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Information about:
Peter Reinhard Hansen

Personal Details | Affiliation | Works
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Personal Details

First Name: Peter
Middle Name: Reinhard
Last Name: Hansen
Suffix:

RePEc Short-ID: pha63

Email:
Homepage: http://www.stanford.edu/~prhansen
Postal Address: Department of Economics, 579 Serra Mall, Stanford, CA 94305-6072
Phone: 650-725-1869

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Discounted by Citation Age
  2. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  3. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  4. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  6. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  7. h, where author has written h papers that have each been cited at least h times.
  8. Number of Downloads through RePEc Services over the past 12 months
  9. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  10. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, School of Economics and Management, University of Aarhus. [Downloadable!]

  2. Peter Reinhard Hansen, 2008. "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers 2008-02, School of Economics and Management, University of Aarhus. [Downloadable!]

  3. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:

  4. Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Series Working Papers 264, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

  5. Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre. [Downloadable!]
    Other versions:

  6. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," Working Paper 2005-07, Federal Reserve Bank of Atlanta. [Downloadable!]

  7. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:

  8. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society. [Downloadable!]

  9. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics. [Downloadable!]

  10. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics. [Downloadable!]
    Other versions:

  11. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

  12. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics. [Downloadable!]

  13. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]

  14. Peter Hansen, 2002. "On the Estimation of Reduced Rank Regressions," Working Papers 2002-08, Brown University, Department of Economics. [Downloadable!]

  15. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics. [Downloadable!]

  16. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics. [Downloadable!]
    Published as:

  17. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics. [Downloadable!]
    Published as:

  18. Peter Hansen, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series 2000-17, Department of Economics, UC San Diego. [Downloadable!]

  19. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society. [Downloadable!]

  20. Niels Kleis Frederiksen & Peter Reinhard Hansen & Henrik Jacobsen & Peter Birch Soerensen, . "Consumer Services, Employment and the Informal Economy," EPRU Working Paper Series 94-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.

  21. Peter Reinhard Hansen, . "The Johansen-Granger Representation Theorem: A Closed Form Expression for I(1)Processes Creation-Date: 2000," Working Papers 2000-19, Brown University, Department of Economics. [Downloadable!]

Articles

  1. Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008. "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer, vol. 22(1), pages 3-20, March. [Downloadable!] (restricted)

  2. Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 79-111. [Downloadable!] (restricted)

  3. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November. [Downloadable!] (restricted)
    Other versions:

  4. Hansen, Peter R. & Lunde, Asger, 2006. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 208-218, April. [Downloadable!] (restricted)

  5. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121. [Downloadable!] (restricted)

  6. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April. [Downloadable!] (restricted)

  7. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889. [Downloadable!]
    Other versions:

  8. Peter Reinhard Hansen, 2005. "Granger's representation theorem: A closed-form expression for I(1) processes," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 23-38, 03. [Downloadable!] (restricted)

  9. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October. [Downloadable!] (restricted)

  10. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554. [Downloadable!] (restricted)

  11. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December. [Downloadable!] (restricted)
    Other versions:

  12. Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June. [Downloadable!] (restricted)
    Other versions:

  13. Niels Fredriksen & Peter Hansen & Henrik Jacobsen & Peter Sørensen, 1995. "Subsidising consumer services: effects on employment, welfare and the informal economy," Fiscal Studies, Institute for Fiscal Studies, vol. 16(2), pages 71-93, May. [Downloadable!]

NEP Fields

27 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (22) 2001-08-15 2001-08-15 2003-04-13 2003-04-13 2003-04-24 2003-04-24 2003-05-15 2003-05-15 2004-10-30 2004-12-20 2005-05-23 2005-05-23 2006-06-10 2006-06-17 2006-08-26 2006-09-16 2008-06-27 2008-07-20 2008-11-11 2009-01-03 2009-04-05 2009-04-18 Author is listed
  2. NEP-ETS: Econometric Time Series (15) 2001-08-15 2001-08-15 2003-04-21 2003-04-21 2003-04-27 2003-11-30 2004-12-20 2005-05-23 2006-09-16 2006-10-14 2008-06-27 2008-07-20 2009-01-03 2009-04-05 2009-04-18 Author is listed
  3. NEP-FIN: Finance (7) 2001-08-15 2003-04-13 2003-04-27 2003-11-30 2004-10-30 2005-05-23 2005-05-23 Author is listed
  4. NEP-FMK: Financial Markets (3) 2006-06-10 2006-06-17 2006-08-26
  5. NEP-MST: Market Microstructure (5) 2006-06-17 2006-08-26 2006-09-16 2006-10-14 2009-04-05 Author is listed
  6. NEP-RMG: Risk Management (2) 2003-04-27 2003-11-30
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This page was last updated on 2009-11-1.

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