Peter Hansen
Personal Details
First Name: | Peter |
Middle Name: | Reinhard |
Last Name: | Hansen |
Suffix: | |
RePEc Short-ID: | pha63 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/peterreinhardhansen/ | |
Department of Economics, 107 Gardner Hall, Chapel Hill NC 27599-3305 | |
Terminal Degree: | 2000 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy) |
Affiliation
(10%) Institut for Finansiering
Copenhagen Business School
København, Denmarkhttp://www.cbs.dk/en/research/departments-and-centres/department-of-finance
RePEc:edi:ifcbsdk (more details at EDIRC)
(90%) Department of Economics
University of North Carolina-Chapel-Hill
Chapel Hill, North Carolina (United States)http://www.unc.edu/depts/econ/
RePEc:edi:deuncus (more details at EDIRC)
Research output
Jump to: Working papers Articles BooksWorking papers
- Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
- Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
- Peter Reinhard Hansen & Yiyao Luo, 2023. "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers 2310.19992, arXiv.org.
- Chen Tong & Peter Reinhard Hansen, 2023.
"Characterizing Correlation Matrices that Admit a Clustered Factor Representation,"
Papers
2308.05895, arXiv.org.
- Tong, Chen & Hansen, Peter Reinhard, 2023. "Characterizing correlation matrices that admit a clustered factor representation," Economics Letters, Elsevier, vol. 233(C).
- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022.
"A New Method for Generating Random Correlation Matrices,"
Papers
2210.08147, arXiv.org.
- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
- Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Aug 2024.
- Peter Reinhard Hansen & Chan Kim & Wade Kimbrough, 2021.
"Periodicity in Cryptocurrency Volatility and Liquidity,"
Papers
2109.12142, arXiv.org, revised Nov 2021.
- Peter Reinhard Hansen & Chan Kim & Wade Kim, 2024. "Periodicity in Cryptocurrency Volatility and Liquidity," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 224-251.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021.
"Option Pricing with State-dependent Pricing Kernel,"
Papers
2112.05308, arXiv.org, revised Apr 2022.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022. "Option pricing with state‐dependent pricing kernel," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021.
"Realized GARCH, CBOE VIX, and the Volatility Risk Premium,"
Papers
2112.05302, arXiv.org.
- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2024. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 187-223.
- Peter Reinhard Hansen, 2021.
"Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants,"
Papers
2110.00533, arXiv.org, revised Jan 2022.
- Peter Reinhard Hansen, 2022. "Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants [Increased risk of hospitalisation associated with infection with SARS-CoV-2 lin," The Econometrics Journal, Royal Economic Society, vol. 25(3), pages 739-761.
- Elena Ivona Dumitrescu & Peter Hansen, 2020.
"How Should Parameter Estimation Be Tailored to the Objective?,"
Post-Print
hal-03331109, HAL.
- Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022. "How should parameter estimation be tailored to the objective?," Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
- Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised May 2024.
- Ilya Archakov & Peter Reinhard Hansen, 2020.
"A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices,"
Papers
2012.02698, arXiv.org, revised Nov 2021.
- Ilya Archakov & Peter Reinhard Hansen, 2024. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1099-1113, July.
- Ilya Archakov & Peter Reinhard Hansen, 2020.
"A New Parametrization of Correlation Matrices,"
Papers
2012.02395, arXiv.org.
- Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
- Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016.
"Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model,"
Tinbergen Institute Discussion Papers
16-061/III, Tinbergen Institute.
- P Gorgi & P R Hansen & P Janus & S J Koopman, 2019. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 1-32.
- Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2015. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," CREATES Research Papers 2015-19, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen, 2015.
"A Martingale Decomposition of Discrete Markov Chains,"
CREATES Research Papers
2015-18, Department of Economics and Business Economics, Aarhus University.
- Hansen, Peter Reinhard, 2015. "A martingale decomposition of discrete Markov chains," Economics Letters, Elsevier, vol. 133(C), pages 14-18.
- Peter Reinhard Hansen & Allan Timmermann, 2012.
"Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics,"
CREATES Research Papers
2012-45, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Allan Timmermann, 2015. "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
- Peter Reinhard Hansen & Zhuo Huang, 2012.
"Exponential GARCH Modeling with Realized Measures of Volatility,"
CREATES Research Papers
2012-44, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Zhuo Huang, 2016. "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers ECO2012/26, European University Institute.
- Peter Reinhard Hansen & Allan Timmermann, 2012.
"Choice of Sample Split in Out-of-Sample Forecast Evaluation,"
CREATES Research Papers
2012-43, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2010.
"The Model Confidence Set,"
CREATES Research Papers
2010-76, Department of Economics and Business Economics, Aarhus University.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2011. "The Model Confidence Set," Econometrica, Econometric Society, vol. 79(2), pages 453-497, March.
- Peter R. Hansen & Asger Lunde, 2010.
"Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error,"
CREATES Research Papers
2010-08, Department of Economics and Business Economics, Aarhus University.
- Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
- Peter R. Hansen & Asger Lunde & Valeri Voev, 2010.
"Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility,"
CREATES Research Papers
2010-74, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
- Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading,"
CREATES Research Papers
2008-63, Department of Economics and Business Economics, Aarhus University.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-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.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Peter Reinhard Hansen, 2008. "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers 2008-02, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"Subsampling realised kernels,"
Economics Papers
2006-W10, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006. "Subsampling realised kernels," Economics Series Working Papers 278, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise,"
Economics Papers
2006-W03, Economics Group, Nuffield College, University of Oxford.
- 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.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," FRB Atlanta Working Paper 2005-07, Federal Reserve Bank of Atlanta.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
- 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.
- 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," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre.
- Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society.
- Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics.
- 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.
- 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.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper 2003-28, Federal Reserve Bank of Atlanta.
- Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
- 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.
- 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.
- Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
- Hansen, Peter Reinhard, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series qt832256dg, Department of Economics, UC San Diego.
- Peter Reinhard Hansen, 2000.
"Structural Changes in the Cointegrated Vector Autoregressive Model,"
Working Papers
2000-20, Brown University, Department of Economics.
- Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
- Niels Kleis Frederiksen & Peter Reinhard Hansen & Henrik Jacobsen & Peter Birch Soerensen, "undated". "Consumer Services, Employment and the Informal Economy," EPRU Working Paper Series 94-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, "undated". "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, Department of Economics and Business Economics, Aarhus University.
Articles
- Ilya Archakov & Peter Reinhard Hansen, 2024.
"A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices,"
The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1099-1113, July.
- Ilya Archakov & Peter Reinhard Hansen, 2020. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers 2012.02698, arXiv.org, revised Nov 2021.
- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2024.
"Realized GARCH, CBOE VIX, and the Volatility Risk Premium,"
Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 187-223.
- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers 2112.05302, arXiv.org.
- Peter Reinhard Hansen & Chan Kim & Wade Kim, 2024.
"Periodicity in Cryptocurrency Volatility and Liquidity,"
Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 224-251.
- Peter Reinhard Hansen & Chan Kim & Wade Kimbrough, 2021. "Periodicity in Cryptocurrency Volatility and Liquidity," Papers 2109.12142, arXiv.org, revised Nov 2021.
- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024.
"A new method for generating random correlation matrices,"
The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
- Tong, Chen & Hansen, Peter Reinhard, 2023.
"Characterizing correlation matrices that admit a clustered factor representation,"
Economics Letters, Elsevier, vol. 233(C).
- Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
- Peter Reinhard Hansen, 2022.
"Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants [Increased risk of hospitalisation associated with infection with SARS-CoV-2 lin,"
The Econometrics Journal, Royal Economic Society, vol. 25(3), pages 739-761.
- Peter Reinhard Hansen, 2021. "Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants," Papers 2110.00533, arXiv.org, revised Jan 2022.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022.
"Option pricing with state‐dependent pricing kernel,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
- Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022.
"How should parameter estimation be tailored to the objective?,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
- Elena Ivona Dumitrescu & Peter Hansen, 2020. "How Should Parameter Estimation Be Tailored to the Objective?," Post-Print hal-03331109, HAL.
- Peter Reinhard Hansen & Matthias Schmidtblaicher, 2021. "A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 259-271, January.
- Ilya Archakov & Peter Reinhard Hansen, 2021.
"A New Parametrization of Correlation Matrices,"
Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
- Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
- P Gorgi & P R Hansen & P Janus & S J Koopman, 2019.
"Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 1-32.
- Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers 16-061/III, Tinbergen Institute.
- Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen, 2017. "Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(4), pages 328-358, April.
- Peter Reinhard Hansen & Zhuo Huang, 2016.
"Exponential GARCH Modeling With Realized Measures of Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers ECO2012/26, European University Institute.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers 2012-44, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Allan Timmermann, 2015.
"Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics,"
Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
- Hansen, Peter Reinhard, 2015.
"A martingale decomposition of discrete Markov chains,"
Economics Letters, Elsevier, vol. 133(C), pages 14-18.
- Peter Reinhard Hansen, 2015. "A Martingale Decomposition of Discrete Markov Chains," CREATES Research Papers 2015-18, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Allan Timmermann, 2015. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 17-21, January.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2014. "Realized Beta Garch: A Multivariate Garch Model With Realized Measures Of Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 774-799, August.
- Hansen, Peter R. & Lunde, Asger, 2014.
"Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error,"
Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
- Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Zhuo Huang & Howard Howan Shek, 2012. "Realized GARCH: a joint model for returns and realized measures of volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 877-906, September.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2011.
"The Model Confidence Set,"
Econometrica, Econometric Society, vol. 79(2), pages 453-497, March.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2010. "The Model Confidence Set," CREATES Research Papers 2010-76, Department of Economics and Business Economics, Aarhus University.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"Subsampling realised kernels,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006. "Subsampling realised kernels," Economics Series Working Papers 278, University of Oxford, Department of Economics.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-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.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University.
- Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.
- 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.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- 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;Swiss Society for Financial Market Research, vol. 22(1), pages 3-20, March.
- Hansen, Peter R. & Lunde, Asger, 2006. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 208-218, April.
- Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
- 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.
- Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
- 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.
- 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.
- 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, March.
- 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.
- Hansen, Peter Reinhard, 2003.
"Structural changes in the cointegrated vector autoregressive model,"
Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
- Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
- 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.
- 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.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper 2003-28, Federal Reserve Bank of Atlanta.
- 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.
Books
- Hansen, Peter Reinhard & Johansen, Soren, 1998. "Workbook on Cointegration," OUP Catalogue, Oxford University Press, number 9780198776079.
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 39 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (32) 2001-08-15 2001-08-15 2003-05-15 2003-05-15 2004-10-30 2004-12-20 2005-05-23 2005-05-23 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 2010-03-06 2012-04-10 2012-11-24 2012-11-24 2015-05-09 2015-05-09 2016-08-21 2020-12-21 2020-12-21 2022-01-03 2022-11-21 2023-09-04 2023-12-11 2024-05-13 2024-07-22. Author is listed
- NEP-ETS: Econometric Time Series (28) 2001-08-15 2001-08-15 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 2010-03-06 2010-12-11 2012-04-10 2012-11-24 2012-11-24 2012-11-24 2015-05-09 2015-05-09 2016-08-21 2020-12-21 2022-01-03 2022-01-03 2023-12-11 2024-05-13 2024-07-22. Author is listed
- NEP-RMG: Risk Management (10) 2003-04-27 2003-11-30 2012-11-24 2015-05-09 2016-08-21 2022-01-03 2022-01-03 2022-05-09 2023-12-11 2024-07-22. Author is listed
- NEP-MST: Market Microstructure (9) 2006-06-17 2006-08-26 2006-09-16 2006-10-14 2009-04-05 2012-11-24 2015-05-09 2021-10-04 2023-12-11. Author is listed
- NEP-ORE: Operations Research (7) 2010-03-06 2015-05-09 2015-05-09 2016-08-21 2022-01-03 2022-01-03 2022-05-09. Author is listed
- NEP-FIN: Finance (6) 2001-08-15 2003-04-27 2003-11-30 2004-10-30 2005-05-23 2005-05-23. Author is listed
- NEP-FMK: Financial Markets (4) 2006-06-17 2006-08-26 2010-12-11 2022-01-03
- NEP-FOR: Forecasting (3) 2012-04-10 2012-11-24 2012-11-24
- NEP-CWA: Central and Western Asia (2) 2021-10-04 2022-01-03
- NEP-UPT: Utility Models and Prospect Theory (2) 2022-01-03 2022-05-09
- NEP-PAY: Payment Systems and Financial Technology (1) 2021-10-04
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