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Welcome to my homepage!

This site collects and disseminates my academic research. I am a Professor of Statistics and Financial Econometrics at the Department of Finance at Copenhagen Business School. Before joining CBS in September 2017, I was a postdoctoral researcher at the Department of Finance at Kellogg School of Management, Northwestern University. I am also a research fellow at CREATES and the Danish Finance Institute (DFI). I obtained a PhD in Economics from Aarhus University.

Contact Information:

Department of Finance,

Copenhagen Business School.

Solberg Plads 3,

2000 Frederiksberg, Denmark.

Email: rtv (dot) fi (at) cbs (dot) dk

News:

  • December 2021: Revised draft of the paper "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions" with Torben G. Andersen.

  • November 2021: Revised draft of the paper "Option Characteristics as Cross-Sectional Predictors" with Andreas Neuhierl, Xiaoxiao Tang and Guofu Zhou.

  • June 2021: First draft of the paper "Option Characteristics as Cross-Sectional Predictors" with Andreas Neuhierl, Xiaoxiao Tang and Guofu Zhou. This replaces the preliminary draft entitled "Stock Option Predictability for the Cross-Section".

  • May 2021: New and revised draft of "Bootstrapping Laplace Transforms of Volatility" with Ulrich Hounyo and Zhi Liu.

  • May 2021: "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions" with Torben G. Andersen has been accepted at Journal of Econometrics.

  • March 2021: Preliminary draft of "Stock Option Predictability for the Cross-Section" with Andreas Neuhierl, Xiaoxiao Tang and Guofu Zhou.

  • February 2021: Revised draft of "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions" with Torben G. Andersen.

Disclaimer

In addition to my academic work, I have been employed by the Multi Assets investment boutique at Nordea Asset Management since August 2014, currently in a dual role as Portfolio Manager and the Head of Asset Allocation Research. Hence, let me stress that the views and opinions expressed through my academic research are my own and do not necessarily reflect those of Nordea Asset Management.