Recently Uploaded Papers

Parameter Estimation with OutofSample 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.
Forthcoming in The fascination of Probability, Statistics and Their Applications  In honour of Ole E. BarndorffNielsen on his 80th birthday", Springer, with G. Horel & A. Lunde & I. ArchakovAbstract ...
Posted Oct 21, 2015, 4:00 AM by Peter Hansen

A Martingale Decomposition of Discrete Markov Chains
Economics Letters Vol. 133 pp. 1418 (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. 1721 (2015) with A. Timmermann.Abstract: What role, if any, should outofsample predictability tests play in economic analysis? We ...
Posted May 29, 2015, 5:26 AM by Peter Hansen

A Winners Curse for Econometric Models: On the Joint Distribution of InSample Fit and OutofSample 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

Forecasting Volatility using High Frequency Data (2011)
In Oxford Handbook on
Economic Forecasting, Chapter 19, pp 525556, (2011) with A. Lunde.
Posted May 29, 2015, 5:41 AM by Peter Hansen

Presentations
Date  Venue  Locations 
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 
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