Recently Uploaded Papers

  • A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices Abstract: We obtain a canonical representation for block matrices. The representation facilitates simple computation of the determinant, the matrix inverse, and other powers of a block matrix, as well as ...
    Posted Jul 29, 2020, 6:38 AM by Peter Hansen
  • Option Pricing with Time-Varying Volatility Risk Aversion Abstract: We introduce a novel pricing kernel with time-varying variance risk aversion, that can reproduce the different shapes of the pricing kernel that are seen empirically. When combined with ...
    Posted Jul 29, 2020, 5:58 AM by Peter Hansen
  • A Multivariate Realized GARCH Model Abstract: We propose a novel class of multivariate Realized GARCH models that utilize realized measures of volatility and correlations. The key property of the model is a convenient parametrization of ...
    Posted Nov 9, 2019, 3:20 AM by Peter Hansen
  • A New Parametrization of Correlation Matrices Abstract: We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness is an innate property ...
    Posted Jun 3, 2020, 6:56 PM by Peter Hansen
  • Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach Abstract: We study financial volatility during the Global Financial Crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high ...
    Posted May 8, 2018, 7:55 AM by Peter Hansen
  • A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program Abstract: Increased vaccine hesitancy presents challenges to public health and undermines efforts to eradicate diseases such as measles, rubella, and polio. The decline is partly attributed to misconceptions that are ...
    Posted Apr 19, 2019, 4:50 PM by Peter Hansen
Showing posts 1 - 6 of 44. View more »



Presentations

DateVenueLocations
March 12, 2020 Singapore Management University Singapore 
March 9, 2020 National University of Singapore Singapore 
November 11, 2019 Workshop on financial econometrics Örebro University, Sweden 
June 17, 2019 Bank of England London, UK 
June 14, 2019 Nuffield College Oxford, UK 
March 29, 2019 INET Cambridge score conference Cambridge, UK 
October 16, 2018 Princeton University Princeton 
October 1, 2018 University of Maryland College Park 
Showing 8 items from page Presentations sorted by Date, edit time. View more »