All Stories

  1. Option Pricing with Time-Varying Volatility Risk Aversion

    Article • Review of Financial Studies, August 2025, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  2. Cluster GARCH

    Article • Journal of Business and Economic Statistics, July 2025, Taylor & Francis

    Professor Peter Reinhard Hansen

  3. A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices

    Article • The Review of Economics and Statistics, July 2024, The MIT Press

    Professor Peter Reinhard Hansen

  4. A new method for generating random correlation matrices

    Article • Econometrics Journal, December 2023, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  5. Characterizing correlation matrices that admit a clustered factor representation

    Article • Economics Letters, December 2023, Elsevier

    Professor Peter Reinhard Hansen

  6. Characterizing Correlation Matrices that Admit a Clustered Factor Representation

    Article • January 2023, Elsevier

    Professor Peter Reinhard Hansen

  7. Periodicity in Cryptocurrency Volatility and Liquidity

    Article • Journal of Financial Econometrics, October 2022, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  8. How should parameter estimation be tailored to the objective?

    Article • Journal of Econometrics, October 2022, Elsevier

    Professor Peter Reinhard Hansen

  9. Realized GARCH, CBOE VIX, and the Volatility Risk Premium

    Article • Journal of Financial Econometrics, September 2022, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  10. Option pricing with state‐dependent pricing kernel

    Article • Journal of Futures Markets, May 2022, Wiley

    Professor Peter Reinhard Hansen

  11. Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants

    Article • Econometrics Journal, March 2022, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  12. A New Parametrization of Correlation Matrices

    Article • Econometrica, January 2021, The Econometric Society

    Professor Peter Reinhard Hansen

  13. The contagious nature of a vaccine scare: How the introduction of HPV vaccination lifted and eroded MMR vaccination in Denmark

    Article • Vaccine, June 2020, Elsevier

    Professor Peter Reinhard Hansen

  14. Resilience of HPV vaccine uptake in Denmark: Decline and recovery

    Article • Vaccine, February 2020, Elsevier

    Professor Peter Reinhard Hansen

  15. A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program

    Article • Journal of Business and Economic Statistics, July 2019, Taylor & Francis

    Professor Peter Reinhard Hansen

  16. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*

    Article • Journal of Financial Econometrics, April 2018, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  17. Exponential GARCH Modeling With Realized Measures of Volatility

    Article • Journal of Business and Economic Statistics, March 2016, Taylor & Francis

    Professor Peter Reinhard Hansen

  18. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

    Article • December 2015, Springer Science + Business Media

    Professor Peter Reinhard Hansen

  19. A martingale decomposition of discrete Markov chains

    Article • Economics Letters, August 2015, Elsevier

    Professor Peter Reinhard Hansen

  20. Comment

    Article • Journal of Business and Economic Statistics, January 2015, Taylor & Francis

    Professor Peter Reinhard Hansen

  21. Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics

    Article • Econometrica, January 2015, The Econometric Society

    Professor Peter Reinhard Hansen

  22. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY

    Article • Journal of Applied Econometrics, April 2014, Wiley

    Professor Peter Reinhard Hansen

  23. ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR

    Article • Econometric Theory, August 2013, Cambridge University Press

    Professor Peter Reinhard Hansen

  24. Forecasting Volatility Using High-Frequency Data

    Article • July 2011

    Professor Peter Reinhard Hansen

  25. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

    Article • Journal of Econometrics, June 2011, Elsevier

    Professor Peter Reinhard Hansen

  26. Realized GARCH: a joint model for returns and realized measures of volatility

    Article • Journal of Applied Econometrics, March 2011, Wiley

    Professor Peter Reinhard Hansen

  27. Subsampling realised kernels

    Article • Journal of Econometrics, January 2011, Elsevier

    Professor Peter Reinhard Hansen

  28. The Model Confidence Set

    Article • Econometrica, January 2011, The Econometric Society

    Professor Peter Reinhard Hansen

  29. The Model Confidence Set

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Peter Reinhard Hansen

  30. Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Peter Reinhard Hansen

  31. Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Peter Reinhard Hansen

  32. Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Peter Reinhard Hansen

  33. Realized kernels in practice: trades and quotes

    Article • Econometrics Journal, November 2009, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  34. Quadratic Variation by Markov Chains

    Article • SSRN Electronic Journal, January 2009, Elsevier

    Professor Peter Reinhard Hansen

  35. Reduced-rank regression: A useful determinant identity

    Article • Journal of Statistical Planning and Inference, September 2008, Elsevier

    Professor Peter Reinhard Hansen

  36. Moving Average-Based Estimators of Integrated Variance

    Article • Econometric Reviews, February 2008, Taylor & Francis

    Professor Peter Reinhard Hansen

  37. Reduced-Rank Regression: A Useful Determinant Identity

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Peter Reinhard Hansen

  38. Realised Kernels in Practice: Trades and Quotes

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Peter Reinhard Hansen

  39. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Peter Reinhard Hansen

  40. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

    Article • Econometrica, January 2008, The Econometric Society

    Professor Peter Reinhard Hansen

  41. The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements

    Article • Financial Markets and Portfolio Management, December 2007, Springer Science + Business Media

    Professor Peter Reinhard Hansen

  42. Subsampling Realised Kernels

    Article • SSRN Electronic Journal, January 2007, Elsevier

    Professor Peter Reinhard Hansen

  43. Realized Variance and Market Microstructure Noise

    Article • Journal of Business and Economic Statistics, April 2006, Taylor & Francis

    Professor Peter Reinhard Hansen

  44. Rejoinder

    Article • Journal of Business and Economic Statistics, April 2006, Taylor & Francis

    Professor Peter Reinhard Hansen

  45. Consistent ranking of volatility models

    Article • Journal of Econometrics, March 2006, Elsevier

    Professor Peter Reinhard Hansen

  46. Moving Average-Based Estimators of Integrated Variance

    Article • SSRN Electronic Journal, January 2006, Elsevier

    Professor Peter Reinhard Hansen

  47. Rejoinder (To Comments on Realized Variance and Market Microstructure Noise)

    Article • SSRN Electronic Journal, January 2006, Elsevier

    Professor Peter Reinhard Hansen

  48. A Test for Superior Predictive Ability

    Article • Journal of Business and Economic Statistics, October 2005, Taylor & Francis

    Professor Peter Reinhard Hansen

  49. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

    Article • Journal of Financial Econometrics, August 2005, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  50. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

    Article • Journal of Applied Econometrics, March 2005, Wiley

    Professor Peter Reinhard Hansen

  51. Granger's representation theorem: A closed‐form expression for I(1) processes

    Article • Econometrics Journal, March 2005, Oxford University Press (OUP)

    Professor Peter Reinhard Hansen

  52. Realized Variance and Market Microstructure Noise

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  53. A Test for Superior Predictive Ability

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  54. Testing the Significance of Calendar Effects

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  55. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  56. The Greenspan Effect on Equity Markets: An Intraday Examination of U.S. Monetary Policy Announcements

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  57. An Unbiased Measure of Realized Variance

    Article • SSRN Electronic Journal, January 2004, Elsevier

    Professor Peter Reinhard Hansen

  58. Choosing the Best Volatility Models: The Model Confidence Set Approach*

    Article • Oxford Bulletin of Economics and Statistics, December 2003, Wiley

    Professor Peter Reinhard Hansen

  59. Structural changes in the cointegrated vector autoregressive model

    Article • Journal of Econometrics, June 2003, Elsevier

    Professor Peter Reinhard Hansen

  60. Consistent Ranking of Volatility Models

    Article • SSRN Electronic Journal, January 2003, Elsevier

    Professor Peter Reinhard Hansen

  61. Asymptotic Tests of Composite Hypotheses

    Article • SSRN Electronic Journal, January 2003, Elsevier

    Professor Peter Reinhard Hansen

  62. Choosing the Best Volatility Models: The Model Confidence Set Approach

    Article • SSRN Electronic Journal, January 2003, Elsevier

    Professor Peter Reinhard Hansen

  63. Generalized Reduced Rank Regression

    Article • SSRN Electronic Journal, January 2002, Elsevier

    Professor Peter Reinhard Hansen

  64. A Simple Algebraic Proof of the Estimation Result in Reduced-Rank Regressions

    Article • SSRN Electronic Journal, January 2002, Elsevier

    Professor Peter Reinhard Hansen

  65. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

    Article • SSRN Electronic Journal, January 2001, Elsevier

    Professor Peter Reinhard Hansen

  66. Granger's Representation Theorem: A Closed-Form Expression for I(1) Processes

    Article • SSRN Electronic Journal, January 2000, Elsevier

    Professor Peter Reinhard Hansen

  67. Cointegration

    Article • SAGE Publications

    Professor Peter Reinhard Hansen

  68. A Martingale Decomposition of Discrete Markov Chains

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Peter Reinhard Hansen