Peter Reinhard Hansen
Professor of Econometrics
European University Institute

Recently Uploaded Papers

  • A Winner’s Curse for Econometric Models: On the Joint Distribution of In-Sample Fit and Out-of-Sample Fit and its Implications for Model Selection We consider the case where a parameter, θ; is estimated by maximizing a criterion function, Q(X;θ). The estimate, \hatθ = \hatθ(X), is then used to evaluate ...
    Posted Dec 9, 2013, 5:15 AM by Peter Hansen
  • Choice of Sample Split in Out-of-Sample Forecast Evaluation Abstract: Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose ...
    Posted Mar 6, 2012, 6:11 AM by Peter Hansen
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October 28, 2015 Erasmus School of Economics Rotterdam 
October 27, 2015 Econometrics and Statistics seminar Tilburg University 
October 8, 2015 Pontifical Catholic University Rio de Janeiro 
August 18, 2015 11th World Congress of the Econometric Society Montreal 
June 17, 2015 Ole E. Barndorff-Nielsen 80 years Aarhus, Denmark 
June 12, 2015 High Frequency Financial Econometrics Barcelona 
May 12, 2015 University of Montreal Montreal, Canada 
May 9, 2015 Time Series and Financial Econometrics Montreal 
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News and Recent Publications

  • 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, with G. Horel & A. Lunde & I. ArchakovAbstract ...
    Posted Apr 29, 2015, 5:27 AM by Peter Hansen
  • Richard Stone Prize in Applied Econometrics ... awarded to: Professor Peter Reinhard Hansen, Professor Zhuo Huang, and Professor Howard Howan Shek,for their paper “Realized GARCH: A Joint Model for Returns and Realized Measures of Volatility” which ...
    Posted Feb 12, 2015, 7:53 AM by Peter Hansen
  • The World's Most Influential Scientific Minds: 2014 Peter Reinhard Hansen on Thomson Reuters' list of the World’s Most Influential Scientific Minds in 2014. (Presumably for my research that shows how noisy rankings can be).http://thomsonreuters ...
    Posted Oct 31, 2014, 6:47 AM by Peter Hansen
  • A Martingale Decomposition of Discrete Markov Chains Forthcoming in Economics LettersAbstract: We consider a multivariate time series whose increments are given from a homogeneous Markov chain. We show that the martingale component of this process can ...
    Posted Apr 27, 2015, 4:19 AM by Peter Hansen
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