for Big Data in Finance (BIGFI) and the Center for Statistics at CBS. His educational background includes advanced studies in statistics and econometrics, though specific degrees are not detailed in the provided text.

Rasmus' research interests span advanced statistical methodologies for financial data, including volatility estimation, bootstrap techniques, predictive regressions, and structural change analysis. His work has been published in top journals such as Journal of Econometrics, Journal of Financial Economics, and Quantitative Economics. A key achievement is his 2023 Econometric Theory Multa Scripsit award for prolific and impactful contributions.

His publications address topics like Laplace transforms of volatility, consistent inference in predictive regressions, and dynamic hedging strategies. While no formal advisees are listed, his industry collaborations (e.g., with Nordea and Alphadyne) suggest applied research engagement. He contributes to CBS's research initiatives through participation in interdisciplinary centers focused on big data and financial statistics.