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
May 13, 2016 1986 GARCH paper celebration Toulouse 
April 30, 2016 Ademu: Macroeconomic and Financial.... Prague 
December 3, 2015 7th French Econometric Conference Orleans, France 
October 29, 2015 Erasmus School of Economics Rotterdam 
October 28, 2015 Econometrics and Statistics seminar Tilburg University 
October 13, 2015 2nd International Workshop in Financial Econometrics Salvador, Brazil 
October 8, 2015 Pontifical Catholic University Rio de Janeiro 
October 5, 2015 Bank of Italy Rome, Italy 
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. Forthcoming 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 »