Peter Hansen : Citation Profile


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

23

H index

32

i10 index

5984

Citations

RESEARCH PRODUCTION:

33

Articles

55

Papers

1

Books

RESEARCH ACTIVITY:

   30 years (1994 - 2024). See details.
   Cites by year: 199
   Journals where Peter Hansen has often published
   Relations with other researchers
   Recent citing documents: 579.    Total self citations: 53 (0.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha63
   Updated: 2025-01-10    RAS profile: 2024-09-05    
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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 (133)

Bollerslev, Tim (104)

Asai, Manabu (95)

Patton, Andrew (78)

Andersen, Torben (64)

Gallo, Giampiero (63)

Caporin, Massimiliano (63)

Shephard, Neil (63)

Laurent, Sébastien (60)

Zhang, Yaojie (56)

Medeiros, Marcelo (55)

Cites to:

Bollerslev, Tim (82)

Shephard, Neil (66)

Andersen, Torben (61)

Lunde, Asger (57)

Diebold, Francis (51)

Engle, Robert (44)

Meddahi, Nour (23)

Ait-Sahalia, Yacine (20)

West, Kenneth (16)

Campbell, John (14)

Newey, Whitney (14)

Main data


Production by document typepaperbookarticle19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240200400600Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240k1k2kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 23Most cited documents1234567891011121314151617181920212223242505001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025010102030h-index Highcharts.comExport to raster or vector imagePrint the chart

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
Econometrica2
The Econometrics Journal2
Economics Letters2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org13
OFRC Working Papers Series / Oxford Financial Research Centre4
Economics Working Papers / European University Institute4
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta3
Post-Print / HAL2

Recent works citing Peter Hansen (2024 and 2023)


Year  ↓Title of citing document  ↓
2023.

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2023Business cycle and realized losses in the consumer credit industry. (2023). Vrins, Frederic ; Roccazzella, Francesco ; Distaso, Walter. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023007.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Sparse 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.

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2024Efficiently 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.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Generic Identifiability for REMIS: The Cointegrated Unit Root VAR. (2022). Deistler, Manfred ; Soegner, Leopold ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2204.05952.

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2023Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

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2023Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2024Application 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.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023The 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.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Efficient 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.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Bridging 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.

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2024Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2024High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2023). Polak, Pawel ; Ainasse, El Mehdi ; Balabhadra, Greeshma. In: Papers. RePEc:arx:papers:2303.10550.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2024Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2023Comparing 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.

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2023Nonparametric 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.

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2023Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2023). Wang, Peng ; Qin, Yichen ; Zhu, Xiaorui. In: Papers. RePEc:arx:papers:2307.07574.

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2023The 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.

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2023Graph 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.

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2023Recurrent Neural Networks with more flexible memory: better predictions than rough volatility. (2023). Ragel, Vincent ; Challet, Damien. In: Papers. RePEc:arx:papers:2308.08550.

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2024DeepVol: 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.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256.

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

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

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

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2024Cubic-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.

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

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

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023.

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2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

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2023.

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2023Tail 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.

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2023.

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2023The impact of ESG news on the volatility of the Portuguese stock market—Does it change during recessions?. (2023). Catalolopes, Margarida ; Zanatto, Cassio ; Carrilhonunes, Ines ; Pina, Joaquim P. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:8:p:5821-5832.

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2023A 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.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387.

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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2023Understanding 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.

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2023Role of weather in the natural gas market: Insights from the STL?GARCH?W method. (2023). Pan, Zhigang ; Huang, Yisu ; Xia, Zhenglan ; Peng, Lijuan. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:3:p:304-323.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2023Machine 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.

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2024A similarity‐based approach for macroeconomic forecasting. (2020). Marcellino, Massimiliano ; Kapetanios, G ; Dendramis, Y. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827.

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2024Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294.

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2024A 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.

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2023Optimal estimating function for weak location‐scale dynamic models. (2023). Francq, Christian ; Zakoan, Jeanmichel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:5-6:p:533-555.

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2023.

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2024Safe at Last? Late Effects of a Mass Immunization Campaign on Households Economic Insecurity. (2024). Pickard, Harry ; Belmonte, Alessandro. In: Review of Income and Wealth. RePEc:bla:revinw:v:70:y:2024:i:2:p:466-497.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2023Realized 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.

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2023Augmenting 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.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023The 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.

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

Works by Peter Hansen:


Year  ↓Title  ↓Type  ↓Cited  ↓
2008Reduced-Rank Regression: A Useful Determinant Identity In: CREATES Research Papers.
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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.
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paper313
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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This paper has nother version. Agregated cites: 313
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: 313
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: 313
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: 313
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: 313
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: 313
paper
2009Quadratic Variation by Markov Chains In: CREATES Research Papers.
[Full Text][Citation analysis]
paper14
2010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error In: CREATES Research Papers.
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paper46
2014ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR.(2014) In: Econometric Theory.
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This paper has nother version. Agregated cites: 46
article
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers.
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paper23
2010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility In: CREATES Research Papers.
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paper18
2012Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility.(2012) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 18
paper
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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This paper has nother version. Agregated cites: 18
paper
2010The Model Confidence Set In: CREATES Research Papers.
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paper1060
2011The Model Confidence Set.(2011) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 1060
article
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: CREATES Research Papers.
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paper80
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation.(2012) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 80
paper
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
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paper107
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 107
paper
2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 107
article
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics In: CREATES Research Papers.
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paper0
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics.(2012) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2015A Martingale Decomposition of Discrete Markov Chains In: CREATES Research Papers.
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paper1
2015A martingale decomposition of discrete Markov chains.(2015) In: Economics Letters.
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This paper has nother version. Agregated cites: 1
article
2015A Markov Chain Estimator of Multivariate Volatility from High Frequency Data In: CREATES Research Papers.
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paper3
2020A New Parametrization of Correlation Matrices In: Papers.
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