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Details about Peter Hansen

E-mail:
Homepage:https://sites.google.com/site/peterreinhardhansen/
Postal address:Department of Economics, 107 Gardner Hall, Chapel Hill NC 27599-3305
Workplace:Department of Economics, University of North Carolina-Chapel-Hill, (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Peter Hansen.

Last updated 2017-06-06. Update your information in the RePEc Author Service.

Short-id: pha63


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Working Papers

2016

  1. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2015

  1. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  2. A Martingale Decomposition of Discrete Markov Chains
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Economics Letters (2015)

2012

  1. Choice of Sample Split in Out-of-Sample Forecast Evaluation
    Economics Working Papers, European University Institute Downloads View citations (32)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (32)
  2. Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Economics Working Papers, European University Institute (2012) Downloads

    See also Journal Article in Econometrica (2015)
  3. Exponential GARCH Modeling with Realized Measures of Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (13)
    Also in Economics Working Papers, European University Institute (2012) Downloads View citations (12)

    See also Journal Article in Journal of Business & Economic Statistics (2016)
  4. 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 Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (13)
    Economics Working Papers, European University Institute (2012) Downloads View citations (2)

2011

  1. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
    Post-Print, HAL Downloads View citations (79)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) Downloads View citations (10)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (23)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (23)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (27)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2009) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2011)

2010

  1. 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 Downloads View citations (11)
    See also Journal Article in Econometric Theory (2014)
  2. The Model Confidence Set
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Econometrica (2011)

2009

  1. Quadratic Variation by Markov Chains
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (12)

2008

  1. Reduced-Rank Regression: A Useful Determinant Identity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2006

  1. 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 Downloads View citations (54)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) Downloads View citations (20)

    See also Journal Article in Econometrica (2008)
  2. Subsampling realised kernels
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2011)

2005

  1. Model confidence sets for forecasting models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (19)
  2. Testing the significance of calendar effects
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (14)
    Also in Working Papers, Brown University, Department of Economics (2003) Downloads View citations (3)

2004

  1. Realized Variance and IID Market Microstructure Noise
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (28)
  2. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (19)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (15)

2003

  1. Asymptotic Tests of Composite Hypotheses
    Working Papers, Brown University, Department of Economics Downloads View citations (21)
  2. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics Downloads View citations (48)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2003) Downloads View citations (52)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)

2001

  1. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
    Working Papers, Brown University, Department of Economics Downloads View citations (33)
    See also Journal Article in Journal of Applied Econometrics (2005)
  2. An Unbiased and Powerful Test for Superior Predictive Ability
    Working Papers, Brown University, Department of Economics Downloads View citations (28)

2000

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

Undated

  1. Consumer Services, Employment and the Informal Economy
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
  2. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (26)

Journal Articles

2016

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

2015

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

2014

  1. ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
    Econometric Theory, 2014, 30, (01), 60-93 Downloads View citations (10)
    See also Working Paper (2010)
  2. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
    Journal of Applied Econometrics, 2014, 29, (5), 774-799 Downloads View citations (16)

2012

  1. Realized GARCH: a joint model for returns and realized measures of volatility
    Journal of Applied Econometrics, 2012, 27, (6), 877-906 View citations (97)

2011

  1. 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 Downloads View citations (100)
    See also Working Paper (2011)
  2. Subsampling realised kernels
    Journal of Econometrics, 2011, 160, (1), 204-219 Downloads View citations (21)
    See also Working Paper (2006)
  3. The Model Confidence Set
    Econometrica, 2011, 79, (2), 453-497 View citations (160)
    See also Working Paper (2010)

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 Downloads View citations (264)
    See also Working Paper (2006)
  2. Moving Average-Based Estimators of Integrated Variance
    Econometric Reviews, 2008, 27, (1-3), 79-111 Downloads View citations (48)
  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 Downloads View citations (4)

2006

  1. Consistent ranking of volatility models
    Journal of Econometrics, 2006, 131, (1-2), 97-121 Downloads View citations (147)
  2. Realized Variance and Market Microstructure Noise
    Journal of Business & Economic Statistics, 2006, 24, 127-161 Downloads View citations (347)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2006, 24, 208-218 Downloads

2005

  1. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
    Journal of Financial Econometrics, 2005, 3, (4), 525-554 Downloads View citations (96)
  2. A Test for Superior Predictive Ability
    Journal of Business & Economic Statistics, 2005, 23, 365-380 Downloads View citations (365)
  3. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
    Journal of Applied Econometrics, 2005, 20, (7), 873-889 Downloads View citations (317)
    See also Working Paper (2001)
  4. Granger's representation theorem: A closed-form expression for I(1) processes
    Econometrics Journal, 2005, 8, (1), 23-38 Downloads View citations (16)

2003

  1. Choosing the Best Volatility Models: The Model Confidence Set Approach
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 Downloads View citations (63)
    See also Working Paper (2003)
  2. Structural changes in the cointegrated vector autoregressive model
    Journal of Econometrics, 2003, 114, (2), 261-295 Downloads View citations (65)
    See also Working Paper (2000)

1995

  1. Subsidising consumer services: effects on employment, welfare and the informal economy
    Fiscal Studies, 1995, 16, (2), 71-93 Downloads View citations (11)

Books

1998

  1. Workbook on Cointegration
    OUP Catalogue, Oxford University Press View citations (27)
 
Page updated 2017-10-15