Peter Hansen

Получаване на мой собствен потребителски профил

Позовавания

	Всички	От 2018
Позовавания	14277	5853
h-индекс	32	26
i10-индекс	43	33

1500

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1125

20032004200520062007200820092010201120122013201420152016201720182019202020212022202368 73 223 273 302 418 483 530 597 735 730 856 949 982 984 946 1041 1145 1178 1410 131

Публичен достъп

Преглед на всички

12 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 HuangAssistant 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
Matthias SchmidtblaicherQuantCo, Inc.Потвърден имейл адрес: quantco.com
Noel T. BrewerProfessor of Health Behavior, University of North CarolinaПотвърден имейл адрес: unc.edu
Søren JohansenProfessor of Econometrics, University of CopenhagenПотвърден имейл адрес: econ.ku.dk
Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamПотвърден имейл адрес: vu.nl
Allan ZebedeeClarkson UniversityПотвърден имейл адрес: clarkson.edu
Tianyi WangAssociate Professor, University of International Business and EconomicsПотвърден имейл адрес: uibe.edu.cn
Paolo GorgiVrije Universiteit AmsterdamПотвърден имейл адрес: vu.nl
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	2292	2005
The model confidence set PR Hansen, A Lunde, JM Nason Econometrica 79 (2), 453-497, 2011	1810	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	1615	2008
Realized variance and market microstructure noise PR Hansen, A Lunde Journal of Business and Economic Statistics 24 (2), 127-161, 2006	1490	2006
A test for superior predictive ability PR Hansen Journal of Business & Economic Statistics 23 (4), 365-380, 2005	1440	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	766	2009
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	706	2011
Realized GARCH: a joint model for returns and realized measures of volatility PR Hansen, Z Huang, HH Shek Journal of Applied Econometrics, 2011	687	2011
Consistent ranking of volatility models PR Hansen, A Lunde Journal of Econometrics 131 (1-2), 97-121, 2006	455	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	353	2005
Structural changes in the cointegrated vector autoregressive model PR Hansen Journal of Econometrics 114 (2), 261-295, 2003	245	2003
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	223	2003
Choice of Sample Split in Out-of-Sample Forecast Evaluation PR Hansen, A Timmermann Manuscript, Stanford University and University or California-San Diego, 2011	195	2011
Exponential GARCH modeling with realized measures of volatility PR Hansen, Z Huang Journal of Business & Economic Statistics 34 (2), 269-287, 2016	171	2016
Subsampling realised kernels OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 160 (1), 204-219, 2011	159	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	156*	2014
Testing the significance of calendar effects PR Hansen, A Lunde, JM Nason, Federal Reserve Bank of Atlanta federal reserve bank of atlanta, 2005	141	2005
Workbook on cointegration PR Hansen, S Johansen Oxford University Press, USA, 1998	132	1998
Moving average-based estimators of integrated variance PR Hansen, J Large, A Lunde Econometric Reviews 27 (1-3), 79-111, 2008	107	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	96*	2014

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