Peter Hansen : Citation Profile


Are you Peter Hansen?

University of North Carolina-Chapel-Hill (90% share)
Copenhagen Business School (10% share)

23

H index

32

i10 index

5068

Citations

RESEARCH PRODUCTION:

27

Articles

47

Papers

1

Books

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 181
   Journals where Peter Hansen has often published
   Relations with other researchers
   Recent citing documents: 564.    Total self citations: 42 (0.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha63
   Updated: 2023-01-08    RAS profile: 2021-10-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Archakov, Ilya (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Hansen.

Is cited by:

Degiannakis, Stavros (125)

McAleer, Michael (118)

Bollerslev, Tim (98)

Patton, Andrew (74)

Asai, Manabu (72)

Shephard, Neil (63)

Andersen, Torben (59)

Laurent, Sébastien (56)

Caporin, Massimiliano (53)

Gallo, Giampiero (50)

Omori, Yasuhiro (47)

Cites to:

Bollerslev, Tim (67)

Shephard, Neil (55)

Andersen, Torben (53)

Lunde, Asger (49)

Diebold, Francis (42)

Barndorff-Nielsen, Ole (42)

Engle, Robert (35)

Meddahi, Nour (20)

West, Kenneth (16)

Ait-Sahalia, Yacine (15)

Newey, Whitney (14)

Main data


Where Peter Hansen has published?


Journals with more than one article published# docs
Journal of Econometrics4
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics3
The Journal of Financial Econometrics2
Econometrica2
Econometrica2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
OFRC Working Papers Series / Oxford Financial Research Centre4
Economics Working Papers / European University Institute4
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta3
Post-Print / HAL2

Recent works citing Peter Hansen (2022 and 2021)


YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

Full description at Econpapers || Download paper

2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

Full description at Econpapers || Download paper

2021A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420.

Full description at Econpapers || Download paper

2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

Full description at Econpapers || Download paper

2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

Full description at Econpapers || Download paper

2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

Full description at Econpapers || Download paper

2022Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

Full description at Econpapers || Download paper

2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

Full description at Econpapers || Download paper

2022Improved Central Limit Theorem and bootstrap approximations in high dimensions. (2019). Chernozhukov, Victor ; Koike, Yuta ; Kato, Kengo ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1912.10529.

Full description at Econpapers || Download paper

2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

Full description at Econpapers || Download paper

2022Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865.

Full description at Econpapers || Download paper

2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

Full description at Econpapers || Download paper

2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

Full description at Econpapers || Download paper

2021On the Size Control of the Hybrid Test for Predictive Ability. (2020). Kim, Deborah. In: Papers. RePEc:arx:papers:2008.02318.

Full description at Econpapers || Download paper

2022High-frequency Estimation of the L\evy-driven Graph Ornstein-Uhlenbeck process. (2020). , Almut ; Courgeau, Valentin. In: Papers. RePEc:arx:papers:2008.10930.

Full description at Econpapers || Download paper

2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

Full description at Econpapers || Download paper

2021Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259.

Full description at Econpapers || Download paper

2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

Full description at Econpapers || Download paper

2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

Full description at Econpapers || Download paper

2021Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909.

Full description at Econpapers || Download paper

2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

Full description at Econpapers || Download paper

2021New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting. (2021). Hansen, Peter G. In: Papers. RePEc:arx:papers:2101.12306.

Full description at Econpapers || Download paper

2021A state space approach to fitting higher order moments of empirical financial series with GARCH model parameters. (2021). Savel, Sergey ; de Clerk, Luke. In: Papers. RePEc:arx:papers:2102.11627.

Full description at Econpapers || Download paper

2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

Full description at Econpapers || Download paper

2021Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112.

Full description at Econpapers || Download paper

2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

Full description at Econpapers || Download paper

2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

Full description at Econpapers || Download paper

2021Generalized Autoregressive Moving Average Models with GARCH Errors. (2021). Zheng, Tingguo ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2105.05532.

Full description at Econpapers || Download paper

2021Using social network and semantic analysis to analyze online travel forums and forecast tourism demand. (2021). Colladon, Fronzetti A ; Innarella, R ; Guardabascio, B. In: Papers. RePEc:arx:papers:2105.07727.

Full description at Econpapers || Download paper

2022A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

Full description at Econpapers || Download paper

2022Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment. (2021). Liu, Chu-An ; Huber, Martin ; Hsu, Yu-Chin ; Lee, Ying-Ying. In: Papers. RePEc:arx:papers:2106.04237.

Full description at Econpapers || Download paper

2021On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758.

Full description at Econpapers || Download paper

2021Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894.

Full description at Econpapers || Download paper

2021Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044.

Full description at Econpapers || Download paper

2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

Full description at Econpapers || Download paper

2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

Full description at Econpapers || Download paper

2022Edgeworth expansions for volatility models. (2021). Jirak, Moritz . In: Papers. RePEc:arx:papers:2111.00529.

Full description at Econpapers || Download paper

2021Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267.

Full description at Econpapers || Download paper

2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655.

Full description at Econpapers || Download paper

2021Inference for ROC Curves Based on Estimated Predictive Indices. (2021). Lieli, Robert ; Hsu, Yu-Chin. In: Papers. RePEc:arx:papers:2112.01772.

Full description at Econpapers || Download paper

2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

Full description at Econpapers || Download paper

2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

Full description at Econpapers || Download paper

2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

Full description at Econpapers || Download paper

2022Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

Full description at Econpapers || Download paper

2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

Full description at Econpapers || Download paper

2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. (2022). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2202.02532.

Full description at Econpapers || Download paper

2022Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

Full description at Econpapers || Download paper

2022From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution. (2022). Mariotti, Tommaso ; Toscano, Giacomo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2202.12137.

Full description at Econpapers || Download paper

2022GAM(L)A: An econometric model for interpretable Machine Learning. (2022). Laurent, S'Ebastien ; Hu, Sullivan ; Hacheme, Gilles ; Flachaire, Emmanuel. In: Papers. RePEc:arx:papers:2203.11691.

Full description at Econpapers || Download paper

2022Generic Identifiability for REMIS: The Cointegrated Unit Root VAR. (2022). Deistler, Manfred ; Soegner, Leopold ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2204.05952.

Full description at Econpapers || Download paper

2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

Full description at Econpapers || Download paper

2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

Full description at Econpapers || Download paper

2022Mack-Net model: Blending Macks model with Recurrent Neural Networks. (2022). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2205.07334.

Full description at Econpapers || Download paper

2022Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

Full description at Econpapers || Download paper

2022Economic activity and climate change. (2022). Ruiz, Esther ; Rodr, Vladimir ; Poncela, Pilar ; de Juan, Ar'Anzazu. In: Papers. RePEc:arx:papers:2206.03187.

Full description at Econpapers || Download paper

2022Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896.

Full description at Econpapers || Download paper

2022Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2022A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

Full description at Econpapers || Download paper

2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

Full description at Econpapers || Download paper

2022A New Method for Generating Random Correlation Matrices. (2022). Luo, Yiyao ; Hansen, Peter Reinhard ; Archakov, Ilya. In: Papers. RePEc:arx:papers:2210.08147.

Full description at Econpapers || Download paper

2022Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. (2022). Clarke, Jackson D ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2210.08892.

Full description at Econpapers || Download paper

2022An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

Full description at Econpapers || Download paper

2022The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777.

Full description at Econpapers || Download paper

2022Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

Full description at Econpapers || Download paper

2022Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

Full description at Econpapers || Download paper

2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

Full description at Econpapers || Download paper

2022Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22.

Full description at Econpapers || Download paper

2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

Full description at Econpapers || Download paper

2021GDP?network CoVaR: A tool for assessing growth?at?risk. (2021). Tizzanini, Giacomo ; De Meo, Emanuele . In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12181.

Full description at Econpapers || Download paper

2021How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58.

Full description at Econpapers || Download paper

2022A reexamination of factor momentum: How strong is it?. (2022). Liu, Jiadong ; Liao, Ming ; Fan, Minyou. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:585-615.

Full description at Econpapers || Download paper

2021The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635.

Full description at Econpapers || Download paper

2022Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046.

Full description at Econpapers || Download paper

2021Trumps tweets: Sentiment, stock market volatility, and jumps. (2021). Sun, Bianxia ; Dong, Xuyi ; Nishimura, Yusaku. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:497-512.

Full description at Econpapers || Download paper

2022An ensemble method for early prediction of dengue outbreak. (2022). Deb, Sougata. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:84-101.

Full description at Econpapers || Download paper

2021Quantile?frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics. (2021). Li, Tahsin. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:2:p:270-290.

Full description at Econpapers || Download paper

2021Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294.

Full description at Econpapers || Download paper

2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

Full description at Econpapers || Download paper

2022Generalized autoregressive moving average models with GARCH errors. (2022). Chen, Rong ; Xiao, Han ; Zheng, Tingguo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:125-146.

Full description at Econpapers || Download paper

2022On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196.

Full description at Econpapers || Download paper

2022A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

Full description at Econpapers || Download paper

2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

Full description at Econpapers || Download paper

2021The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

Full description at Econpapers || Download paper

2022Empirical newsvendor biases: Are target service levels achieved effectively and efficiently?. (2022). Minner, Stefan ; Beckerpeth, Michael ; Sachs, Annalena ; Thonemann, Ulrich W. In: Production and Operations Management. RePEc:bla:popmgt:v:31:y:2022:i:4:p:1839-1855.

Full description at Econpapers || Download paper

2022Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112.

Full description at Econpapers || Download paper

2021Robust Estimation of Integrated Volatility. (2021). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2115.

Full description at Econpapers || Download paper

2021Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

Full description at Econpapers || Download paper

2021Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179.

Full description at Econpapers || Download paper

2022Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2218.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021Forecasting Canadian GDP Growth with Machine Learning. (2021). Demers, Fanny S ; Chu, BA ; Qureshi, Shafiullah. In: Carleton Economic Papers. RePEc:car:carecp:21-05.

Full description at Econpapers || Download paper

2021STATISTICAL-ECONOMETRIC METHODS FOR RISK DIVERSIFICATION. (2021). Iacob, Stefan Virgil ; Anghel, Madalina-Gabriela ; Madalina - Gabriela Anghel, ; Anghelache, Constantin. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2021:v:5:p:157-163.

Full description at Econpapers || Download paper

2022THEORETICAL ELEMENTS REGARDING THE MANAGEMENT OF A DYNAMIC PORTFOLIO. (2022). Iacob, Stefan Virgil ; Anghelache, Constantin ; Madalina - Gabriela Anghel, . In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2022:v:1:p:91-96.

Full description at Econpapers || Download paper

2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

Full description at Econpapers || Download paper

2021Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408.

Full description at Econpapers || Download paper

2022Safe at Last? LATE Effects of a Mass Immunization Campaign on Households’ Economic Insecurity. (2022). Pickard, H ; Belmonte, A. In: CAGE Online Working Paper Series. RePEc:cge:wacage:604.

Full description at Econpapers || Download paper

2022Addressing Unemployment Rate Forecast Errors in Relation to the Business Cycle. (2022). Scheer, Bas. In: CPB Discussion Paper. RePEc:cpb:discus:434.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Peter Hansen:


YearTitleTypeCited
2008Reduced-Rank Regression: A Useful Determinant Identity In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers.
[Full Text][Citation analysis]
paper262
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 262
article
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 262
paper
2009Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 262
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 262
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 262
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 262
paper
2009Quadratic Variation by Markov Chains In: CREATES Research Papers.
[Full Text][Citation analysis]
paper13
2010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers.
[Full Text][Citation analysis]
paper44
2014ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR.(2014) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
article
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper22
2010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper16
2012Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2012Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility.(2012) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2010The Model Confidence Set In: CREATES Research Papers.
[Full Text][Citation analysis]
paper761
2011The Model Confidence Set.(2011) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 761
article
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers.
[Full Text][Citation analysis]
paper69
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper84
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
paper
2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
article
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers.
[Full Text][Citation analysis]
paper19
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2015Equivalence Between Out?of?Sample Forecast Comparisons and Wald Statistics.(2015) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
2015A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2015A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2015A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2020A New Parametrization of Correlation Matrices In: Papers.
[Full Text][Citation analysis]
paper4
2021A New Parametrization of Correlation Matrices.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2021A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers.
[Full Text][Citation analysis]
paper0
2020A Multivariate Realized GARCH Model In: Papers.
[Full Text][Citation analysis]
paper1
2021Periodicity in Cryptocurrency Volatility and Liquidity In: Papers.
[Full Text][Citation analysis]
paper0
2022Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants In: Papers.
[Full Text][Citation analysis]
paper0
2005A Test for Superior Predictive Ability In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article600
2006Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article584
2006Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2003Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article109
2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 109
paper
2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 109
paper
2000Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers.
[Full Text][Citation analysis]
paper90
2003Structural changes in the cointegrated vector autoregressive model.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90
article
2001A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers.
[Full Text][Citation analysis]
paper682
2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 682
article
2001An Unbiased and Powerful Test for Superior Predictive Ability In: Working Papers.
[Full Text][Citation analysis]
paper29
2003Asymptotic Tests of Composite Hypotheses In: Working Papers.
[Full Text][Citation analysis]
paper27
2000The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes. In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper0
2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
[Full Text][Citation analysis]
article686
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 686
paper
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 686
paper
2004Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]
paper30
2000Structural Breaks in the Cointegrated Vector Autoregressive Model In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper6
2005Grangers representation theorem: A closed-form expression for I(1) processes In: Econometrics Journal.
[Full Text][Citation analysis]
article27
2006Consistent ranking of volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]
article189
2011Subsampling realised kernels In: Journal of Econometrics.
[Full Text][Citation analysis]
article41
2006Subsampling realised kernels.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper18
2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper19
2020How Should Parameter Estimation Be Tailored to the Objective? In: Post-Print.
[Citation analysis]
paper0
1995Subsidising consumer services: effects on employment, welfare and the informal economy In: Fiscal Studies.
[Full Text][Citation analysis]
article17
2008The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]
article4
1994Consumer Services, Employment and the Informal Economy. In: EPRU Working Paper Series.
[Citation analysis]
paper0
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
[Full Text][Citation analysis]
paper31
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2019Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article12
2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article156
1998Workbook on Cointegration In: OUP Catalogue.
[Citation analysis]
book41
2008Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews.
[Full Text][Citation analysis]
article47
2015Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2021A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article5
2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
[Citation analysis]
article245
2014REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article53
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
[Full Text][Citation analysis]
article18

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team