Access Statistics for Peter Hansen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? 1 1 9 1,169 5 17 60 2,195
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data 0 1 10 140 0 3 22 193
A Martingale Decomposition of Discrete Markov Chains 0 0 1 77 0 1 5 52
An Unbiased and Powerful Test for Superior Predictive Ability 1 1 9 505 1 1 16 1,175
Asymptotic Tests of Composite Hypotheses 0 1 2 154 0 1 7 399
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 2 5 221 2 10 43 712
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 0 1 73 0 4 11 99
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 1 2 362 0 2 9 929
Choosing the best volatility models: the model confidence set approach 0 0 1 246 0 0 5 710
Consumer Services, Employment and the Informal Economy 0 0 0 0 0 0 0 443
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 2 3 78 1 6 11 274
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 1 1 121 0 5 12 401
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 0 103 0 1 4 104
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 1 7 0 1 4 67
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 1 111 0 2 6 241
Exponential GARCH Modeling with Realized Measures of Volatility 0 0 1 97 1 4 14 201
Exponential GARCH Modeling with Realized Measures of Volatility 0 2 3 67 1 10 25 265
Model confidence sets for forecasting models 0 0 3 245 0 3 9 556
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 1 66 0 1 4 160
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 5 0 2 7 32
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 48 0 1 3 168
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 30 0 0 4 120
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 149 0 1 4 333
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 87 1 2 8 297
Quadratic Variation by Markov Chains 0 0 0 84 0 0 2 274
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 2 350 0 0 7 659
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 1 3 53 0 9 20 208
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 21 0 1 3 122
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility 0 2 8 371 2 10 69 1,338
Realized Variance and IID Market Microstructure Noise 0 1 2 315 0 2 7 885
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 75 2 2 9 52
Reduced-Rank Regression: A Useful Determinant Identity 0 0 5 88 1 1 8 238
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 1 107 0 1 7 371
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 2 93 1 2 6 312
Structural Breaks in the Cointegrated Vector Autoregressive Model 0 0 2 409 0 0 4 757
Structural Changes in the Cointegrated Vector Autoregressive Model 2 2 4 518 2 2 6 1,357
Subsampling realised kernels 0 0 0 44 0 0 6 201
Subsampling realised kernels 0 0 0 53 0 0 3 212
Testing the significance of calendar effects 0 3 8 645 1 7 19 1,632
The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes 0 0 1 33 0 0 2 121
The Model Confidence Set 1 3 11 157 6 19 50 413
Total Working Papers 5 24 107 7,577 27 134 521 19,278


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data 1 2 8 134 1 4 13 303
A Test for Superior Predictive Ability 0 4 14 484 2 12 40 995
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 1 3 18 1,357 4 24 102 3,653
A martingale decomposition of discrete Markov chains 0 1 2 4 0 1 3 21
Choosing the Best Volatility Models: The Model Confidence Set Approach 0 0 3 96 0 2 10 404
Comment 0 0 0 5 0 0 2 17
Consistent ranking of volatility models 3 7 18 385 5 12 35 825
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 1 6 207 2 10 30 571
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR 0 0 1 26 0 1 4 86
Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics 0 1 1 4 0 2 3 15
Exponential GARCH Modeling With Realized Measures of Volatility 1 4 6 13 3 9 17 35
Granger's representation theorem: A closed-form expression for I(1) processes 0 1 2 427 3 6 20 1,786
Moving Average-Based Estimators of Integrated Variance 0 0 0 94 0 0 5 361
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 90 0 2 8 258
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach 0 0 2 2 0 1 8 13
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY 0 0 0 21 0 0 2 61
Realized GARCH: a joint model for returns and realized measures of volatility 0 0 0 0 2 6 24 258
Realized Variance and Market Microstructure Noise 0 0 9 356 1 4 20 781
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 1 1 2 2 4 4 5 5
Rejoinder 0 0 0 17 0 0 0 54
Structural changes in the cointegrated vector autoregressive model 1 8 22 312 3 11 33 663
Subsampling realised kernels 0 0 1 50 0 0 6 161
Subsidising consumer services: effects on employment, welfare and the informal economy 0 0 1 42 0 1 2 232
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 1 1 2 51 1 2 4 133
The Model Confidence Set 0 0 0 0 0 5 30 508
Total Journal Articles 9 34 119 4,179 31 119 426 12,199


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Workbook on Cointegration 0 0 0 0 4 8 30 309
Total Books 0 0 0 0 4 8 30 309


Statistics updated 2019-07-03