All Stories

  1. Exponential GARCH Modeling With Realized Measures of Volatility

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

    Professor Peter Reinhard Hansen

  2. A martingale decomposition of discrete Markov chains

    Article • Economics Letters, August 2015, Elsevier

    Professor Peter Reinhard Hansen

  3. Comment

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

    Professor Peter Reinhard Hansen

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

    Article • Journal of Applied Econometrics, April 2014, Wiley

    Professor Peter Reinhard Hansen

  5. 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

  6. Forecasting Volatility Using High-Frequency Data

    Article • July 2011

    Professor Peter Reinhard Hansen

  7. 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

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

    Article • Journal of Applied Econometrics, March 2011, Wiley

    Professor Peter Reinhard Hansen

  9. Subsampling realised kernels

    Article • Journal of Econometrics, January 2011, Elsevier

    Professor Peter Reinhard Hansen

  10. The Model Confidence Set

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Peter Reinhard Hansen

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

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Peter Reinhard Hansen

  12. 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

  13. 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

  14. Realized kernels in practice: trades and quotes

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

    Professor Peter Reinhard Hansen

  15. Quadratic Variation by Markov Chains

    Article • SSRN Electronic Journal, January 2009, Elsevier

    Professor Peter Reinhard Hansen

  16. Reduced-rank regression: A useful determinant identity

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

    Professor Peter Reinhard Hansen

  17. Moving Average-Based Estimators of Integrated Variance

    Article • Econometric Reviews, February 2008, Taylor & Francis

    Professor Peter Reinhard Hansen

  18. Reduced-Rank Regression: A Useful Determinant Identity

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Peter Reinhard Hansen

  19. Realised Kernels in Practice: Trades and Quotes

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Peter Reinhard Hansen

  20. 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

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

    Article • December 2007, Springer Science + Business Media

    Professor Peter Reinhard Hansen

  22. Subsampling Realised Kernels

    Article • SSRN Electronic Journal, January 2007, Elsevier

    Professor Peter Reinhard Hansen

  23. Realized Variance and Market Microstructure Noise

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

    Professor Peter Reinhard Hansen

  24. Rejoinder

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

    Professor Peter Reinhard Hansen

  25. Consistent ranking of volatility models

    Article • Journal of Econometrics, March 2006, Elsevier

    Professor Peter Reinhard Hansen

  26. Moving Average-Based Estimators of Integrated Variance

    Article • SSRN Electronic Journal, January 2006, Elsevier

    Professor Peter Reinhard Hansen

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

    Article • SSRN Electronic Journal, January 2006, Elsevier

    Professor Peter Reinhard Hansen

  28. A Test for Superior Predictive Ability

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

    Professor Peter Reinhard Hansen

  29. 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

  30. 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

  31. Realized Variance and Market Microstructure Noise

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  32. A Test for Superior Predictive Ability

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  33. Testing the Significance of Calendar Effects

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

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

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Peter Reinhard Hansen

  35. 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

  36. An Unbiased Measure of Realized Variance

    Article • SSRN Electronic Journal, January 2004, Elsevier

    Professor Peter Reinhard Hansen

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

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

    Professor Peter Reinhard Hansen

  38. Structural changes in the cointegrated vector autoregressive model

    Article • Journal of Econometrics, June 2003, Elsevier

    Professor Peter Reinhard Hansen

  39. Consistent Ranking of Volatility Models

    Article • SSRN Electronic Journal, January 2003, Elsevier

    Professor Peter Reinhard Hansen

  40. Asymptotic Tests of Composite Hypotheses

    Article • SSRN Electronic Journal, January 2003, Elsevier

    Professor Peter Reinhard Hansen

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

    Article • SSRN Electronic Journal, January 2003, Elsevier

    Professor Peter Reinhard Hansen

  42. Generalized Reduced Rank Regression

    Article • SSRN Electronic Journal, January 2002, Elsevier

    Professor Peter Reinhard Hansen

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

    Article • SSRN Electronic Journal, January 2002, Elsevier

    Professor Peter Reinhard Hansen

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

    Article • SSRN Electronic Journal, January 2001, Elsevier

    Professor Peter Reinhard Hansen

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

    Article • SSRN Electronic Journal, January 2000, Elsevier

    Professor Peter Reinhard Hansen

  46. Cointegration

    Article • SAGE Publications

    Professor Peter Reinhard Hansen

  47. A Martingale Decomposition of Discrete Markov Chains

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Peter Reinhard Hansen