Peter Hansen

Получаване на мой собствен потребителски профил

Позовавания

	Всички	От 2019
Позовавания	16132	6665
h-индекс	33	26
i10-индекс	48	39

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1050

200320042005200620072008200920102011201220132014201520162017201820192020202120222023202447 74 229 283 290 409 484 524 590 769 753 870 955 994 992 963 1047 1093 1100 1232 1395 791

Публичен достъп

Преглед на всички

17 статии

0 статии

налични

неналични

Въз основа на изисквания при финансирането

Съавтори

Asger LundePartner, Copenhagen EconomicsПотвърден имейл адрес: copenhageneconomics.com
Neil ShephardFrank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard UniversityПотвърден имейл адрес: fas.harvard.edu
Zhuo HuangDeputy Dean and Associate Professor, National School of Development, PKUПотвърден имейл адрес: nsd.pku.edu.cn
Allan TimmermannProfessor of Finance and Economics, UCSDПотвърден имейл адрес: ucsd.edu
Ilya ArchakovYork UniversityПотвърден имейл адрес: univie.ac.at
Matthias SchmidtblaicherQuantCo, Inc.Потвърден имейл адрес: quantco.com
Chen TongAssistent Professor in Finance, Xiamen UniversityПотвърден имейл адрес: xmu.edu.cn
Noel T. BrewerGillings Distinguished Professor in Public Health, University of North CarolinaПотвърден имейл адрес: unc.edu
Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamПотвърден имейл адрес: vu.nl
Allan ZebedeeClarkson UniversityПотвърден имейл адрес: clarkson.edu
Eric BentzenCopenhagen Business SchoolПотвърден имейл адрес: cbs.dk
Paolo GorgiVrije Universiteit AmsterdamПотвърден имейл адрес: vu.nl
Tianyi WangAssociate Professor, University of International Business and EconomicsПотвърден имейл адрес: uibe.edu.cn
Peter Birch SørensenProfessor i økonomiПотвърден имейл адрес: econ.ku.dk
Mette EjrnæsProfessor, Department of Economics, University of CopenhagenПотвърден имейл адрес: econ.ku.dk
Mette GørtzUniversity of CopenhagenПотвърден имейл адрес: econ.ku.dk
Elena DumitrescuUniversity of Paris NanterreПотвърден имейл адрес: parisnanterre.fr
Jim NasonCentre for Applied Macroeconomic Analysis and Virginia Center for Economic Policy
Marius MateiUniversitatea de Medicina si Farmacie Tirgu Mures, RomaniaПотвърден имейл адрес: umftgm.ro

Следене

Peter Hansen

Henry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & Visiting

Потвърден имейл адрес: unc.edu - Начална страница

Econometrics Financial Econometrics Time-Series Analysis Applied Econometrics


Заглавие Сортиране по цитати Сортиране по година Сортиране по заглавие	Позовавания Позовавания	Година
A forecast comparison of volatility models: does anything beat a GARCH (1,1)? PR Hansen, A Lunde Journal of Applied Econometrics 20 (7), 873-889, 2005	2564	2005
The model confidence set PR Hansen, A Lunde, JM Nason Econometrica 79 (2), 453-497, 2011	2326	2011
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard Econometrica 76 (6), 1481-1536, 2008	1738	2008
Realized variance and market microstructure noise PR Hansen, A Lunde Journal of Business and Economic Statistics 24 (2), 127-161, 2006	1575	2006
A test for superior predictive ability PR Hansen Journal of Business & Economic Statistics 23 (4), 365-380, 2005	1542	2005
Realized kernels in practice: Trades and quotes OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard The Econometrics Journal 12 (3), C1-C32, 2009	855	2009
Realized GARCH: a joint model for returns and realized measures of volatility PR Hansen, Z Huang, HH Shek Journal of Applied Econometrics, 2011	808	2011
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics, 2011	755	2011
Consistent ranking of volatility models PR Hansen, A Lunde Journal of Econometrics 131 (1-2), 97-121, 2006	483	2006
A realized variance for the whole day based on intermittent high-frequency data PR Hansen, A Lunde Journal of Financial Econometrics 3 (4), 525-554, 2005	378	2005
Choosing the best volatility models: the model confidence set approach PR Hansen, A Lunde, JM Nason Oxford Bulletin of Economics and Statistics 65, 839-861, 2003	260	2003
Structural changes in the cointegrated vector autoregressive model PR Hansen Journal of Econometrics 114 (2), 261-295, 2003	260	2003
Exponential GARCH modeling with realized measures of volatility PR Hansen, Z Huang Journal of Business & Economic Statistics 34 (2), 269-287, 2016	223	2016
Choice of Sample Split in Out-of-Sample Forecast Evaluation PR Hansen, A Timmermann Manuscript, Stanford University and University or California-San Diego, 2011	215	2011
Realized beta GARCH: A multivariate GARCH model with realized measures of volatility PR Hansen, A Lunde, V Voev Journal of Applied Econometrics 29 (5), 774-799, 2014	190*	2014
Subsampling realised kernels OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 160 (1), 204-219, 2011	161	2011
Testing the significance of calendar effects PR Hansen, A Lunde, JM Nason, Federal Reserve Bank of Atlanta federal reserve bank of atlanta, 2005	143	2005
Workbook on cointegration PR Hansen, S Johansen Oxford University Press, USA, 1998	131	1998
Moving average-based estimators of integrated variance PR Hansen, J Large, A Lunde Econometric Reviews 27 (1-3), 79-111, 2008	114	2008
Estimating the persistence and the autocorrelation function of a time series that is measured with error PR Hansen, A Lunde Econometric Theory 30 (1), 60-93, 2014	112	2014

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