22
H index
28
i10 index
2972
Citations
Peter Hansen : Citation Profile
University of North Carolina-Chapel-Hill (90% share) | RESEARCH PRODUCTION: 23 Articles 41 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (1994 - 2016). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Hansen. | Is cited by:
| Cites to:
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Main data
Where Peter Hansen has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 4 |
| Journal of Business & Economic Statistics | 3 |
| Journal of Applied Econometrics | 2 |
| Econometrica | 2 |
| Journal of Business & Economic Statistics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| OFRC Working Papers Series / Oxford Financial Research Centre | 4 |
| Economics Working Papers / European University Institute | 4 |
| FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta | 3 |
Recent works citing Peter Hansen (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13. Full description at Econpapers || Download paper | |
| 2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
| 2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers || Download paper | |
| 2017 | Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29. Full description at Econpapers || Download paper | |
| 2018 | A Parametric Factor Model of the Term Structure of Mortality. (2018). Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2018-06. Full description at Econpapers || Download paper | |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14. Full description at Econpapers || Download paper | |
| 2018 | Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2018-18. Full description at Econpapers || Download paper | |
| 2018 | Realizing Correlations Across Asset Classes. (2018). Gronborg, Niels S ; Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
| 2017 | Price Volatility Modelling – Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276061. Full description at Econpapers || Download paper | |
| 2017 | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Galeotti, Marzio ; Bastianin, Andrea ; Manera, Matteo. In: Economic Theory and Applications Working Papers. RePEc:ags:feemet:253725. Full description at Econpapers || Download paper | |
| 2017 | Impacts of Export Restrictions on Food Price Volatility: Evidence from VAR-X and EGARCH-X Models. (2017). Dalheimer, Bernhard ; Jaghdani, Tinoush Jamali ; Brummer, Bernhard. In: 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017. RePEc:ags:gewi17:262151. Full description at Econpapers || Download paper | |
| 2018 | Nowcasting Food Stock Movement using Food Safety Related Web Search Queries. (2018). Zheng, Yuqing ; Nemati, Mehdi ; Asgari, Mahdi . In: 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida. RePEc:ags:saea18:266323. Full description at Econpapers || Download paper | |
| 2018 | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159. Full description at Econpapers || Download paper | |
| 2017 | Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers || Download paper | |
| 2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2017 | The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868. Full description at Econpapers || Download paper | |
| 2017 | Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482. Full description at Econpapers || Download paper | |
| 2018 | Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895. Full description at Econpapers || Download paper | |
| 2017 | Decoupling 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 | |
| 2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
| 2017 | Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152. Full description at Econpapers || Download paper | |
| 2017 | A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes. (2017). Asad, Syed Ali ; Nyikosa, Favour ; Osborne, Michael A ; Roberts, Stephen J. In: Papers. RePEc:arx:papers:1705.00891. Full description at Econpapers || Download paper | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537. Full description at Econpapers || Download paper | |
| 2018 | Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2018). Zeng, Yaxiong ; Klabjan, Diego. In: Papers. RePEc:arx:papers:1706.01833. Full description at Econpapers || Download paper | |
| 2017 | Portfolio Risk Assessment using Copula Models. (2017). Semenov, Mikhail ; Smagulov, Daulet . In: Papers. RePEc:arx:papers:1707.03516. Full description at Econpapers || Download paper | |
| 2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
| 2018 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
| 2018 | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502. Full description at Econpapers || Download paper | |
| 2017 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
| 2018 | Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112. Full description at Econpapers || Download paper | |
| 2018 | Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007. Full description at Econpapers || Download paper | |
| 2018 | A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894. Full description at Econpapers || Download paper | |
| 2018 | Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653. Full description at Econpapers || Download paper | |
| 2018 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
| 2018 | Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models. (2018). Cs, Bal'Azs Csan'Ad. In: Papers. RePEc:arx:papers:1807.08390. Full description at Econpapers || Download paper | |
| 2018 | Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928. Full description at Econpapers || Download paper | |
| 2018 | Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312. Full description at Econpapers || Download paper | |
| 2018 | Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149. Full description at Econpapers || Download paper | |
| 2018 | The Price of BitCoin: GARCH Evidence from High Frequency Data. (2018). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Papers. RePEc:arx:papers:1812.09452. Full description at Econpapers || Download paper | |
| 2018 | Multimodal deep learning for short-term stock volatility prediction. (2018). Sardelich, Marcelo ; Manandhar, Suresh. In: Papers. RePEc:arx:papers:1812.10479. Full description at Econpapers || Download paper | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632. Full description at Econpapers || Download paper | |
| 2017 | Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina. In: Working Papers Series. RePEc:bcb:wpaper:466. Full description at Econpapers || Download paper | |
| 2017 | Evaluating risks in the French office market with new sources of data on commercial property prices. (2017). Burdeau, Edwige . In: IFC Bulletins chapters. RePEc:bis:bisifc:46-10. Full description at Econpapers || Download paper | |
| 2018 | MEASUREMENT ERROR IN MACROECONOMIC DATA AND ECONOMICS RESEARCH: DATA REVISIONS, GROSS DOMESTIC PRODUCT, AND GROSS DOMESTIC INCOME. (2018). Li, Phillip ; Chang, Andrew C. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1846-1869. Full description at Econpapers || Download paper | |
| 2018 | The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence. (2018). Wilhelmsson, Anders ; Vilhelmsson, Anders ; Jankensgrd, Hkan. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:55-79. Full description at Econpapers || Download paper | |
| 2018 | Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236. Full description at Econpapers || Download paper | |
| 2017 | Model Uncertainty Effect on Asset Prices. (2017). Tian, Weidong ; Jiang, Junya. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:205-233. Full description at Econpapers || Download paper | |
| 2018 | Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919. Full description at Econpapers || Download paper | |
| 2017 | The Role for Long-run Target Values of the Exchange Rate in the Bank of Japans Policy Reaction Function. (2017). Kühl, Michael ; Beckmann, Joscha ; Kuhl, Michael. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1836-1865. Full description at Econpapers || Download paper | |
| 2018 | Predicting the Volatility of Cryptocurrency Time–Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0061. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063. Full description at Econpapers || Download paper | |
| 2017 | High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099. Full description at Econpapers || Download paper | |
| 2018 | Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803. Full description at Econpapers || Download paper | |
| 2018 | Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803. Full description at Econpapers || Download paper | |
| 2017 | Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896. Full description at Econpapers || Download paper | |
| 2018 | Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692. Full description at Econpapers || Download paper | |
| 2018 | Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824. Full description at Econpapers || Download paper | |
| 2017 | Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117. Full description at Econpapers || Download paper | |
| 2017 | Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:6617. Full description at Econpapers || Download paper | |
| 2018 | An approach to increasing forecast-combination accuracy through VAR error modeling. (2018). Wilfling, Bernd ; Weigt, Till. In: CQE Working Papers. RePEc:cqe:wpaper:6818. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118. Full description at Econpapers || Download paper | |
| 2017 | Dynamic conditional score models with time-varying location, scale and shape parameters. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:25043. Full description at Econpapers || Download paper | |
| 2017 | Reading between the Lines: Using Media to Improve German Inflation Forecasts. (2017). Ulbricht, Dirk ; Kholodilin, Konstantin ; Beckers, Benjamin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1665. Full description at Econpapers || Download paper | |
| 2017 | Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672. Full description at Econpapers || Download paper | |
| 2017 | Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20. Full description at Econpapers || Download paper | |
| 2017 | Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. (2017). Alaali, Fatema. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-51. Full description at Econpapers || Download paper | |
| 2018 | The Performance of Hybrid ARIMA-GARCH Modeling and Forecasting Oil Price. (2018). Dritsaki, Chaido. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-3. Full description at Econpapers || Download paper | |
| 2017 | Forecasting accuracy evaluation of tourist arrivals. (2017). GUPTA, RANGAN ; Filis, George ; Antonakakis, Nikolaos ; Silva, Emmanuel Sirimal ; Hassani, Hossein. In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:112-127. Full description at Econpapers || Download paper | |
| 2017 | Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161. Full description at Econpapers || Download paper | |
| 2018 | Anticipating electricity prices for future needs – Implications for liberalised retail markets. (2018). Allan, Tian Sheng ; le Ng, Jia. In: Applied Energy. RePEc:eee:appene:v:212:y:2018:i:c:p:244-264. Full description at Econpapers || Download paper | |
| 2018 | News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52. Full description at Econpapers || Download paper | |
| 2018 | Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47. Full description at Econpapers || Download paper | |
| 2017 | ARMA Cholesky factor models for the covariance matrix of linear models. (2017). Lee, Keunbaik ; Daniels, Michael J ; Baek, Changryong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:267-280. Full description at Econpapers || Download paper | |
| 2019 | On a spiked model for large volatility matrix estimation from noisy high-frequency data. (2019). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:207-221. Full description at Econpapers || Download paper | |
| 2017 | Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183. Full description at Econpapers || Download paper | |
| 2018 | Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29. Full description at Econpapers || Download paper | |
| 2017 | Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26. Full description at Econpapers || Download paper | |
| 2017 | Forecasting house prices using dynamic model averaging approach: Evidence from China. (2017). Wei, YU ; Cao, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:147-155. Full description at Econpapers || Download paper | |
| 2017 | The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230. Full description at Econpapers || Download paper | |
| 2017 | Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566. Full description at Econpapers || Download paper | |
| 2017 | Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257. Full description at Econpapers || Download paper | |
| 2018 | Forecasting with DSGE models: What frictions are important?. (2018). Nalban, Valeriu. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:190-204. Full description at Econpapers || Download paper | |
| 2018 | Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248. Full description at Econpapers || Download paper | |
| 2018 | Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510. Full description at Econpapers || Download paper | |
| 2018 | Oil price shocks and uncertainty: How stable is their relationship over time?. (2018). Filis, George ; Degiannakis, Stavros ; Panagiotakopoulou, Sofia. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:42-53. Full description at Econpapers || Download paper | |
| 2018 | High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431. Full description at Econpapers || Download paper | |
| 2019 | On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152. Full description at Econpapers || Download paper | |
| 2019 | Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80. Full description at Econpapers || Download paper | |
| 2017 | Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221. Full description at Econpapers || Download paper | |
| 2017 | Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). RodrÃguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420. Full description at Econpapers || Download paper | |
| 2018 | The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205. Full description at Econpapers || Download paper | |
| 2018 | Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108. Full description at Econpapers || Download paper | |
| 2017 | On estimating market microstructure noise variance. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:59-62. Full description at Econpapers || Download paper | |
| 2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367. Full description at Econpapers || Download paper | |
| 2017 | Testing for central dominance: Method and application. (2017). Kuan, Chung-Ming ; Tzeng, Larry Y ; Chuang, O-Chia . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:368-378. Full description at Econpapers || Download paper | |
| 2017 | Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152. Full description at Econpapers || Download paper | |
| 2017 | Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41. Full description at Econpapers || Download paper | |
| 2017 | Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272. Full description at Econpapers || Download paper | |
| 2017 | Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Peter Hansen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Reduced-Rank Regression: A Useful Determinant Identity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Multivariate 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] | paper | 165 |
| 2011 | Multivariate 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: 165 | article | |
| 2011 | Multivariate 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: 165 | paper | |
| 2009 | Multivariate 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: 165 | paper | |
| 2008 | Multivariate 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: 165 | paper | |
| 2008 | Multivariate 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 165 | paper | |
| 2008 | Multivariate 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: 165 | paper | |
| 2009 | Quadratic Variation by Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 2010 | Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
| 2014 | ESTIMATING 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: 24 | article | |
| 2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 27 |
| 2010 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
| 2012 | Realized 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: 14 | paper | |
| 2012 | Realized 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: 14 | paper | |
| 2010 | The Model Confidence Set In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 260 |
| 2011 | The Model Confidence Set.(2011) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 260 | article | |
| 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 38 |
| 2012 | Choice 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: 38 | paper | |
| 2012 | Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
| 2012 | Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2016 | Exponential 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: 25 | article | |
| 2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Equivalence 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: 2 | paper | |
| 2015 | Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2015 | A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2015 | A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2005 | A Test for Superior Predictive Ability In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 420 |
| 2006 | Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 391 |
| 2006 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Choosing the Best Volatility Models: The Model Confidence Set Approach In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 74 |
| 2003 | Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
| 2003 | Choosing 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: 74 | paper | |
| 2000 | Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers. [Full Text][Citation analysis] | paper | 73 |
| 2003 | Structural changes in the cointegrated vector autoregressive model.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | article | |
| 2001 | A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers. [Full Text][Citation analysis] | paper | 420 |
| 2005 | A 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: 420 | article | |
| 2001 | An Unbiased and Powerful Test for Superior Predictive Ability In: Working Papers. [Full Text][Citation analysis] | paper | 27 |
| 2003 | Asymptotic Tests of Composite Hypotheses In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2000 | The 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] | paper | 0 |
| 2008 | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica. [Full Text][Citation analysis] | article | 359 |
| 2006 | Designing 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: 359 | paper | |
| 2006 | Designing 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: 359 | paper | |
| 2004 | Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 25 |
| 2000 | Structural Breaks in the Cointegrated Vector Autoregressive Model In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 6 |
| 2005 | Grangers representation theorem: A closed-form expression for I(1) processes In: Econometrics Journal. [Full Text][Citation analysis] | article | 16 |
| 2006 | Consistent ranking of volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 157 |
| 2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
| 2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
| 2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
| 2005 | Testing the significance of calendar effects In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 15 |
| 2005 | Model confidence sets for forecasting models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 18 |
| 1995 | Subsidising consumer services: effects on employment, welfare and the informal economy In: Fiscal Studies. [Full Text][Citation analysis] | article | 12 |
| 2008 | The 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] | article | 4 |
| 1994 | Consumer Services, Employment and the Informal Economy. In: EPRU Working Paper Series. [Citation analysis] | paper | 0 |
| 2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers. [Full Text][Citation analysis] | paper | 22 |
| 2004 | Regular 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: 22 | paper | |
| 2005 | A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 100 |
| 1998 | Workbook on Cointegration In: OUP Catalogue. [Citation analysis] | book | 25 |
| 2008 | Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews. [Full Text][Citation analysis] | article | 46 |
| 2015 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics. [Citation analysis] | article | 122 |
| 2014 | REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 26 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team