23
H index
30
i10 index
3511
Citations
Peter Hansen : Citation Profile
University of North Carolina-Chapel-Hill (90% share) | RESEARCH PRODUCTION: 25 Articles 41 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1994 - 2017). 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 |
| Journal of Financial Econometrics | 2 |
| Journal of Business & Economic Statistics | 2 |
| Econometrica | 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 (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Picking Funds with Confidence. (2017). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ. 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 | Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio. In: CREATES Research Papers. RePEc:aah:create:2017-24. Full description at Econpapers || Download paper | |
| 2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. 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). , Carsten ; 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). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
| 2019 | In search of a job: Forecasting employment growth using Google Trends. (2019). Montes, Erik Christian ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2019-13. Full description at Econpapers || Download paper | |
| 2019 | The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14. Full description at Econpapers || Download paper | |
| 2019 | Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors. (2019). Hillebrand, Eric ; Koopman, Siem Jan ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2019-21. Full description at Econpapers || Download paper | |
| 2019 | Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility. (2019). Fantazzini, Dean ; Bazhenov, T. In: Russian Journal of Industrial Economics. RePEc:ach:journl:y:2019:id:724. Full description at Econpapers || Download paper | |
| 2019 | Dynamic models used in analysis capital and population. (2019). Popovici, Marius ; Dumbrav, Gabriel-Tefan ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela . In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:149-162. 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). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. 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). Jaghdani, Tinoush Jamali ; Brummer, Bernhard ; Dalheimer, 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 | Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479. 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 | |
| 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). Maneesoonthorn, Worapree ; Smith, Michael S ; Loaiza-Maya, Rub'En . 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). Nyikosa, Favour ; Osborne, Michael A ; Roberts, Stephen J ; Asad, Syed Ali . In: Papers. RePEc:arx:papers:1705.00891. Full description at Econpapers || Download paper | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian ; Ziegel, Johanna F. 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). Klabjan, Diego ; Zeng, Yaxiong . In: Papers. RePEc:arx:papers:1706.01833. Full description at Econpapers || Download paper | |
| 2017 | Portfolio Risk Assessment using Copula Models. (2017). Smagulov, Daulet ; Semenov, Mikhail . 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). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . 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). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
| 2019 | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). 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 | |
| 2019 | Regression Based Expected Shortfall Backtesting. (2019). Dimitriadis, Timo ; Bayer, Sebastian. 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 | |
| 2019 | A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . 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). Wang, Chao ; Gerlach, Richard. 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). Chen, Qian ; Gerlach, Richard ; Wang, Chao. 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 | |
| 2019 | Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928. Full description at Econpapers || Download paper | |
| 2019 | Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1810.04725. Full description at Econpapers || Download paper | |
| 2019 | Estimation 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 | |
| 2019 | Multivariate Fractional Components Analysis. (2019). 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). Manandhar, Suresh ; Sardelich, Marcelo. In: Papers. RePEc:arx:papers:1812.10479. Full description at Econpapers || Download paper | |
| 2019 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper | |
| 2019 | Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384. Full description at Econpapers || Download paper | |
| 2019 | Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346. Full description at Econpapers || Download paper | |
| 2019 | Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases. (2019). Firoozye, Nick ; Koshiyama, Adriano. In: Papers. RePEc:arx:papers:1905.05023. Full description at Econpapers || Download paper | |
| 2019 | Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961. Full description at Econpapers || Download paper | |
| 2019 | Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196. Full description at Econpapers || Download paper | |
| 2019 | Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666. Full description at Econpapers || Download paper | |
| 2019 | A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522. Full description at Econpapers || Download paper | |
| 2019 | Marked Hawkes process modeling of price dynamics and volatility estimation. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1907.12025. Full description at Econpapers || Download paper | |
| 2019 | Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089. Full description at Econpapers || Download paper | |
| 2019 | Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105. Full description at Econpapers || Download paper | |
| 2019 | Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise. (2019). Kuffner, Todd ; Jos'e E. Figueroa-L'opez, ; Wang, QI. In: Papers. RePEc:arx:papers:1909.04853. Full description at Econpapers || Download paper | |
| 2019 | Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models. (2019). Rossini, Luca ; Bohte, Rick. In: Papers. RePEc:arx:papers:1909.06599. Full description at Econpapers || Download paper | |
| 2019 | Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009. Full description at Econpapers || Download paper | |
| 2019 | Risk 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 | |
| 2019 | Improved 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 | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian ; Ziegel, Johanna F. In: Working Papers. RePEc:awi:wpaper:0632. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283. 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 | |
| 2019 | Predictability in sovereign bond returns using technical trading rule: do developed and emerging markets differ?. (2019). Wu, Gabriel ; Fong, Tom. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-20. 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 | |
| 2019 | The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406. 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 | Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014. Full description at Econpapers || Download paper | |
| 2019 | Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR). (2019). Valls Pereira, Pedro ; Pedro, Valls Pereira ; Osvaldo, Candido ; Flavio, Ziegelmann ; Paula, Tofoli. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:11:y:2019:i:2:p:34:n:2. Full description at Econpapers || Download paper | |
| 2019 | The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11. Full description at Econpapers || Download paper | |
| 2019 | How is Machine Learning Useful for Macroeconomic Forecasting?. (2019). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2019s-22. 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, Luc ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803. Full description at Econpapers || Download paper | |
| 2017 | Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Couso, Lorena ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en. Full description at Econpapers || Download paper | |
| 2019 | DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025. 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 | |
| 2019 | Comparing Forecasting Performance with Panel Data. (2019). Zhu, Yinchu ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13746. Full description at Econpapers || Download paper | |
| 2019 | Do Any Economists Have Superior Forecasting Skills?. (2019). Zhu, Yinchu ; Timmermann, Allan ; Qu, Ritong. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14112. 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). Trede, Mark ; Segnon, Mawuli. 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 | |
| 2019 | Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919. 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 | |
| 2019 | Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214. Full description at Econpapers || Download paper | |
| 2019 | Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234. 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 | 192 |
| 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: 192 | article | |
| 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: 192 | 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: 192 | 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: 192 | 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: 192 | paper | |
| 2009 | Quadratic Variation by Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
| 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 | 26 |
| 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: 26 | 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 | 352 |
| 2011 | The Model Confidence Set.(2011) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 352 | article | |
| 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 43 |
| 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: 43 | paper | |
| 2012 | Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 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: 30 | 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: 30 | article | |
| 2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 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: 9 | 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: 9 | 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 | 461 |
| 2006 | Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 421 |
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| 2003 | Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 79 |
| 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: 79 | 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: 79 | paper | |
| 2000 | Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers. [Full Text][Citation analysis] | paper | 78 |
| 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: 78 | article | |
| 2001 | A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers. [Full Text][Citation analysis] | paper | 470 |
| 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: 470 | 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 | 406 |
| 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: 406 | 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: 406 | paper | |
| 2004 | Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 27 |
| 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 | 17 |
| 2006 | Consistent ranking of volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 171 |
| 2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 34 |
| 2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2005 | Testing the significance of calendar effects In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 16 |
| 2005 | Model confidence sets for forecasting models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 19 |
| 2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: Post-Print. [Full Text][Citation analysis] | paper | 142 |
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| 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: 23 | paper | |
| 2019 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2016 | Realized 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: 3 | paper | |
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| 2012 | Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics. [Citation analysis] | article | 145 |
| 2014 | REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 35 |
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