Следене
Peter Hansen
Peter Hansen
Henry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & Visiting
Потвърден имейл адрес: unc.edu - Начална страница
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
22922005
The model confidence set
PR Hansen, A Lunde, JM Nason
Econometrica 79 (2), 453-497, 2011
18102011
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
16152008
Realized variance and market microstructure noise
PR Hansen, A Lunde
Journal of Business and Economic Statistics 24 (2), 127-161, 2006
14902006
A test for superior predictive ability
PR Hansen
Journal of Business & Economic Statistics 23 (4), 365-380, 2005
14402005
Realized kernels in practice: Trades and quotes
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard
The Econometrics Journal 12 (3), C1-C32, 2009
7662009
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
7062011
Realized GARCH: a joint model for returns and realized measures of volatility
PR Hansen, Z Huang, HH Shek
Journal of Applied Econometrics, 2011
6872011
Consistent ranking of volatility models
PR Hansen, A Lunde
Journal of Econometrics 131 (1-2), 97-121, 2006
4552006
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
3532005
Structural changes in the cointegrated vector autoregressive model
PR Hansen
Journal of Econometrics 114 (2), 261-295, 2003
2452003
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
2232003
Choice of Sample Split in Out-of-Sample Forecast Evaluation
PR Hansen, A Timmermann
Manuscript, Stanford University and University or California-San Diego, 2011
1952011
Exponential GARCH modeling with realized measures of volatility
PR Hansen, Z Huang
Journal of Business & Economic Statistics 34 (2), 269-287, 2016
1712016
Subsampling realised kernels
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard
Journal of Econometrics 160 (1), 204-219, 2011
1592011
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
1412005
Workbook on cointegration
PR Hansen, S Johansen
Oxford University Press, USA, 1998
1321998
Moving average-based estimators of integrated variance
PR Hansen, J Large, A Lunde
Econometric Reviews 27 (1-3), 79-111, 2008
1072008
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
Системата не може да изпълни операцията сега. Опитайте отново по-късно.
Статии 1–20