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 Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices 0 0 2 17 0 1 9 23
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? 2 2 6 1,208 4 10 39 2,409
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data 1 1 1 145 1 1 2 233
A Martingale Decomposition of Discrete Markov Chains 0 0 0 80 0 0 0 68
A Multivariate Realized GARCH Model 0 0 2 30 1 2 15 61
A New Method for Generating Random Correlation Matrices 0 1 24 24 0 2 12 12
A New Parametrization of Correlation Matrices 0 0 2 6 0 0 4 20
An Unbiased and Powerful Test for Superior Predictive Ability 0 2 3 517 1 3 6 1,215
Asymptotic Tests of Composite Hypotheses 0 0 1 157 0 0 2 423
Choice of Sample Split in Out-of-Sample Forecast Evaluation 1 1 2 236 1 1 17 839
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 1 1 87 0 2 6 189
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 0 1 370 2 7 23 1,001
Choosing the best volatility models: the model confidence set approach 0 0 0 248 3 13 47 828
Consumer Services, Employment and the Informal Economy 0 0 0 0 0 0 3 452
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 1 1 132 3 4 8 519
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 0 84 0 1 4 313
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 0 103 0 0 0 122
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 0 7 0 0 0 80
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 0 116 1 8 15 318
Exponential GARCH Modeling with Realized Measures of Volatility 0 1 2 106 0 1 4 250
Exponential GARCH Modeling with Realized Measures of Volatility 0 1 2 73 0 2 8 312
How Should Parameter Estimation Be Tailored to the Objective? 0 0 0 0 0 0 4 10
Model confidence sets for forecasting models 1 2 5 260 4 14 37 645
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 70 3 13 39 241
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 8 1 3 5 85
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 3 9 25 417
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 5 13 24 183
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 0 1 7 206
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 89 2 4 21 373
Option Pricing with State-dependent Pricing Kernel 0 0 1 34 0 0 8 22
Option Pricing with Time-Varying Volatility Risk Aversion 0 0 10 10 0 2 14 14
Periodicity in Cryptocurrency Volatility and Liquidity 0 0 1 18 1 2 12 36
Quadratic Variation by Markov Chains 0 1 1 93 0 2 2 326
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 351 1 2 9 711
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 3 62 0 3 14 283
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 26 0 0 2 151
Realized GARCH, CBOE VIX, and the Volatility Risk Premium 0 0 2 70 0 1 15 24
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility 1 2 5 416 3 6 31 1,530
Realized Variance and IID Market Microstructure Noise 0 0 1 319 0 1 3 915
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 1 4 83 0 2 8 92
Reduced-Rank Regression: A Useful Determinant Identity 0 1 1 93 0 2 3 255
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 4 112 0 1 16 423
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 1 96 1 1 5 359
Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants 0 0 2 3 0 0 3 15
Structural Breaks in the Cointegrated Vector Autoregressive Model 0 0 1 410 0 0 2 765
Structural Changes in the Cointegrated Vector Autoregressive Model 0 1 1 524 0 1 2 1,386
Subsampling realised kernels 0 0 1 45 1 2 14 252
Subsampling realised kernels 0 0 0 53 2 2 5 238
Testing the significance of calendar effects 0 2 3 667 6 20 56 1,775
The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes 1 1 1 35 1 1 3 132
The Model Confidence Set 1 3 12 211 3 10 50 712
Total Working Papers 8 25 111 8,134 54 176 663 22,263


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program 0 0 0 10 0 2 4 32
A New Parametrization of Correlation Matrices 0 1 4 9 1 3 13 39
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data 0 2 7 161 4 14 38 439
A Test for Superior Predictive Ability 0 2 12 529 0 16 107 1,247
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 0 1 5 1,419 4 14 48 3,980
A martingale decomposition of discrete Markov chains 0 0 0 5 0 1 4 32
Choosing the Best Volatility Models: The Model Confidence Set Approach* 0 0 1 104 2 2 8 453
Comment 0 0 0 5 0 0 1 23
Consistent ranking of volatility models 0 0 6 433 5 17 62 1,064
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 1 1 2 232 2 6 22 702
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR 0 0 0 29 1 4 6 115
Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics 0 0 0 6 0 0 0 36
Exponential GARCH Modeling With Realized Measures of Volatility 1 1 5 37 2 3 16 129
Granger's representation theorem: A closed-form expression for I(1) processes 0 0 0 436 0 0 5 1,833
How should parameter estimation be tailored to the objective? 0 1 3 3 0 1 6 6
Moving Average-Based Estimators of Integrated Variance 0 0 2 98 0 0 3 393
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 1 2 8 118 6 13 37 394
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach 0 0 1 5 0 0 3 33
Option pricing with state‐dependent pricing kernel 0 0 2 2 0 1 6 6
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY 0 0 0 22 0 0 2 73
Realized GARCH: a joint model for returns and realized measures of volatility 0 0 0 0 1 4 9 329
Realized Variance and Market Microstructure Noise 1 1 2 368 3 20 45 894
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 3 17 0 0 12 78
Rejoinder 0 0 0 17 0 0 0 58
Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants 0 1 1 1 1 2 2 2
Structural changes in the cointegrated vector autoregressive model 0 1 8 368 2 3 15 773
Subsampling realised kernels 1 1 1 52 3 3 15 213
Subsidising consumer services: effects on employment, welfare and the informal economy 0 0 0 43 0 0 0 236
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 0 0 0 53 0 2 6 163
The Model Confidence Set 0 0 0 0 5 13 48 680
Total Journal Articles 5 15 73 4,582 42 144 543 14,455


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 1 4 17 413
Total Books 0 0 0 0 1 4 17 413


Statistics updated 2023-05-07