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 19 0 0 4 30
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? 0 1 2 1,215 0 2 6 2,440
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data 0 0 0 146 0 0 1 236
A Martingale Decomposition of Discrete Markov Chains 0 0 0 81 0 0 1 70
A Multivariate Realized GARCH Model 0 1 6 38 3 7 21 89
A New Method for Generating Random Correlation Matrices 0 0 1 28 0 0 5 27
A New Parametrization of Correlation Matrices 0 0 0 6 0 0 0 23
An Unbiased and Powerful Test for Superior Predictive Ability 0 0 2 524 0 0 4 1,228
Asymptotic Tests of Composite Hypotheses 0 0 0 157 0 0 0 425
Characterizing Correlation Matrices that Admit a Clustered Factor Representation 0 0 1 8 0 0 3 10
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 0 1 240 0 0 9 858
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 0 0 87 5 6 12 206
Choosing the Best Volatility Models:The Model Confidence Set Approach 0 0 2 380 0 0 2 1,025
Choosing the best volatility models: the model confidence set approach 0 0 0 248 0 0 1 842
Cluster GARCH 1 1 13 13 3 3 12 12
Consumer Services, Employment and the Informal Economy 0 0 0 0 0 0 0 452
Convolution-t Distributions 0 1 3 13 0 2 7 16
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 88 0 3 9 324
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 133 0 1 3 526
Dynamic Factor Correlation Model 0 23 23 23 1 9 9 9
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 0 103 0 0 4 129
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics 0 0 0 7 1 1 1 81
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error 0 0 0 116 0 0 3 331
Exponential GARCH Modeling with Realized Measures of Volatility 0 0 0 107 0 0 1 255
Exponential GARCH Modeling with Realized Measures of Volatility 0 0 0 74 0 0 1 317
How Should Parameter Estimation Be Tailored to the Objective? 0 0 0 0 0 0 1 11
Model confidence sets for forecasting models 1 1 2 266 3 5 10 670
Moments by Integrating the Moment-Generating Function 0 0 0 0 1 1 2 2
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 1 71 0 1 4 257
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 1 1 1 10 1 1 3 95
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 0 0 1 196
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 0 1 207
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 0 0 2 382
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 0 1 1 424
Option Pricing with State-dependent Pricing Kernel 0 0 0 34 0 0 1 23
Option Pricing with Time-Varying Volatility Risk Aversion 2 2 3 15 7 8 15 35
Periodicity in Cryptocurrency Volatility and Liquidity 1 1 3 23 2 4 8 48
Quadratic Variation by Markov Chains 0 0 0 93 0 0 1 329
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 351 0 0 2 720
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility 0 0 0 62 0 0 3 300
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility 0 0 0 27 0 0 0 154
Realized GARCH, CBOE VIX, and the Volatility Risk Premium 0 0 1 71 0 0 6 35
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility 0 0 4 429 3 4 16 1,573
Realized Variance and IID Market Microstructure Noise 0 0 0 319 0 0 1 917
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 0 83 0 0 4 99
Reduced-Rank Regression: A Useful Determinant Identity 0 0 0 93 0 0 2 257
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 1 6 438
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 1 2 364
Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants 0 0 0 4 0 0 2 19
Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas 0 0 3 16 0 0 8 30
Structural Breaks in the Cointegrated Vector Autoregressive Model 0 0 0 411 0 1 1 768
Structural Changes in the Cointegrated Vector Autoregressive Model 0 1 1 525 0 3 3 1,392
Subsampling realised kernels 0 0 0 53 0 0 1 240
Subsampling realised kernels 0 0 0 45 0 0 0 254
Testing the significance of calendar effects 0 0 0 669 0 0 0 1,792
The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes 0 0 1 36 0 0 4 144
The Model Confidence Set 1 1 4 220 1 1 7 731
Total Working Papers 7 34 84 8,312 31 66 237 22,867


Journal Article 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 4 4 0 3 48 48
A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program 0 0 2 13 0 0 4 44
A New Parametrization of Correlation Matrices 1 2 5 21 1 3 8 62
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data 0 0 1 165 0 0 7 464
A Test for Superior Predictive Ability 0 0 1 537 3 4 11 1,278
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 1 2 10 1,434 7 12 60 4,090
A martingale decomposition of discrete Markov chains 0 0 0 5 0 0 0 33
A new method for generating random correlation matrices 0 1 2 2 0 1 4 4
Characterizing correlation matrices that admit a clustered factor representation 0 0 1 2 0 0 1 2
Choosing the Best Volatility Models: The Model Confidence Set Approach* 0 0 2 108 0 0 7 473
Comment 0 0 0 5 0 0 0 24
Consistent ranking of volatility models 0 1 5 443 0 2 10 1,099
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 1 1 1 236 1 2 3 722
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR 0 0 0 29 0 0 4 128
Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics 0 0 1 7 0 0 1 38
Exponential GARCH Modeling With Realized Measures of Volatility 1 1 4 48 1 2 16 161
Granger's representation theorem: A closed-form expression for I(1) processes 0 0 0 436 1 1 7 1,841
How should parameter estimation be tailored to the objective? 0 0 1 6 0 1 3 14
Moving Average-Based Estimators of Integrated Variance 0 0 0 98 0 0 0 393
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 2 2 3 127 2 2 13 434
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach 0 0 0 5 1 2 3 36
Option pricing with state‐dependent pricing kernel 0 0 0 2 0 0 0 6
Periodicity in Cryptocurrency Volatility and Liquidity* 1 1 2 2 2 2 11 12
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY 0 0 0 22 1 1 3 78
Realized GARCH, CBOE VIX, and the Volatility Risk Premium 0 0 4 5 2 4 18 21
Realized GARCH: a joint model for returns and realized measures of volatility 0 0 0 0 4 7 16 353
Realized Variance and Market Microstructure Noise 0 0 5 380 0 4 15 940
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 19 0 0 4 87
Rejoinder 0 0 0 17 0 0 1 59
Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants 0 0 0 1 0 0 0 2
Structural changes in the cointegrated vector autoregressive model 0 0 0 371 1 3 5 783
Subsampling realised kernels 0 0 0 52 0 0 0 218
Subsidising consumer services: effects on employment, welfare and the informal economy 0 1 1 44 0 1 2 238
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 0 0 0 53 0 0 0 164
The Model Confidence Set 0 0 0 0 0 1 12 723
Total Journal Articles 7 12 56 4,699 27 58 297 15,072


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 0 4 424
Total Books 0 0 0 0 0 0 4 424


Statistics updated 2025-06-06