Recently Uploaded Papers

  • Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program” Abstract:   We study the effect that an increased tick size has on volatility, volume, and other measures of market quality. Our data are based on a randomized sample of around ...
    Posted Apr 26, 2017, 3:16 PM by Peter Hansen
  • Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach. Journal of Futures Markets Vol. 37 pp. 328–358 (2017) with Z. Huang and T. Wang.Abstract:   We derive a pricing formula for European options for the Realized GARCH framework ...
    Posted Mar 3, 2017, 7:13 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
Showing posts 1 - 6 of 38. 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 
May 19, 2017 Macro Finance Workshop Federal Reserve Bank of Chicago 
April 14, 2017 Applied Time Series Workshop Federal Reserve Bank of St. Louis 
April 12, 2017 University of North Carolina Chapel Hill 
March 10, 2017 Vienna-Copenhagen Conference Vienna 
December 16, 2016 EC2 Conference on Big Data Toulouse, France 
Showing 8 items from page Presentations sorted by Date, edit time. View more »

News and Recent Publications

TitleWhere
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach. Journal of Futures Markets Vol. 37 pp. 328–358 (2017) 
The World's Most Influential Scientific Minds: 2016 Thomson Reuters 2016 Highly Cited Researchers 
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). 
Showing 7 items from page News and Recent Publications sorted by Date. View more »