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)? 2 7 12 1,176 7 42 85 2,237
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data 0 0 8 140 0 2 19 195
A Martingale Decomposition of Discrete Markov Chains 0 1 1 78 0 1 3 53
An Unbiased and Powerful Test for Superior Predictive Ability 0 0 6 505 0 2 13 1,177
Asymptotic Tests of Composite Hypotheses 1 1 2 155 1 11 13 410
Choice of Sample Split in Out-of-Sample Forecast Evaluation 1 1 1 74 4 7 15 106
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 1 5 222 4 12 43 724
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 0 2 362 0 1 6 930
Choosing the best volatility models: the model confidence set approach 0 0 1 246 2 3 7 713
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 0 1 121 2 5 16 406
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 78 0 1 12 275
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 0 103 1 2 5 106
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 1 7 0 0 4 67
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 1 111 6 7 12 248
Exponential GARCH Modeling with Realized Measures of Volatility 0 0 3 67 0 3 20 268
Exponential GARCH Modeling with Realized Measures of Volatility 0 1 2 98 0 1 13 202
Model confidence sets for forecasting models 0 3 5 248 1 5 11 561
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 1 1 67 1 3 6 163
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 5 0 2 8 34
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 1 87 1 6 12 303
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 5 334
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 48 1 2 4 170
Quadratic Variation by Markov Chains 0 0 0 84 0 1 2 275
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 2 350 3 4 10 663
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 3 53 1 3 20 211
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 21 0 0 3 122
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility 0 2 8 373 0 4 50 1,342
Realized Variance and IID Market Microstructure Noise 0 0 2 315 0 0 5 885
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 75 0 5 12 57
Reduced-Rank Regression: A Useful Determinant Identity 1 2 5 90 2 4 10 242
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 107 1 1 5 372
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 1 93 0 0 4 312
Structural Breaks in the Cointegrated Vector Autoregressive Model 0 0 1 409 1 1 3 758
Structural Changes in the Cointegrated Vector Autoregressive Model 0 1 5 519 4 5 10 1,362
Subsampling realised kernels 0 0 0 44 0 1 6 202
Subsampling realised kernels 0 0 0 53 1 4 6 216
Testing the significance of calendar effects 1 1 7 646 2 5 19 1,637
The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes 0 0 1 33 0 0 2 121
The Model Confidence Set 3 6 15 163 9 19 58 432
Total Working Papers 9 28 108 7,605 55 176 561 19,454


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 2 3 9 137 2 5 14 308
A Test for Superior Predictive Ability 1 3 15 487 6 10 39 1,005
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 1 4 18 1,361 4 11 94 3,664
A martingale decomposition of discrete Markov chains 0 0 2 4 0 0 3 21
Choosing the Best Volatility Models: The Model Confidence Set Approach* 0 0 2 96 1 3 10 407
Comment 0 0 0 5 0 0 1 17
Consistent ranking of volatility models 0 7 23 392 0 13 42 838
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 3 7 210 2 14 39 585
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR 0 0 0 26 0 1 3 87
Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics 0 0 1 4 0 1 4 16
Exponential GARCH Modeling With Realized Measures of Volatility 0 2 8 15 1 6 20 41
Granger's representation theorem: A closed-form expression for I(1) processes 0 1 3 428 2 4 21 1,790
Moving Average-Based Estimators of Integrated Variance 0 0 0 94 0 2 6 363
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 3 6 11 264
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach 0 0 2 2 1 1 7 14
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY 0 0 0 21 0 1 2 62
Realized GARCH: a joint model for returns and realized measures of volatility 0 0 0 0 2 8 29 266
Realized Variance and Market Microstructure Noise 0 0 7 356 1 6 21 787
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 2 4 4 0 4 9 9
Rejoinder 0 0 0 17 0 0 0 54
Structural changes in the cointegrated vector autoregressive model 4 5 23 317 9 17 45 680
Subsampling realised kernels 0 0 0 50 0 1 6 162
Subsidising consumer services: effects on employment, welfare and the informal economy 0 0 1 42 0 0 2 232
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 0 0 2 51 0 0 4 133
The Model Confidence Set 0 0 0 0 2 8 31 516
Total Journal Articles 8 30 127 4,209 36 122 463 12,321


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 0 11 37 320
Total Books 0 0 0 0 0 11 37 320


Statistics updated 2019-10-05