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Peter Reinhard Hansen

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Personal Details

First Name: Peter
Middle Name: Reinhard
Last Name: Hansen
Suffix:

RePEc Short-ID: pha63

Email:
Homepage: http://www.stanford.edu/~prhansen
Postal Address: Department of Economics, 579 Serra Mall, Stanford, CA 94305-6072
Phone:

Affiliation

(80%) Department of Economics
European University Institute
Location: Firenze, Italy
Homepage: http://www.eui.eu/DepartmentsAndCentres/Economics/
Email:
Phone: +39-055-4685.982
Fax: +39-055-4685.902
Postal: EUI-ECO, Villa San Paolo, Via della Piazzuola 43, 50133 Florence
Handle: RePEc:edi:deiueit (more details at EDIRC)
(20%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
Email:
Phone:
Fax:
Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Peter Reinhard Hansen in Wikipedia (English)

Works

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Working papers

  1. Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, School of Economics and Management, University of Aarhus.
  2. Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers 2012-44, School of Economics and Management, University of Aarhus.
  3. Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
  4. Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, School of Economics and Management, University of Aarhus.
  5. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, School of Economics and Management, University of Aarhus.
  6. Peter R. Hansen & Asger Lunde & James M. Nason, 2010. "The Model Confidence Set," CREATES Research Papers 2010-76, School of Economics and Management, University of Aarhus.
  7. Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, School of Economics and Management, University of Aarhus.
  8. Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics.
  9. Peter Reinhard Hansen, 2008. "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers 2008-02, School of Economics and Management, University of Aarhus.
  10. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
  11. Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
  12. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," Working Paper 2005-07, Federal Reserve Bank of Atlanta.
  13. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford.
  14. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society.
  15. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics.
  16. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics.
  17. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
  18. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics.
  19. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics.
  20. Peter Hansen, 2002. "On the Estimation of Reduced Rank Regressions," Working Papers 2002-08, Brown University, Department of Economics.
  21. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
  22. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
  23. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
  24. Hansen, Peter Reinhard, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series qt832256dg, Department of Economics, UC San Diego.
  25. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
  26. Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, . "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, School of Economics and Management, University of Aarhus.
  27. Niels Kleis Frederiksen & Peter Reinhard Hansen & Henrik Jacobsen & Peter Birch Soerensen, . "Consumer Services, Employment and the Informal Economy," EPRU Working Paper Series 94-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
  28. Peter Reinhard Hansen, . "The Johansen-Granger Representation Theorem: A Closed Form Expression for I(1)Processes Creation-Date: 2000," Working Papers 2000-19, Brown University, Department of Economics.

Articles

  1. Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(01), pages 60-93, February.
  2. Peter Reinhard Hansen & Zhuo Huang & Howard Howan Shek, 2012. "Realized GARCH: a joint model for returns and realized measures of volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 877-906, 09.
  3. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
  4. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
  5. Peter R. Hansen & Asger Lunde & James M. Nason, 2011. "The Model Confidence Set," Econometrica, Econometric Society, vol. 79(2), pages 453-497, 03.
  6. Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008. "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer, vol. 22(1), pages 3-20, March.
  7. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
  8. Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.
  9. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
  10. Hansen, Peter R. & Lunde, Asger, 2006. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 208-218, April.
  11. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
  12. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
  13. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
  14. Peter Reinhard Hansen, 2005. "Granger's representation theorem: A closed-form expression for I(1) processes," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 23-38, 03.
  15. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 525-554.
  16. Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
  17. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
  18. Niels Fredriksen & Peter Hansen & Henrik Jacobsen & Peter Sørensen, 1995. "Subsidising consumer services: effects on employment, welfare and the informal economy," Fiscal Studies, Institute for Fiscal Studies, vol. 16(2), pages 71-93, May.

Books

  1. Hansen, Peter Reinhard & Johansen, Soren, 1998. "Workbook on Cointegration," OUP Catalogue, Oxford University Press, number 9780198776079.

NEP Fields

32 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (25) 2001-08-15 2001-08-15 2003-04-13 2003-04-13 2003-04-24 2003-04-24 2003-05-15 2003-05-15 2004-10-30 2004-12-20 2005-05-23 2005-05-23 2006-06-17 2006-08-26 2006-09-16 2008-06-27 2008-07-20 2008-11-11 2009-01-03 2009-04-05 2009-04-18 2010-03-06 2012-04-10 2012-11-24 2012-11-24. Author is listed
  2. NEP-ETS: Econometric Time Series (21) 2001-08-15 2001-08-15 2003-04-21 2003-04-21 2003-04-27 2003-11-30 2004-12-20 2005-05-23 2006-09-16 2006-10-14 2008-06-27 2008-07-20 2009-01-03 2009-04-05 2009-04-18 2010-03-06 2010-12-11 2012-04-10 2012-11-24 2012-11-24 2012-11-24. Author is listed
  3. NEP-FIN: Finance (7) 2001-08-15 2003-04-13 2003-04-27 2003-11-30 2004-10-30 2005-05-23 2005-05-23. Author is listed
  4. NEP-FMK: Financial Markets (3) 2006-06-17 2006-08-26 2010-12-11
  5. NEP-FOR: Forecasting (3) 2012-04-10 2012-11-24 2012-11-24
  6. NEP-MST: Market Microstructure (6) 2006-06-17 2006-08-26 2006-09-16 2006-10-14 2009-04-05 2012-11-24. Author is listed
  7. NEP-ORE: Operations Research (1) 2010-03-06
  8. NEP-RMG: Risk Management (3) 2003-04-27 2003-11-30 2012-11-24

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Citations
  5. Number of Citations, Discounted by Citation Age
  6. Number of Citations, Weighted by Simple Impact Factor
  7. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  8. Number of Citations, Weighted by Recursive Impact Factor
  9. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors
  11. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  16. h-index
  17. Number of Registered Citing Authors
  18. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  19. Number of Journal Pages, Weighted by Simple Impact Factor
  20. Number of Journal Pages, Weighted by Recursive Impact Factor
  21. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  22. Wu-Index

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