Peter Hansen : Citation Profile

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

24

H index

34

i10 index

6580

Citations

RESEARCH PRODUCTION:

35

Articles

57

Papers

1

Books

RESEARCH ACTIVITY:

   31 years (1994 - 2025). See details.
   Cites by year: 212
   Journals where Peter Hansen has often published
   Relations with other researchers
   Recent citing documents: 596.    Total self citations: 55 (0.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha63
   Updated: 2026-04-11    RAS profile: 2025-05-15    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Archakov, Ilya (7)

Huang, Zhuo (2)

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

Is cited by:

Degiannakis, Stavros (138)

Bollerslev, Tim (106)

Asai, Manabu (95)

Patton, Andrew (78)

Gallo, Giampiero (68)

Andersen, Torben (66)

Laurent, Sébastien (65)

GUPTA, RANGAN (63)

Shephard, Neil (63)

Caporin, Massimiliano (63)

Zhang, Yaojie (62)

Cites to:

Bollerslev, Tim (87)

Shephard, Neil (67)

Andersen, Torben (63)

Lunde, Asger (59)

Diebold, Francis (51)

Engle, Robert (49)

Meddahi, Nour (23)

Ait-Sahalia, Yacine (21)

Koopman, Siem Jan (16)

West, Kenneth (16)

Johansen, Soren (14)

Main data

Where Peter Hansen has published?

Journals with more than one article published# docs
Journal of Econometrics5
Journal of Financial Econometrics4
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics3
Economics Letters2
Journal of Applied Econometrics2
Journal of Futures Markets2
Econometrica2
Econometrica2
The Econometrics Journal2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org15
Economics Working Papers / European University Institute4
OFRC Working Papers Series / Oxford Financial Research Centre4
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta3
Post-Print / HAL2

Recent works citing Peter Hansen (2025 and 2024)

YearTitle of citing document
2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

Full description at Econpapers || Download paper

2026From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS. (2026). Weron, Rafal ; Uniejewski, Bartosz ; Chec, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2601.

Full description at Econpapers || Download paper

2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

Full description at Econpapers || Download paper

2025Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2022). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

Full description at Econpapers || Download paper

2026A GMM approach to estimate the roughness of stochastic volatility. (2022). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

Full description at Econpapers || Download paper

2024Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2024). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

Full description at Econpapers || Download paper

2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

Full description at Econpapers || Download paper

2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2026Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. (2022). Beare, Brendan ; Clarke, Jackson D. In: Papers. RePEc:arx:papers:2210.08892.

Full description at Econpapers || Download paper

2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

Full description at Econpapers || Download paper

2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

Full description at Econpapers || Download paper

2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

Full description at Econpapers || Download paper

2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

Full description at Econpapers || Download paper

2024Data-driven Approach for Static Hedging of Exchange Traded Options. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2302.00728.

Full description at Econpapers || Download paper

2024High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2024). Polak, Pawel ; Balabhadra, Greeshma ; Ainasse, El Mehdi. In: Papers. RePEc:arx:papers:2303.10550.

Full description at Econpapers || Download paper

2024Learning to Predict Short-Term Volatility with Order Flow Image Representation. (2024). Hao, Mingyu ; Lenskiy, Artem. In: Papers. RePEc:arx:papers:2304.02472.

Full description at Econpapers || Download paper

2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

Full description at Econpapers || Download paper

2025Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2025). Qin, Yichen ; Zhu, Xiaorui ; Wang, Peng. In: Papers. RePEc:arx:papers:2307.07574.

Full description at Econpapers || Download paper

2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

Full description at Econpapers || Download paper

2025Principal Component Copulas for Capital Modelling and Systemic Risk. (2024). Gubbels, K B ; Ypma, J Y ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2312.13195.

Full description at Econpapers || Download paper

2024Roughness Signature Functions. (2024). Christensen, Peter. In: Papers. RePEc:arx:papers:2401.02819.

Full description at Econpapers || Download paper

2026Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

Full description at Econpapers || Download paper

2024From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642.

Full description at Econpapers || Download paper

2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

Full description at Econpapers || Download paper

2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

Full description at Econpapers || Download paper

2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

Full description at Econpapers || Download paper

2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

Full description at Econpapers || Download paper

2026Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

Full description at Econpapers || Download paper

2024Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388.

Full description at Econpapers || Download paper

2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

Full description at Econpapers || Download paper

2024Gordon Growth Model with Vector Autoregressive Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.19424.

Full description at Econpapers || Download paper

2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

Full description at Econpapers || Download paper

2024Forecasting High Frequency Order Flow Imbalance. (2024). Jain, Shashi ; Anantha, Aditya Nittur. In: Papers. RePEc:arx:papers:2408.03594.

Full description at Econpapers || Download paper

2024Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505.

Full description at Econpapers || Download paper

2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

Full description at Econpapers || Download paper

2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

Full description at Econpapers || Download paper

2024GARCH-Informed Neural Networks for Volatility Prediction in Financial Markets. (2024). McComb, Christopher ; Skar-Gislinge, Nicholas ; Benthall, Sebastian ; Liechty, John ; Xu, Zeda. In: Papers. RePEc:arx:papers:2410.00288.

Full description at Econpapers || Download paper

2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

Full description at Econpapers || Download paper

2024A Dynamic Spatiotemporal and Network ARCH Model with Common Factors. (2024). Otto, Philipp ; Mattera, Raffaele ; Dougan, Osman ; Tacspinar, Suleyman. In: Papers. RePEc:arx:papers:2410.16526.

Full description at Econpapers || Download paper

2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

Full description at Econpapers || Download paper

2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

Full description at Econpapers || Download paper

2024Underlying Core Inflation with Multiple Regimes. (2024). Rodriguez-Rondon, Gabriel. In: Papers. RePEc:arx:papers:2411.12845.

Full description at Econpapers || Download paper

2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

Full description at Econpapers || Download paper

2025Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2412.04293.

Full description at Econpapers || Download paper

2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

Full description at Econpapers || Download paper

2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

Full description at Econpapers || Download paper

2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

Full description at Econpapers || Download paper

2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

Full description at Econpapers || Download paper

2026Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

Full description at Econpapers || Download paper

2025ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008.

Full description at Econpapers || Download paper

2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

Full description at Econpapers || Download paper

2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

Full description at Econpapers || Download paper

2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

Full description at Econpapers || Download paper

2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

Full description at Econpapers || Download paper

2025Integrated GARCH-GRU in Financial Volatility Forecasting. (2025). Cui, Zhenyu ; Yang, Steve ; Wei, Jingyi. In: Papers. RePEc:arx:papers:2504.09380.

Full description at Econpapers || Download paper

2025Multi-Horizon Echo State Network Prediction of Intraday Stock Returns. (2025). Dellaportas, Petros ; Capra, Jacopo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2504.19623.

Full description at Econpapers || Download paper

2025Sequential Scoring Rule Evaluation for Forecast Method Selection. (2025). Poskitt, Donald ; Frazier, David T. In: Papers. RePEc:arx:papers:2505.09090.

Full description at Econpapers || Download paper

2025Conditional Method Confidence Set. (2025). Bauer, Lukas ; Kazak, Ekaterina. In: Papers. RePEc:arx:papers:2505.21278.

Full description at Econpapers || Download paper

2025Evaluating financial tail risk forecasts: Testing Equal Predictive Ability. (2025). Bauer, Lukas. In: Papers. RePEc:arx:papers:2505.23333.

Full description at Econpapers || Download paper

2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

Full description at Econpapers || Download paper

2025Comparing Misspecified Models with Big Data: A Variational Bayesian Perspective. (2025). Mallick, Sushanta K ; Zhang, Junxing ; Zeng, Tao. In: Papers. RePEc:arx:papers:2507.00763.

Full description at Econpapers || Download paper

2025High Frequency Quoting Under Liquidity Constraints. (2025). Anantha, Aditya Nittur ; Jain, Shashi ; Misra, Dhruv ; Goyal, Shivam. In: Papers. RePEc:arx:papers:2507.05749.

Full description at Econpapers || Download paper

2025Time Series Foundation Models for Multivariate Financial Time Series Forecasting. (2025). Marconi, Ben A. In: Papers. RePEc:arx:papers:2507.07296.

Full description at Econpapers || Download paper

2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

Full description at Econpapers || Download paper

2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

Full description at Econpapers || Download paper

2025A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. (2025). Song, Yong ; Maneesoonthorn, Worapree ; Fan, Zheng. In: Papers. RePEc:arx:papers:2507.14408.

Full description at Econpapers || Download paper

2025Testing Clustered Equal Predictive Ability with Unknown Clusters. (2025). Akgun, Oguzhan ; Urga, Giovanni ; Pirotte, Alain ; Yang, Zhenlin. In: Papers. RePEc:arx:papers:2507.14621.

Full description at Econpapers || Download paper

2026Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach. (2025). Djebari, Fayçal ; Otto, Philipp ; Mazouz, Khelifa ; Mehidi, Kahina. In: Papers. RePEc:arx:papers:2507.15046.

Full description at Econpapers || Download paper

2025A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market. (2025). Fu, Sicheng ; Zhu, Fangfang ; Liu, Xiangdong. In: Papers. RePEc:arx:papers:2507.22409.

Full description at Econpapers || Download paper

2025Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919.

Full description at Econpapers || Download paper

2025Neural L\evy SDE for State--Dependent Risk and Density Forecasting. (2025). Wang, Ziyao ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2509.01041.

Full description at Econpapers || Download paper

2025(Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies. (2025). Firoozye, Nick ; Guzman, Grover ; Oliveira, Daniel Cunha. In: Papers. RePEc:arx:papers:2510.12725.

Full description at Econpapers || Download paper

2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

Full description at Econpapers || Download paper

2025Selection Confidence Sets for Equally Weighted Portfolios. (2025). Ferrari, Davide ; Fulci, Alessandro ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:2510.14988.

Full description at Econpapers || Download paper

2025Prediction Intervals for Model Averaging. (2025). Qu, Zhongjun ; Zhang, Xiaomeng ; Wang, Wendun. In: Papers. RePEc:arx:papers:2510.16224.

Full description at Econpapers || Download paper

2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

Full description at Econpapers || Download paper

2025Asset Pricing in the Presence of Market Microstructure Noise. (2025). Yegon, Peter ; Rachev, Svetlozar T ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2511.00308.

Full description at Econpapers || Download paper

2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

Full description at Econpapers || Download paper

2026Standard and comparative e-backtests for general risk measures. (2025). Wang, Qiuqi ; Jiao, Zhanyi ; Zhao, Yimiao. In: Papers. RePEc:arx:papers:2511.05840.

Full description at Econpapers || Download paper

2025Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025). (2025). Singha, Mainak ; Aguilera-Toste, Jose ; Lahiri, Vinayak. In: Papers. RePEc:arx:papers:2511.08571.

Full description at Econpapers || Download paper

2025When Reasoning Fails: Evaluating Thinking LLMs for Stock Prediction. (2025). Sodha, Rakeshkumar H. In: Papers. RePEc:arx:papers:2511.08608.

Full description at Econpapers || Download paper

2025Robust Cauchy-Based Methods for Predictive Regressions. (2025). Ibragimov, Rustam ; Kim, Jihyun ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.09249.

Full description at Econpapers || Download paper

2025FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting. (2025). Zeng, Yilong ; Tang, Boyan ; Lee, Raymond ; Wu, Jianghua ; Zhou, Sherry Zhefang ; Ren, Xuanhao. In: Papers. RePEc:arx:papers:2511.10365.

Full description at Econpapers || Download paper

2025Noise-proofing Universal Portfolio Shrinkage. (2025). Bongiorno, Christian ; Challet, Damien ; Ruelloux, Paul. In: Papers. RePEc:arx:papers:2511.10478.

Full description at Econpapers || Download paper

2025Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing. (2025). Rachev, Svetlozar T ; Deep, Akash ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2511.16563.

Full description at Econpapers || Download paper

2025Explainable Machine Learning for Macroeconomic and Financial Nowcasting: A Decision-Grade Framework for Business and Policy. (2025). Attolico, Luca. In: Papers. RePEc:arx:papers:2512.00399.

Full description at Econpapers || Download paper

2025Volatility time series modeling by single-qubit quantum circuit learning. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2512.10584.

Full description at Econpapers || Download paper

2025Principled Identification of Structural Dynamic Models. (2025). Hansen, Peter Reinhard ; Francis, Neville ; Tong, Chen. In: Papers. RePEc:arx:papers:2512.17005.

Full description at Econpapers || Download paper

2025AutoQuant: An Auditable Expert-System Framework for Execution-Constrained Auto-Tuning in Cryptocurrency Perpetual Futures. (2025). Deng, Kaihong. In: Papers. RePEc:arx:papers:2512.22476.

Full description at Econpapers || Download paper

2026Utility-Weighted Forecasting and Calibration for Risk-Adjusted Decisions under Trading Frictions. (2026). Wright, Craig S. In: Papers. RePEc:arx:papers:2601.07852.

Full description at Econpapers || Download paper

2026The drift burst hypothesis. (2026). , Roel ; Reno, Roberto ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.08974.

Full description at Econpapers || Download paper

2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

Full description at Econpapers || Download paper

2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

Full description at Econpapers || Download paper

2026A machine learning approach to volatility forecasting. (2026). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13014.

Full description at Econpapers || Download paper

2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

Full description at Econpapers || Download paper

2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. (2026). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16613.

Full description at Econpapers || Download paper

2026Inference from high-frequency data: A subsampling approach. (2026). Veliyev, Bezirgen ; Thamrongrat, Nopporn ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16668.

Full description at Econpapers || Download paper

2026Realized range-based estimation of integrated variance. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.20463.

Full description at Econpapers || Download paper

2026The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2026). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.20469.

Full description at Econpapers || Download paper

2026Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models. (2026). Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2601.21447.

Full description at Econpapers || Download paper

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

Works by Peter Hansen:

YearTitleTypeCited
2008Reduced-Rank Regression: A Useful Determinant Identity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers.
[Full Text][Citation analysis]		paper343
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 343		article
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 343		paper
2009Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 343		paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 343		paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 343		paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 343		paper
2009Quadratic Variation by Markov Chains In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers.
[Full Text][Citation analysis]		paper52
2014ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR.(2014) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		article
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper23
2010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper20
2012Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2012Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility.(2012) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2010The Model Confidence Set In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1243
2011The Model Confidence Set.(2011) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 1243		article
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper88
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 88		paper
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper122
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		paper
2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		article
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2015Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics.(2015) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2015A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2015A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2015A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2020A New Parametrization of Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper15
2021A New Parametrization of Correlation Matrices.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2021A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper5
2024A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices.(2024) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2025A Multivariate Realized GARCH Model In: Papers.
[Full Text][Citation analysis]		paper7
2021Periodicity in Cryptocurrency Volatility and Liquidity In: Papers.
[Full Text][Citation analysis]		paper6
2024Periodicity in Cryptocurrency Volatility and Liquidity*.(2024) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2022Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants In: Papers.
[Full Text][Citation analysis]		paper2
2022Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants.(2022) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers.
[Full Text][Citation analysis]		paper4
2024Realized GARCH, CBOE VIX, and the Volatility Risk Premium.(2024) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2022Option Pricing with State-dependent Pricing Kernel In: Papers.
[Full Text][Citation analysis]		paper2
2022Option pricing with state‐dependent pricing kernel.(2022) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2025Option Pricing with Time-Varying Volatility Risk Aversion In: Papers.
[Full Text][Citation analysis]		paper2
2022A New Method for Generating Random Correlation Matrices In: Papers.
[Full Text][Citation analysis]		paper2
2024A new method for generating random correlation matrices.(2024) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation In: Papers.
[Full Text][Citation analysis]		paper0
2023Characterizing correlation matrices that admit a clustered factor representation.(2023) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2023Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas In: Papers.
[Full Text][Citation analysis]		paper1
2024Convolution-t Distributions In: Papers.
[Full Text][Citation analysis]		paper0
2024Cluster GARCH In: Papers.
[Full Text][Citation analysis]		paper0
2025Moments by Integrating the Moment-Generating Function In: Papers.
[Full Text][Citation analysis]		paper0
2025Dynamic Factor Correlation Model In: Papers.
[Full Text][Citation analysis]		paper1
2005A Test for Superior Predictive Ability In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article717
2006Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article684
2006Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2003Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article140
2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2000Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers.
[Full Text][Citation analysis]		paper98
2003Structural changes in the cointegrated vector autoregressive model.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 98		article
2001A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers.
[Full Text][Citation analysis]		paper867
2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 867		article
2001An Unbiased and Powerful Test for Superior Predictive Ability In: Working Papers.
[Full Text][Citation analysis]		paper28
2003Asymptotic Tests of Composite Hypotheses In: Working Papers.
[Full Text][Citation analysis]		paper28
2000The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes. In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper3
2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
[Full Text][Citation analysis]		article833
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 833		paper
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 833		paper
2004Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper31
2000Structural Breaks in the Cointegrated Vector Autoregressive Model In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper6
2005Grangers representation theorem: A closed-form expression for I(1) processes In: Econometrics Journal.
[Full Text][Citation analysis]		article34
2006Consistent ranking of volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article222
2011Subsampling realised kernels In: Journal of Econometrics.
[Full Text][Citation analysis]		article51
2006Subsampling realised kernels.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2022How should parameter estimation be tailored to the objective? In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2020How Should Parameter Estimation Be Tailored to the Objective?.(2020) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper18
2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper24
1995Subsidising consumer services: effects on employment, welfare and the informal economy In: Fiscal Studies.
[Full Text][Citation analysis]		article19
2008The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article5
1994Consumer Services, Employment and the Informal Economy. In: EPRU Working Paper Series.
[Citation analysis]		paper0
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
[Full Text][Citation analysis]		paper33
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2019Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article23
2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article181
1998Workbook on Cointegration In: OUP Catalogue.
[Citation analysis]		book43
2008Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews.
[Full Text][Citation analysis]		article50
2015Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2021A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article11
2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
[Citation analysis]		article336
2014REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article76
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
[Full Text][Citation analysis]		article24

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated March, 14 2025. Contact: CitEc Team