Details about Peter Hansen

Access statistics for papers by Peter Hansen.

Last updated 2023-02-13. Update your information in the RePEc Author Service.

Short-id: pha63

Working Papers

2022

1. A New Method for Generating Random Correlation Matrices
   Papers, arXiv.org
2. Option Pricing with State-dependent Pricing Kernel
   Papers, arXiv.org
   See also Journal Article in Journal of Futures Markets (2022)
3. Option Pricing with Time-Varying Volatility Risk Aversion
   Papers, arXiv.org View citations (1)
4. Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants
   Papers, arXiv.org
   See also Journal Article in The Econometrics Journal (2022)

2021

5. A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices
   Papers, arXiv.org View citations (1)
6. Periodicity in Cryptocurrency Volatility and Liquidity
   Papers, arXiv.org
7. Realized GARCH, CBOE VIX, and the Volatility Risk Premium
   Papers, arXiv.org View citations (1)

2020

8. A Multivariate Realized GARCH Model
   Papers, arXiv.org View citations (3)
9. A New Parametrization of Correlation Matrices
   Papers, arXiv.org View citations (3)
   See also Journal Article in Econometrica (2021)
10. How Should Parameter Estimation Be Tailored to the Objective?
    Post-Print, HAL
    See also Journal Article in Journal of Econometrics (2022)

2016

11. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article in The Journal of Financial Econometrics (2019)

2015

12. 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)
13. A Martingale Decomposition of Discrete Markov Chains
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article in Economics Letters (2015)

2012

14. Choice of Sample Split in Out-of-Sample Forecast Evaluation
    Economics Working Papers, European University Institute View citations (76)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (76)
15. 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 in Econometrica (2015)
16. 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 (24)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
17. 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 (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (14)

2011

18. 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 (207)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (34)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (34)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2009) View citations (6)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (30)
    Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (26)
    See also Journal Article in Journal of Econometrics (2011)

2010

19. 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 in Econometric Theory (2014)
20. The Model Confidence Set
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    See also Journal Article in Econometrica (2011)

2009

21. Quadratic Variation by Markov Chains
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (21)

2008

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

2006

23. 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 in Econometrica (2008)
24. 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 in Journal of Econometrics (2011)

2005

25. Model confidence sets for forecasting models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (22)
26. Testing the significance of calendar effects
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (18)

2004

27. Realized Variance and IID Market Microstructure Noise
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (33)
28. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (30)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (30)

2003

29. Asymptotic Tests of Composite Hypotheses
    Working Papers, Brown University, Department of Economics View citations (31)
30. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics View citations (107)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2003) View citations (104)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)

2001

31. 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 in Journal of Applied Econometrics (2005)
32. An Unbiased and Powerful Test for Superior Predictive Ability
    Working Papers, Brown University, Department of Economics View citations (33)

2000

33. Structural Breaks in the Cointegrated Vector Autoregressive Model
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
34. Structural Changes in the Cointegrated Vector Autoregressive Model
    Working Papers, Brown University, Department of Economics View citations (3)
    See also Journal Article in Journal of Econometrics (2003)
35. 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 (1)

Undated

36. Consumer Services, Employment and the Informal Economy
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
37. 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

2022

1. How should parameter estimation be tailored to the objective?
   Journal of Econometrics, 2022, 230, (2), 535-558 View citations (1)
   See also Working Paper (2020)
2. Option pricing with state‐dependent pricing kernel
   Journal of Futures Markets, 2022, 42, (8), 1409-1433
   See also Working Paper (2022)
3. 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
   See also Working Paper (2022)

2021

4. 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 (7)
5. A New Parametrization of Correlation Matrices
   Econometrica, 2021, 89, (4), 1699-1715 View citations (5)
   See also Working Paper (2020)

2019

6. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
   The Journal of Financial Econometrics, 2019, 17, (1), 1-32 View citations (17)
   See also Working Paper (2016)

2017

7. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
   Journal of Futures Markets, 2017, 37, (4), 328-358 View citations (20)

2016

8. Exponential GARCH Modeling With Realized Measures of Volatility
   Journal of Business & Economic Statistics, 2016, 34, (2), 269-287 View citations (72)
   See also Working Paper (2012)

2015

9. A martingale decomposition of discrete Markov chains
   Economics Letters, 2015, 133, (C), 14-18 View citations (1)
   See also Working Paper (2015)
10. Comment
    Journal of Business & Economic Statistics, 2015, 33, (1), 17-21
11. Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics
    Econometrica, 2015, 83, 2485-2505 View citations (22)
    See also Working Paper (2012)

2014

12. 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 (30)
    See also Working Paper (2010)
13. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
    Journal of Applied Econometrics, 2014, 29, (5), 774-799 View citations (63)

2012

14. Realized GARCH: a joint model for returns and realized measures of volatility
    Journal of Applied Econometrics, 2012, 27, (6), 877-906 View citations (276)

2011

15. 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 (243)
    See also Working Paper (2011)
16. Subsampling realised kernels
    Journal of Econometrics, 2011, 160, (1), 204-219 View citations (35)
    See also Working Paper (2006)
17. The Model Confidence Set
    Econometrica, 2011, 79, (2), 453-497 View citations (863)
    See also Working Paper (2010)

2008

18. 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 (665)
    See also Working Paper (2006)
19. Moving Average-Based Estimators of Integrated Variance
    Econometric Reviews, 2008, 27, (1-3), 79-111 View citations (52)
20. 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

21. Consistent ranking of volatility models
    Journal of Econometrics, 2006, 131, (1-2), 97-121 View citations (198)
22. Realized Variance and Market Microstructure Noise
    Journal of Business & Economic Statistics, 2006, 24, 127-161 View citations (614)
23. Rejoinder
    Journal of Business & Economic Statistics, 2006, 24, 208-218

2005

24. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
    The Journal of Financial Econometrics, 2005, 3, (4), 525-554 View citations (175)
25. A Test for Superior Predictive Ability
    Journal of Business & Economic Statistics, 2005, 23, 365-380 View citations (636)
26. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
    Journal of Applied Econometrics, 2005, 20, (7), 873-889 View citations (701)
    See also Working Paper (2001)
27. Granger's representation theorem: A closed-form expression for I(1) processes
    Econometrics Journal, 2005, 8, (1), 23-38 View citations (32)

2003

28. Choosing the Best Volatility Models: The Model Confidence Set Approach*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 View citations (108)
    See also Working Paper (2003)
29. Structural changes in the cointegrated vector autoregressive model
    Journal of Econometrics, 2003, 114, (2), 261-295 View citations (92)
    See also Working Paper (2000)

1995

30. 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 (45)