23
H index
32
i10 index
5447
Citations
Peter Hansen : Citation Profile
University of North Carolina-Chapel-Hill (90% share) | RESEARCH PRODUCTION: 30 Articles 51 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1994 - 2022). 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 | 5 |
| Journal of Business & Economic Statistics | 3 |
| Journal of Business & Economic Statistics | 3 |
| The Journal of Financial Econometrics | 2 |
| Econometrica | 2 |
| Econometrica | 2 |
| Journal of Applied Econometrics | 2 |
| Journal of Futures Markets | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 9 |
| Economics Working Papers / European University Institute | 4 |
| OFRC Working Papers Series / Oxford Financial Research Centre | 4 |
| FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta | 3 |
| Post-Print / HAL | 2 |
Recent works citing Peter Hansen (2023 and 2022)
| Year | Title of citing document | |
|---|---|---|
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
| 2022 | 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 | |
| 2022 | 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 | |
| 2022 | Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865. Full description at Econpapers || Download paper | |
| 2022 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566. Full description at Econpapers || Download paper | |
| 2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper | |
| 2022 | High-frequency Estimation of the L\evy-driven Graph Ornstein-Uhlenbeck process. (2020). , Almut ; Courgeau, Valentin. In: Papers. RePEc:arx:papers:2008.10930. Full description at Econpapers || Download paper | |
| 2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
| 2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
| 2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
| 2023 | Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577. Full description at Econpapers || Download paper | |
| 2022 | Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780. Full description at Econpapers || Download paper | |
| 2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
| 2022 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
| 2022 | Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment. (2021). Liu, Chu-An ; Huber, Martin ; Hsu, Yu-Chin ; Lee, Ying-Ying. In: Papers. RePEc:arx:papers:2106.04237. Full description at Econpapers || Download paper | |
| 2022 | Edgeworth expansions for volatility models. (2021). Jirak, Moritz . In: Papers. RePEc:arx:papers:2111.00529. Full description at Econpapers || Download paper | |
| 2022 | Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529. Full description at Econpapers || Download paper | |
| 2023 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper | |
| 2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
| 2022 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. (2022). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2202.02532. Full description at Econpapers || Download paper | |
| 2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
| 2022 | From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution. (2022). Mariotti, Tommaso ; Toscano, Giacomo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2202.12137. Full description at Econpapers || Download paper | |
| 2022 | GAM(L)A: An econometric model for interpretable Machine Learning. (2022). Laurent, S'Ebastien ; Hu, Sullivan ; Hacheme, Gilles ; Flachaire, Emmanuel. In: Papers. RePEc:arx:papers:2203.11691. Full description at Econpapers || Download paper | |
| 2023 | Generic Identifiability for REMIS: The Cointegrated Unit Root VAR. (2022). Deistler, Manfred ; Soegner, Leopold ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2204.05952. Full description at Econpapers || Download paper | |
| 2022 | High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933. Full description at Econpapers || Download paper | |
| 2022 | Mack-Net model: Blending Macks model with Recurrent Neural Networks. (2022). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2205.07334. Full description at Econpapers || Download paper | |
| 2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
| 2022 | Economic activity and climate change. (2022). Ruiz, Esther ; Rodr, Vladimir ; Poncela, Pilar ; de Juan, Ar'Anzazu. In: Papers. RePEc:arx:papers:2206.03187. Full description at Econpapers || Download paper | |
| 2022 | Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
| 2023 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
| 2022 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper | |
| 2022 | Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967. Full description at Econpapers || Download paper | |
| 2022 | Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. (2022). Clarke, Jackson D ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2210.08892. Full description at Econpapers || Download paper | |
| 2023 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
| 2023 | The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777. Full description at Econpapers || Download paper | |
| 2022 | Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121. Full description at Econpapers || Download paper | |
| 2023 | Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362. Full description at Econpapers || Download paper | |
| 2022 | Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288. Full description at Econpapers || Download paper | |
| 2022 | Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833. Full description at Econpapers || Download paper | |
| 2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
| 2023 | Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692. Full description at Econpapers || Download paper | |
| 2023 | Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728. Full description at Econpapers || Download paper | |
| 2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
| 2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
| 2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper | |
| 2023 | High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2023). Polak, Pawel ; Ainasse, El Mehdi ; Balabhadra, Greeshma. In: Papers. RePEc:arx:papers:2303.10550. Full description at Econpapers || Download paper | |
| 2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
| 2023 | Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472. Full description at Econpapers || Download paper | |
| 2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
| 2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper | |
| 2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
| 2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
| 2023 | Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446. Full description at Econpapers || Download paper | |
| 2023 | Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2023). Wang, Hanchao ; Linton, Oliver ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2307.01348. Full description at Econpapers || Download paper | |
| 2023 | Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2023). Wang, Peng ; Qin, Yichen ; Zhu, Xiaorui. In: Papers. RePEc:arx:papers:2307.07574. Full description at Econpapers || Download paper | |
| 2023 | The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137. Full description at Econpapers || Download paper | |
| 2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper | |
| 2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
| 2023 | Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895. Full description at Econpapers || Download paper | |
| 2023 | Recurrent Neural Networks with more flexible memory: better predictions than rough volatility. (2023). Ragel, Vincent ; Challet, Damien. In: Papers. RePEc:arx:papers:2308.08550. Full description at Econpapers || Download paper | |
| 2023 | DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072. Full description at Econpapers || Download paper | |
| 2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2022 | Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845. Full description at Econpapers || Download paper | |
| 2022 | A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683. Full description at Econpapers || Download paper | |
| 2022 | A reexamination of factor momentum: How strong is it?. (2022). Liu, Jiadong ; Liao, Ming ; Fan, Minyou. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:585-615. Full description at Econpapers || Download paper | |
| 2023 | Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573. Full description at Econpapers || Download paper | |
| 2022 | Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046. Full description at Econpapers || Download paper | |
| 2023 | Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111. Full description at Econpapers || Download paper | |
| 2022 | An ensemble method for early prediction of dengue outbreak. (2022). Deb, Sougata. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:84-101. Full description at Econpapers || Download paper | |
| 2022 | Unconventional policies effects on stock market volatility: The MAP approach. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:5:p:1245-1265. Full description at Econpapers || Download paper | |
| 2022 | State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124. Full description at Econpapers || Download paper | |
| 2022 | Generalized autoregressive moving average models with GARCH errors. (2022). Chen, Rong ; Xiao, Han ; Zheng, Tingguo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:125-146. Full description at Econpapers || Download paper | |
| 2022 | On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196. Full description at Econpapers || Download paper | |
| 2022 | A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370. Full description at Econpapers || Download paper | |
| 2022 | Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2022 | Empirical newsvendor biases: Are target service levels achieved effectively and efficiently?. (2022). Minner, Stefan ; Beckerpeth, Michael ; Sachs, Annalena ; Thonemann, Ulrich W. In: Production and Operations Management. RePEc:bla:popmgt:v:31:y:2022:i:4:p:1839-1855. Full description at Econpapers || Download paper | |
| 2022 | Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489. Full description at Econpapers || Download paper | |
| 2022 | Backcasting world trade growth using data reduction methods. (2022). Darné, Olivier ; Charles, Amelie. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:10:p:3169-3191. Full description at Econpapers || Download paper | |
| 2022 | . Full description at Econpapers || Download paper | |
| 2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper | |
| 2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper | |
| 2022 | Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2218. Full description at Econpapers || Download paper | |
| 2023 | The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303. Full description at Econpapers || Download paper | |
| 2022 | . Full description at Econpapers || Download paper | |
| 2022 | THEORETICAL ELEMENTS REGARDING THE MANAGEMENT OF A DYNAMIC PORTFOLIO. (2022). Iacob, Stefan Virgil ; Anghelache, Constantin ; Madalina - Gabriela Anghel, . In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2022:v:1:p:91-96. Full description at Econpapers || Download paper | |
| 2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
| 2022 | Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings. (2022). Boadu-Sebbe, Gregory. In: CERGE-EI Working Papers. RePEc:cer:papers:wp738. Full description at Econpapers || Download paper | |
| 2023 | The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies. (2023). Anderl, Christina ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10276. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. Full description at Econpapers || Download paper | |
| 2022 | Safe at Last? LATE Effects of a Mass Immunization Campaign on Households’ Economic Insecurity. (2022). Pickard, H ; Belmonte, A. In: CAGE Online Working Paper Series. RePEc:cge:wacage:604. Full description at Econpapers || Download paper | |
| 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 | 3 |
| 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 | 282 |
| 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: 282 | article | |
| 2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 282 | paper | |
| 2009 | Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 282 | 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: 282 | 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. [Citation analysis] This paper has another version. Agregated cites: 282 | 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: 282 | paper | |
| 2009 | Quadratic Variation by Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
| 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 | 45 |
| 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: 45 | article | |
| 2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
| 2010 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
| 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: 16 | 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: 16 | paper | |
| 2010 | The Model Confidence Set In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 877 |
| 2011 | The Model Confidence Set.(2011) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 877 | article | |
| 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 74 |
| 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: 74 | paper | |
| 2012 | Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 86 |
| 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: 86 | 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: 86 | article | |
| 2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
| 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: 23 | 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: 23 | article | |
| 2015 | A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2015 | A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | A New Parametrization of Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2021 | A New Parametrization of Correlation Matrices.(2021) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2021 | A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | A Multivariate Realized GARCH Model In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | Periodicity in Cryptocurrency Volatility and Liquidity In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Relative 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 another version. Agregated cites: 0 | article | |
| 2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Option Pricing with State-dependent Pricing Kernel In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Option pricing with state?dependent pricing kernel.(2022) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2022 | Option Pricing with Time-Varying Volatility Risk Aversion In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | A New Method for Generating Random Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | A Test for Superior Predictive Ability In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 635 |
| 2006 | Realized Variance and Market Microstructure Noise In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 604 |
| 2006 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 116 |
| 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: 116 | 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: 116 | paper | |
| 2000 | Structural Changes in the Cointegrated Vector Autoregressive Model In: Working Papers. [Full Text][Citation analysis] | paper | 93 |
| 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: 93 | article | |
| 2001 | A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? In: Working Papers. [Full Text][Citation analysis] | paper | 740 |
| 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: 740 | article | |
| 2001 | An Unbiased and Powerful Test for Superior Predictive Ability In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
| 2003 | Asymptotic Tests of Composite Hypotheses In: Working Papers. [Full Text][Citation analysis] | paper | 28 |
| 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 | 1 |
| 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 | 719 |
| 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: 719 | 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: 719 | paper | |
| 2004 | Realized Variance and IID Market Microstructure Noise In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 30 |
| 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 | 29 |
| 2006 | Consistent ranking of volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 198 |
| 2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 43 |
| 2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
| 2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
| 2022 | How should parameter estimation be tailored to the objective? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2020 | How Should Parameter Estimation Be Tailored to the Objective?.(2020) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2005 | Testing the significance of calendar effects In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 18 |
| 2005 | Model confidence sets for forecasting models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 21 |
| 1995 | Subsidising consumer services: effects on employment, welfare and the informal economy In: Fiscal Studies. [Full Text][Citation analysis] | article | 19 |
| 2008 | The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 4 |
| 1994 | Consumer Services, Employment and the Informal Economy. In: EPRU Working Paper Series. [Citation analysis] | paper | 0 |
| 2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers. [Full Text][Citation analysis] | paper | 31 |
| 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: 31 | paper | |
| 2019 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 19 |
| 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: 19 | paper | |
| 2005 | A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 165 |
| 1998 | Workbook on Cointegration In: OUP Catalogue. [Citation analysis] | book | 42 |
| 2008 | Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews. [Full Text][Citation analysis] | article | 47 |
| 2015 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2021 | A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 7 |
| 2012 | Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics. [Citation analysis] | article | 268 |
| 2014 | REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 61 |
| 2017 | Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 16 |
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