Details about Peter Hansen

Access statistics for papers by Peter Hansen.

Last updated 2025-05-15. Update your information in the RePEc Author Service.

Short-id: pha63

Working Papers

2025

1. A Multivariate Realized GARCH Model
   Papers, arXiv.org View citations (7)
2. Dynamic Factor Correlation Model
   Papers, arXiv.org
3. Moments by Integrating the Moment-Generating Function
   Papers, arXiv.org
4. Option Pricing with Time-Varying Volatility Risk Aversion
   Papers, arXiv.org View citations (2)

2024

5. Cluster GARCH
   Papers, arXiv.org
6. Convolution-t Distributions
   Papers, arXiv.org

2023

7. Characterizing Correlation Matrices that Admit a Clustered Factor Representation
   Papers, arXiv.org View citations (2)
   See also Journal Article Characterizing correlation matrices that admit a clustered factor representation, Economics Letters, Elsevier (2023) View citations (1) (2023)
8. Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas
   Papers, arXiv.org

2022

9. A New Method for Generating Random Correlation Matrices
   Papers, arXiv.org
   See also Journal Article A new method for generating random correlation matrices, The Econometrics Journal, Royal Economic Society (2024) View citations (1) (2024)
10. Option Pricing with State-dependent Pricing Kernel
    Papers, arXiv.org View citations (2)
    See also Journal Article Option pricing with state‐dependent pricing kernel, Journal of Futures Markets, John Wiley & Sons, Ltd. (2022) (2022)
11. Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants
    Papers, arXiv.org View citations (1)
    See also Journal Article Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants, The Econometrics Journal, Royal Economic Society (2022) View citations (1) (2022)

2021

12. A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices
    Papers, arXiv.org View citations (1)
    See also Journal Article A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices, The Review of Economics and Statistics, MIT Press (2024) View citations (1) (2024)
13. Periodicity in Cryptocurrency Volatility and Liquidity
    Papers, arXiv.org
    See also Journal Article Periodicity in Cryptocurrency Volatility and Liquidity*, Journal of Financial Econometrics, Oxford University Press (2024) View citations (3) (2024)
14. Realized GARCH, CBOE VIX, and the Volatility Risk Premium
    Papers, arXiv.org View citations (1)
    See also Journal Article Realized GARCH, CBOE VIX, and the Volatility Risk Premium, Journal of Financial Econometrics, Oxford University Press (2024) View citations (2) (2024)

2020

15. A New Parametrization of Correlation Matrices
    Papers, arXiv.org View citations (3)
    See also Journal Article A New Parametrization of Correlation Matrices, Econometrica, Econometric Society (2021) View citations (14) (2021)
16. How Should Parameter Estimation Be Tailored to the Objective?
    Post-Print, HAL
    See also Journal Article How should parameter estimation be tailored to the objective?, Journal of Econometrics, Elsevier (2022) View citations (4) (2022)

2016

17. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model, Journal of Financial Econometrics, Oxford University Press (2019) View citations (22) (2019)

2015

18. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
19. A Martingale Decomposition of Discrete Markov Chains
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article A martingale decomposition of discrete Markov chains, Economics Letters, Elsevier (2015) View citations (2) (2015)

2012

20. Choice of Sample Split in Out-of-Sample Forecast Evaluation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (83)
    Also in Economics Working Papers, European University Institute (2012) View citations (83)
21. Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
    Economics Working Papers, European University Institute
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012)
    See also Journal Article Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics, Econometrica, Econometric Society (2015) View citations (26) (2015)
22. Exponential GARCH Modeling with Realized Measures of Volatility
    Economics Working Papers, European University Institute View citations (21)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (26)
    See also Journal Article Exponential GARCH Modeling With Realized Measures of Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (98) (2016)
23. Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (3)
    Also in Economics Working Papers, European University Institute (2012) View citations (4)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (16)

2011

24. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
    Post-Print, HAL View citations (256)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (29)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (37)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (33)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2009) View citations (6)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (37)
    See also Journal Article Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Journal of Econometrics, Elsevier (2011) View citations (293) (2011)

2010

25. Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (18)
    See also Journal Article ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR, Econometric Theory, Cambridge University Press (2014) View citations (33) (2014)
26. The Model Confidence Set
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    See also Journal Article The Model Confidence Set, Econometrica, Econometric Society (2011) View citations (1115) (2011)

2009

27. Quadratic Variation by Markov Chains
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (22)

2008

28. Reduced-Rank Regression: A Useful Determinant Identity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2006

29. 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 (77)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (48)
    See also Journal Article Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise, Econometrica, Econometric Society (2008) View citations (753) (2008)
30. Subsampling realised kernels
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (8)
    See also Journal Article Subsampling realised kernels, Journal of Econometrics, Elsevier (2011) View citations (41) (2011)

2005

31. Model confidence sets for forecasting models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (24)
32. Testing the significance of calendar effects
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (18)

2004

33. Realized Variance and IID Market Microstructure Noise
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (33)
34. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (31)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (31)

2003

35. Asymptotic Tests of Composite Hypotheses
    Working Papers, Brown University, Department of Economics View citations (31)
36. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics View citations (123)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2003) View citations (122)
    See also Journal Article Choosing the Best Volatility Models: The Model Confidence Set Approach*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (124) (2003)

2001

37. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
    Working Papers, Brown University, Department of Economics View citations (51)
    See also Journal Article A forecast comparison of volatility models: does anything beat a GARCH(1,1)?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (783) (2005)
38. An Unbiased and Powerful Test for Superior Predictive Ability
    Working Papers, Brown University, Department of Economics View citations (32)

2000

39. Structural Breaks in the Cointegrated Vector Autoregressive Model
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
40. Structural Changes in the Cointegrated Vector Autoregressive Model
    Working Papers, Brown University, Department of Economics View citations (3)
    See also Journal Article Structural changes in the cointegrated vector autoregressive model, Journal of Econometrics, Elsevier (2003) View citations (96) (2003)
41. 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 (3)

Undated

42. Consumer Services, Employment and the Informal Economy
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
43. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (23)

Journal Articles

2024

1. A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices
   The Review of Economics and Statistics, 2024, 106, (4), 1099-1113 View citations (1)
   See also Working Paper A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices, Papers (2021) View citations (1) (2021)
2. A new method for generating random correlation matrices
   The Econometrics Journal, 2024, 27, (2), 188-212 View citations (1)
   See also Working Paper A New Method for Generating Random Correlation Matrices, Papers (2022) (2022)
3. Periodicity in Cryptocurrency Volatility and Liquidity*
   Journal of Financial Econometrics, 2024, 22, (1), 224-251 View citations (3)
   See also Working Paper Periodicity in Cryptocurrency Volatility and Liquidity, Papers (2021) (2021)
4. Realized GARCH, CBOE VIX, and the Volatility Risk Premium
   Journal of Financial Econometrics, 2024, 22, (1), 187-223 View citations (2)
   See also Working Paper Realized GARCH, CBOE VIX, and the Volatility Risk Premium, Papers (2021) View citations (1) (2021)

2023

5. Characterizing correlation matrices that admit a clustered factor representation
   Economics Letters, 2023, 233, (C) View citations (1)
   See also Working Paper Characterizing Correlation Matrices that Admit a Clustered Factor Representation, Papers (2023) View citations (2) (2023)

2022

6. How should parameter estimation be tailored to the objective?
   Journal of Econometrics, 2022, 230, (2), 535-558 View citations (4)
   See also Working Paper How Should Parameter Estimation Be Tailored to the Objective?, Post-Print (2020) (2020)
7. Option pricing with state‐dependent pricing kernel
   Journal of Futures Markets, 2022, 42, (8), 1409-1433
   See also Working Paper Option Pricing with State-dependent Pricing Kernel, Papers (2022) View citations (2) (2022)
8. 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 lineage B.1.1.7 in Denmark)
   The Econometrics Journal, 2022, 25, (3), 739-761 View citations (1)
   See also Working Paper Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants, Papers (2022) View citations (1) (2022)

2021

9. A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program
   Journal of Business & Economic Statistics, 2021, 39, (1), 259-271 View citations (11)
10. A New Parametrization of Correlation Matrices
    Econometrica, 2021, 89, (4), 1699-1715 View citations (14)
    See also Working Paper A New Parametrization of Correlation Matrices, Papers (2020) View citations (3) (2020)

2019

11. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    Journal of Financial Econometrics, 2019, 17, (1), 1-32 View citations (22)
    See also Working Paper Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model, Tinbergen Institute Discussion Papers (2016) View citations (2) (2016)

2017

12. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
    Journal of Futures Markets, 2017, 37, (4), 328-358 View citations (27)

2016

13. Exponential GARCH Modeling With Realized Measures of Volatility
    Journal of Business & Economic Statistics, 2016, 34, (2), 269-287 View citations (98)
    See also Working Paper Exponential GARCH Modeling with Realized Measures of Volatility, Economics Working Papers (2012) View citations (21) (2012)

2015

14. A martingale decomposition of discrete Markov chains
    Economics Letters, 2015, 133, (C), 14-18 View citations (2)
    See also Working Paper A Martingale Decomposition of Discrete Markov Chains, CREATES Research Papers (2015) View citations (2) (2015)
15. Comment
    Journal of Business & Economic Statistics, 2015, 33, (1), 17-21
16. Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics
    Econometrica, 2015, 83, 2485-2505 View citations (26)
    See also Working Paper Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics, Economics Working Papers (2012) (2012)

2014

17. ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
    Econometric Theory, 2014, 30, (1), 60-93 View citations (33)
    See also Working Paper Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error, CREATES Research Papers (2010) View citations (18) (2010)
18. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
    Journal of Applied Econometrics, 2014, 29, (5), 774-799 View citations (77)

2012

19. Realized GARCH: a joint model for returns and realized measures of volatility
    Journal of Applied Econometrics, 2012, 27, (6), 877-906 View citations (321)

2011

20. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
    Journal of Econometrics, 2011, 162, (2), 149-169 View citations (293)
    See also Working Paper Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Post-Print (2011) View citations (256) (2011)
21. Subsampling realised kernels
    Journal of Econometrics, 2011, 160, (1), 204-219 View citations (41)
    See also Working Paper Subsampling realised kernels, Economics Papers (2006) View citations (5) (2006)
22. The Model Confidence Set
    Econometrica, 2011, 79, (2), 453-497 View citations (1115)
    See also Working Paper The Model Confidence Set, CREATES Research Papers (2010) View citations (5) (2010)

2008

23. 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 (753)
    See also Working Paper Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, Economics Papers (2006) View citations (77) (2006)
24. Moving Average-Based Estimators of Integrated Variance
    Econometric Reviews, 2008, 27, (1-3), 79-111 View citations (54)
25. 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 View citations (4)

2006

26. Consistent ranking of volatility models
    Journal of Econometrics, 2006, 131, (1-2), 97-121 View citations (214)
27. Realized Variance and Market Microstructure Noise
    Journal of Business & Economic Statistics, 2006, 24, 127-161 View citations (669)
28. Rejoinder
    Journal of Business & Economic Statistics, 2006, 24, 208-218

2005

29. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
    Journal of Financial Econometrics, 2005, 3, (4), 525-554 View citations (186)
30. A Test for Superior Predictive Ability
    Journal of Business & Economic Statistics, 2005, 23, 365-380 View citations (691)
31. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
    Journal of Applied Econometrics, 2005, 20, (7), 873-889 View citations (783)
    See also Working Paper A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?, Working Papers (2001) View citations (51) (2001)
32. Granger's representation theorem: A closed-form expression for I(1) processes
    Econometrics Journal, 2005, 8, (1), 23-38 View citations (35)

2003

33. Choosing the Best Volatility Models: The Model Confidence Set Approach*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 View citations (124)
    See also Working Paper Choosing the Best Volatility Models:The Model Confidence Set Approach, Working Papers (2003) View citations (123) (2003)
34. Structural changes in the cointegrated vector autoregressive model
    Journal of Econometrics, 2003, 114, (2), 261-295 View citations (96)
    See also Working Paper Structural Changes in the Cointegrated Vector Autoregressive Model, Working Papers (2000) View citations (3) (2000)

1995

35. Subsidising consumer services: effects on employment, welfare and the informal economy
    Fiscal Studies, 1995, 16, (2), 71-93 View citations (19)

Books

1998

1. Workbook on Cointegration
   OUP Catalogue, Oxford University Press View citations (46)