Peter Hansen
Names
| first: |
Peter |
| middle: |
Reinhard |
| last: |
Hansen |
Identifer
Contact
Affiliations
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Copenhagen Business School
/ Institut for Finansiering (weight: 10%)
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University of North Carolina-Chapel-Hill
/ Department of Economics (weight: 90%)
Research profile
author of:
- Reduced-Rank Regression: A Useful Determinant Identity (RePEc:aah:create:2008-02)
by Peter Reinhard Hansen - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:aah:create:2008-63)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Quadratic Variation by Markov Chains (RePEc:aah:create:2009-13)
by Peter Reinhard Hansen & Guillaume Horel - Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error (RePEc:aah:create:2010-08)
by Peter R. Hansen & Asger Lunde - Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility (RePEc:aah:create:2010-13)
by Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek - Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility (RePEc:aah:create:2010-74)
by Peter R. Hansen & Asger Lunde & Valeri Voev - The Model Confidence Set (RePEc:aah:create:2010-76)
by Peter R. Hansen & Asger Lunde & James M. Nason - Choice of Sample Split in Out-of-Sample Forecast Evaluation (RePEc:aah:create:2012-43)
by Peter Reinhard Hansen & Allan Timmermann - Exponential GARCH Modeling with Realized Measures of Volatility (RePEc:aah:create:2012-44)
by Peter Reinhard Hansen & Zhuo Huang - Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics (RePEc:aah:create:2012-45)
by Peter Reinhard Hansen & Allan Timmermann - A Martingale Decomposition of Discrete Markov Chains (RePEc:aah:create:2015-18)
by Peter Reinhard Hansen - A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (RePEc:aah:create:2015-19)
by Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov - A New Parametrization of Correlation Matrices (RePEc:arx:papers:2012.02395)
by Ilya Archakov & Peter Reinhard Hansen - A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices (RePEc:arx:papers:2012.02698)
by Ilya Archakov & Peter Reinhard Hansen - A Multivariate Realized GARCH Model (RePEc:arx:papers:2012.02708)
by Ilya Archakov & Peter Reinhard Hansen & Asger Lunde - Periodicity in Cryptocurrency Volatility and Liquidity (RePEc:arx:papers:2109.12142)
by Peter Reinhard Hansen & Chan Kim & Wade Kimbrough - Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants (RePEc:arx:papers:2110.00533)
by Peter Reinhard Hansen - Realized GARCH, CBOE VIX, and the Volatility Risk Premium (RePEc:arx:papers:2112.05302)
by Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang - Option Pricing with State-dependent Pricing Kernel (RePEc:arx:papers:2112.05308)
by Chen Tong & Peter Reinhard Hansen & Zhuo Huang - Option Pricing with Time-Varying Volatility Risk Aversion (RePEc:arx:papers:2204.06943)
by Peter Reinhard Hansen & Chen Tong - A New Method for Generating Random Correlation Matrices (RePEc:arx:papers:2210.08147)
by Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo - Characterizing Correlation Matrices that Admit a Clustered Factor Representation (RePEc:arx:papers:2308.05895)
by Chen Tong & Peter Reinhard Hansen - Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas (RePEc:arx:papers:2310.19992)
by Peter Reinhard Hansen & Yiyao Luo - A Test for Superior Predictive Ability (RePEc:bes:jnlbes:v:23:y:2005:p:365-380)
by Hansen, Peter Reinhard - Realized Variance and Market Microstructure Noise (RePEc:bes:jnlbes:v:24:y:2006:p:127-161)
by Hansen, Peter R. & Lunde, Asger - Rejoinder (RePEc:bes:jnlbes:v:24:y:2006:p:208-218)
by Hansen, Peter R. & Lunde, Asger - Choosing the Best Volatility Models: The Model Confidence Set Approach (RePEc:bla:obuest:v:65:y:2003:i:s1:p:839-861)
by Peter Reinhard Hansen & Asger Lunde & James M. Nason - Structural Changes in the Cointegrated Vector Autoregressive Model (RePEc:bro:econwp:2000-20)
by Peter Reinhard Hansen - A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? (RePEc:bro:econwp:2001-04)
by Asger Lunde & Peter Reinhard Hansen - An Unbiased and Powerful Test for Superior Predictive Ability (RePEc:bro:econwp:2001-06)
by Peter Reinhard Hansen - Choosing the Best Volatility Models:The Model Confidence Set Approach (RePEc:bro:econwp:2003-05)
by Peter Hansen & Asger Lunde & James M. Nason - Asymptotic Tests of Composite Hypotheses (RePEc:bro:econwp:2003-09)
by Peter Hansen - The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes (RePEc:cdl:ucsdec:qt832256dg)
by Hansen, Peter Reinhard - Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error (RePEc:cup:etheor:v:30:y:2014:i:01:p:60-93_00)
by Hansen, Peter R. & Lunde, Asger - Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (RePEc:ecm:emetrp:v:76:y:2008:i:6:p:1481-1536)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - The Model Confidence Set (RePEc:ecm:emetrp:v:79:y:2011:i:2:p:453-497)
by Peter R. Hansen & Asger Lunde & James M. Nason - Realized Variance and IID Market Microstructure Noise (RePEc:ecm:nasm04:526)
by Asger Lunde & Peter Reinhard Hansen - Structural Breaks in the Cointegrated Vector Autoregressive Model (RePEc:ecm:wc2000:1240)
by Peter Reinhard Hansen - Granger's representation theorem: A closed-form expression for I(1) processes (RePEc:ect:emjrnl:v:8:y:2005:i:1:p:23-38)
by Peter Reinhard Hansen - A martingale decomposition of discrete Markov chains (RePEc:eee:ecolet:v:133:y:2015:i:c:p:14-18)
by Hansen, Peter Reinhard - Structural changes in the cointegrated vector autoregressive model (RePEc:eee:econom:v:114:y:2003:i:2:p:261-295)
by Hansen, Peter Reinhard - Consistent ranking of volatility models (RePEc:eee:econom:v:131:y:2006:i:1-2:p:97-121)
by Hansen, Peter Reinhard & Lunde, Asger - Subsampling realised kernels (RePEc:eee:econom:v:160:y:2011:i:1:p:204-219)
by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil - Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:eee:econom:v:162:y:2011:i:2:p:149-169)
by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil - How should parameter estimation be tailored to the objective? (RePEc:eee:econom:v:230:y:2022:i:2:p:535-558)
by Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona - Choice of Sample Split in Out-of-Sample Forecast Evaluation (RePEc:eui:euiwps:eco2012/10)
by Peter Reinhard HANSEN & Allan TIMMERMANN - Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics (RePEc:eui:euiwps:eco2012/24)
by Peter Reinhard Hansen & Allan Timmermann - Exponential GARCH Modeling with Realized Measures of Volatility (RePEc:eui:euiwps:eco2012/26)
by Peter Reinhard Hansen & Zhuo Huang - Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility (RePEc:eui:euiwps:eco2012/28)
by Peter Reinhard Hansen & Asger Lunde & Valeri Voev - Choosing the best volatility models: the model confidence set approach (RePEc:fip:fedawp:2003-28)
by Peter Reinhard Hansen & Asger Lunde & James M. Nason - Testing the significance of calendar effects (RePEc:fip:fedawp:2005-02)
by Peter Reinhard Hansen & Asger Lunde & James M. Nason - Model confidence sets for forecasting models (RePEc:fip:fedawp:2005-07)
by Peter Reinhard Hansen & Asger Lunde & James M. Nason - Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:hal:journl:hal-00815564)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - How Should Parameter Estimation Be Tailored to the Objective? (RePEc:hal:journl:hal-03331109)
by Elena Ivona Dumitrescu & Peter Hansen - Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (RePEc:hst:ghsdps:gd08-037)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility (RePEc:hst:ghsdps:gd12-269)
by Peter Reinhard Hansen & Asger Lunde & Valeri Voev - Subsidising consumer services: effects on employment, welfare and the informal economy (RePEc:ifs:fistud:v:16:y:1995:i:2:p:71-93)
by Niels Fredriksen & Peter Hansen & Henrik Jacobsen & Peter Sørensen - A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (RePEc:jae:japmet:v:20:y:2005:i:7:p:873-889)
by Asger Lunde & Peter R. Hansen - The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements (RePEc:kap:fmktpm:v:22:y:2008:i:1:p:3-20)
by Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde - Consumer Services, Employment and the Informal Economy (RePEc:kud:epruwp:94-13)
by Niels Kleis Frederiksen & Peter Reinhard Hansen & Henrik Jacobsen & Peter Birch Soerensen - Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (RePEc:nuf:econwp:0428)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (RePEc:nuf:econwp:0603)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Subsampling realised kernels (RePEc:nuf:econwp:0610)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:nuf:econwp:0810)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - 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 (RePEc:oup:emjrnl:v:25:y:2022:i:3:p:739-761.)
by Peter Reinhard Hansen - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model (RePEc:oup:jfinec:v:17:y:2019:i:1:p:1-32.)
by P Gorgi & P R Hansen & P Janus & S J Koopman - A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data (RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554)
by Peter Reinhard Hansen & Asger Lunde - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:oxf:wpaper:397)
by Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen - Workbook on Cointegration (RePEc:oxp:obooks:9780198776079)
by Hansen, Peter Reinhard & Johansen, Soren - Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (RePEc:sbs:wpsefe:2004fe20)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (RePEc:sbs:wpsefe:2006fe05)
by Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard - Subsampling realised kernels (RePEc:sbs:wpsefe:2006fe06)
by Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:sbs:wpsefe:2008fe29)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Moving Average-Based Estimators of Integrated Variance (RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:79-111)
by Peter Hansen & Jeremy Large & Asger Lunde - Comment (RePEc:taf:jnlbes:v:33:y:2015:i:1:p:17-21)
by Peter Reinhard Hansen & Allan Timmermann - Exponential GARCH Modeling With Realized Measures of Volatility (RePEc:taf:jnlbes:v:34:y:2016:i:2:p:269-287)
by Peter Reinhard Hansen & Zhuo Huang - A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program (RePEc:taf:jnlbes:v:39:y:2021:i:1:p:259-271)
by Peter Reinhard Hansen & Matthias Schmidtblaicher - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model (RePEc:tin:wpaper:20160061)
by Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman - Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics (RePEc:wly:emetrp:v:83:y:2015:i::p:2485-2505)
by Peter Reinhard Hansen & Allan Timmermann - A New Parametrization of Correlation Matrices (RePEc:wly:emetrp:v:89:y:2021:i:4:p:1699-1715)
by Ilya Archakov & Peter Reinhard Hansen - Realized GARCH: a joint model for returns and realized measures of volatility (RePEc:wly:japmet:v:27:y:2012:i:6:p:877-906)
by Peter Reinhard Hansen & Zhuo Huang & Howard Howan Shek - Realized Beta Garch: A Multivariate Garch Model With Realized Measures Of Volatility (RePEc:wly:japmet:v:29:y:2014:i:5:p:774-799)
by Peter Reinhard Hansen & Asger Lunde & Valeri Voev - Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach (RePEc:wly:jfutmk:v:37:y:2017:i:4:p:328-358)
by Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen - Option pricing with state‐dependent pricing kernel (RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1409-1433)
by Chen Tong & Peter Reinhard Hansen & Zhuo Huang