Peter Hansen : Citation Profile


Are you Peter Hansen?

University of North Carolina-Chapel-Hill (90% share)
Aarhus Universitet (10% share)

22

H index

28

i10 index

2972

Citations

RESEARCH PRODUCTION:

23

Articles

41

Papers

1

Books

RESEARCH ACTIVITY:

   22 years (1994 - 2016). See details.
   Cites by year: 135
   Journals where Peter Hansen has often published
   Relations with other researchers
   Recent citing documents: 394.    Total self citations: 36 (1.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha63
   Updated: 2019-02-13    RAS profile: 2017-06-06    
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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:

McAleer, Michael (118)

Degiannakis, Stavros (83)

Caporin, Massimiliano (58)

Patton, Andrew (55)

Asai, Manabu (55)

Shephard, Neil (53)

Omori, Yasuhiro (52)

Bollerslev, Tim (45)

Laurent, Sébastien (38)

Audrino, Francesco (37)

Medeiros, Marcelo (36)

Cites to:

Bollerslev, Tim (61)

Andersen, Torben (48)

Lunde, Asger (40)

Shephard, Neil (39)

Diebold, Francis (36)

Barndorff-Nielsen, Ole (29)

Engle, Robert (26)

Meddahi, Nour (20)

Ait-Sahalia, Yacine (16)

West, Kenneth (14)

McCracken, Michael (12)

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 Applied Econometrics2
Econometrica2
Journal of Business & Economic Statistics2

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

Recent works citing Peter Hansen (2018 and 2017)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Decoupling 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.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2018A Parametric Factor Model of the Term Structure of Mortality. (2018). Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2018-06.

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2018Models 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.

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2018Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2018-18.

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2018Realizing 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.

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2017Price 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.

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2017Statistical 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.

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2017Impacts 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.

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2018Nowcasting 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.

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2018Model-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.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2017Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017A 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.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537.

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2018Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2018). Zeng, Yaxiong ; Klabjan, Diego. In: Papers. RePEc:arx:papers:1706.01833.

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2017Portfolio Risk Assessment using Copula Models. (2017). Semenov, Mikhail ; Smagulov, Daulet . In: Papers. RePEc:arx:papers:1707.03516.

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2017Bayesian 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.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2018Dynamic 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.

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2018Testing 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.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2018Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018A 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.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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2018A 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.

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2018Score 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.

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2018Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

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2018Estimation 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.

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2018Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2018The Price of BitCoin: GARCH Evidence from High Frequency Data. (2018). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Papers. RePEc:arx:papers:1812.09452.

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2018Multimodal deep learning for short-term stock volatility prediction. (2018). Sardelich, Marcelo ; Manandhar, Suresh. In: Papers. RePEc:arx:papers:1812.10479.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

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2017Predicting 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.

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2017Evaluating 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.

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2018MEASUREMENT 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.

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2018The 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.

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2018Home 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.

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2017Model 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.

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2018Modeling 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.

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2017The 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.

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2018Predicting the Volatility of Cryptocurrency Time–Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0061.

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2018Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2017Are 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.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2018An approach to increasing forecast-combination accuracy through VAR error modeling. (2018). Wilfling, Bernd ; Weigt, Till. In: CQE Working Papers. RePEc:cqe:wpaper:6818.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2017Dynamic 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.

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2017Reading 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.

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2017Choosing 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.

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2017Testing 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.

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2017Analysing 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.

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2018The 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.

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2017Forecasting 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.

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2017Investigating 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.

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2018Anticipating 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.

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2018News 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.

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2018Quantile 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.

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2017ARMA 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.

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2019On 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.

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2017Modeling 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.

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2018Model 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.

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2017Forecasting 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.

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2017Forecasting 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.

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2017The 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.

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2017Forecasting 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.

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2017Generalized 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.

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2018Forecasting 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.

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2018Do 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.

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2018Convenience 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.

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2018Oil 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.

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2018High-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.

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2019On 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.

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2019Modeling 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.

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2017Modeling 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.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2018The “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.

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2018Are 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.

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2017On 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.

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2017Positive 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.

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2017Testing 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.

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2017Bootstrapping 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.

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2017Estimation 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.

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2017Inference 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.

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2017Fitting 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.

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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.
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2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers.
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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.
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2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print.
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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.
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2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
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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.
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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.
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2009Quadratic Variation by Markov Chains In: CREATES Research Papers.
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2010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers.
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2014ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR.(2014) In: Econometric Theory.
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2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers.
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2010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers.
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2012Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers.
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2012Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2010The Model Confidence Set In: CREATES Research Papers.
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2011The Model Confidence Set.(2011) In: Econometrica.
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2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers.
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2012Choice of Sample Split in Out-of-Sample Forecast Evaluation.(2012) In: Economics Working Papers.
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2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
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2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
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2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
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2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers.
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2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics.(2012) In: Economics Working Papers.
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2015Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics.(2015) In: Econometrica.
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2015A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers.
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2015A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters.
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2015A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers.
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2005A Test for Superior Predictive Ability In: Journal of Business & Economic Statistics.
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2006Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics.
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2006Rejoinder In: Journal of Business & Economic Statistics.
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2003Choosing the Best Volatility Models: The Model Confidence Set Approach In: Oxford Bulletin of Economics and Statistics.
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2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
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2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
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2000Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers.
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2003Structural changes in the cointegrated vector autoregressive model.(2003) In: Journal of Econometrics.
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2001A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers.
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2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?.(2005) In: Journal of Applied Econometrics.
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2001An Unbiased and Powerful Test for Superior Predictive Ability In: Working Papers.
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2003Asymptotic Tests of Composite Hypotheses In: Working Papers.
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2000The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes. In: University of California at San Diego, Economics Working Paper Series.
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2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
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2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers.
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2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series.
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2004Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings.
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2000Structural Breaks in the Cointegrated Vector Autoregressive Model In: Econometric Society World Congress 2000 Contributed Papers.
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2005Grangers representation theorem: A closed-form expression for I(1) processes In: Econometrics Journal.
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2006Consistent ranking of volatility models In: Journal of Econometrics.
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2006Subsampling realised kernels.(2006) In: Economics Papers.
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2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
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2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
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2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
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1995Subsidising consumer services: effects on employment, welfare and the informal economy In: Fiscal Studies.
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2008The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements In: Financial Markets and Portfolio Management.
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1994Consumer Services, Employment and the Informal Economy. In: EPRU Working Paper Series.
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2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
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2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
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2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: Journal of Financial Econometrics.
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1998Workbook on Cointegration In: OUP Catalogue.
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2008Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews.
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2015Comment In: Journal of Business & Economic Statistics.
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2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Tinbergen Institute Discussion Papers.
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2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
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2014REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics.
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