Recently Uploaded Papers

  • Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach. Forthcoming in Journal of Futures Markets. Abstract:   We derive a pricing formula for European options for the Realized GARCH framework. The formula is based on an analytical approximation using an ...
    Posted Sep 19, 2016, 6:10 AM by Peter Hansen
  • Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model with Paweł Janus and Siem Jan Koopman.We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint ...
    Posted Sep 1, 2016, 6:34 PM by Peter Hansen
  • Parameter Estimation with Out-of-Sample Objective We study parameter estimation from the sample X, when the objective is to maximize the expected value of a criterion function, Q, for a distinct sample, Y. This is the ...
    Posted Apr 26, 2016, 6:17 AM by Peter Hansen
  • A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. In The fascination of Probability, Statistics and Their Applications -- In honour of Ole E. Barndorff-Nielsen on his 80th birthday", Springer, with G. Horel & A. Lunde & I. ArchakovAbstract:  We ...
    Posted Sep 1, 2016, 6:36 PM by Peter Hansen
  • A Martingale Decomposition of Discrete Markov Chains Economics Letters  Vol. 133 pp. 14-18 (2015)Abstract: We consider a multivariate time series whose increments are given from a homogeneous Markov chain. We show that the martingale component ...
    Posted Oct 21, 2015, 3:44 AM by Peter Hansen
  • Discussion of “Comparing Predictive Accuracy, Twenty Years Later ”by Francis X. Diebold Journal of Business & Economic Statistics  Vol. 33 pp. 17-21 (2015) with A. Timmermann.Abstract: What role, if any, should out-of-sample predictability tests play in economic analysis? We ...
    Posted May 29, 2015, 5:26 AM by Peter Hansen
Showing posts 1 - 6 of 37. View more »



Presentations

DateVenueLocations
June 25, 2017 4th International Association of Applied Econometrics Sapporo, Japan 
June 17, 2017 2017 North American Summer Meetings of the Econometric Society St. Louis 
May 25, 2017 University of Chicago - Booth Chicago 
March 10, 2017 Vienna-Copenhagen Conference Vienna 
December 16, 2016 EC2 Conference on Big Data Toulouse, France 
December 2, 2016 Triangle Econometrics Conference Duke University 
November 19, 2016 QRFE Finance/Econometrics workshop Durham, UK 
September 16, 2016 New Developments in Measuring and Forecasting Financial Volatility Duke/UNC 
Showing 8 items from page Presentations sorted by Date, edit time. View more »

News and Recent Publications

TitleWhere
Exponential GARCH Modeling with Realized Measures of Volatility Journal of Business & Economic Statistics. Vol. 34, pp. 269-287 (2016) 
The World's Most Influential Scientific Minds: 2015 Thomson Reuters 2015 Highly Cited Researchers 
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics Econometrica. Vol. 83, pp. 2485-2505 (2015) 
A Martingale Decomposition of Discrete Markov Chains Economics Letters. Vol. 133, pp. 14-18 (2015) 
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. In “The fascination of Probability, Statistics and Their Applications: In honour of Ole E. Barndorff-Nielsen on his 80th birthday". Springer (2015). 
Discussion of “Comparing Predictive Accuracy, Twenty Years Later ”by Francis X. Diebold Journal of Business & Economic Statistics Vol. 33 pp. 17-­‐21 (2015) 
Richard Stone Prize in Applied Econometrics Journal of Applied Econometrics 
Showing 7 items from page News and Recent Publications sorted by Date. View more »