Details about Peter Hansen

Access statistics for papers by Peter Hansen.

Last updated 2009-09-24. Update your information in the RePEc Author Service.

Short-id: pha63

Working Papers

2009

1. 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, Institute of Economic Research, Hitotsubashi University
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations
   Economics Series Working Papers, University of Oxford, Department of Economics (2008)
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2008) View citations
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations
2. Quadratic Variation by Markov Chains
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2008

3. Reduced-Rank Regression: A Useful Determinant Identity
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2006

4. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2006) View citations
   OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations
   See also Journal Article in Econometrica (2008)
5. Subsampling realised kernels
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations

2005

6. Model confidence sets for forecasting models
   Working Paper, Federal Reserve Bank of Atlanta View citations
7. Testing the significance of calendar effects
   Working Paper, Federal Reserve Bank of Atlanta View citations
   Also in Working Papers, Brown University, Department of Economics (2003) View citations

2004

8. Realized Variance and IID Market Microstructure Noise
   Econometric Society 2004 North American Summer Meetings, Econometric Society View citations
9. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
   OFRC Working Papers Series, Oxford Financial Research Centre View citations
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations

2003

10. Asymptotic Tests of Composite Hypotheses
    Working Papers, Brown University, Department of Economics View citations
11. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics View citations
    Also in Working Paper, Federal Reserve Bank of Atlanta (2003) View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
12. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models
    Working Papers, Brown University, Department of Economics View citations

2002

13. Generalized Reduced Rank Regression
    Working Papers, Brown University, Department of Economics View citations
14. On the Estimation of Reduced Rank Regressions
    Working Papers, Brown University, Department of Economics

2001

15. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
    Working Papers, Brown University, Department of Economics View citations
    See also Journal Article in Journal of Applied Econometrics (2005)
16. An Unbiased and Powerful Test for Superior Predictive Ability
    Working Papers, Brown University, Department of Economics View citations

2000

17. Structural Breaks in the Cointegrated Vector Autoregressive Model
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
18. Structural Changes in the Cointegrated Vector Autoregressive Model
    Working Papers, Brown University, Department of Economics View citations
    See also Journal Article in Journal of Econometrics (2003)
19. The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

Undated

20. Consumer Services, Employment and the Informal Economy
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
21. The Johansen-Granger Representation Theorem: A Closed Form Expression for I(1)Processes Creation-Date: 2000
    Working Papers, Brown University, Department of Economics

Journal Articles

2008

1. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
   Econometrica, 2008, 76, (6), 1481-1536 View citations
   See also Working Paper (2006)
2. Moving Average-Based Estimators of Integrated Variance
   Econometric Reviews, 2008, 27, (1-3), 79-111 View citations
3. The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements
   Financial Markets and Portfolio Management, 2008, 22, (1), 3-20

2006

4. Consistent ranking of volatility models
   Journal of Econometrics, 2006, 131, (1-2), 97-121 View citations
5. Realized Variance and Market Microstructure Noise
   Journal of Business & Economic Statistics, 2006, 24, 127-161 View citations
6. Rejoinder
   Journal of Business & Economic Statistics, 2006, 24, 208-218

2005

7. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
   Journal of Financial Econometrics, 2005, 3, (4), 525-554 View citations
8. A Test for Superior Predictive Ability
   Journal of Business & Economic Statistics, 2005, 23, 365-380 View citations
9. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
   Journal of Applied Econometrics, 2005, 20, (7), 873-889 View citations
   See also Working Paper (2001)
10. Granger's representation theorem: A closed-form expression for I(1) processes
    Econometrics Journal, 2005, 8, (1), 23-38 View citations

2003

11. Choosing the Best Volatility Models: The Model Confidence Set Approach
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 View citations
    See also Working Paper (2003)
12. Structural changes in the cointegrated vector autoregressive model
    Journal of Econometrics, 2003, 114, (2), 261-295 View citations
    See also Working Paper (2000)

1995

13. Subsidising consumer services: effects on employment, welfare and the informal economy
    Fiscal Studies, 1995, 16, (2), 71-93 View citations