Recently Uploaded Papers

  • Do not pause vaccinating Letter to: political leaders and medical regulatory agencies worldwideFrom: Peter Reinhard Hansen and David Knudsen LevineApril 21, 2021
    Posted May 3, 2021, 9:01 AM by Peter Hansen
  • Relative Contagiousness of Emerging Virus Variants: An Analysis of SARS-CoV-2 Alpha and Delta Variants We propose a simple dynamic model for estimating the relative contagiousness of two virus variants. Maximum likelihood estimation and inference is conveniently invariant to variation in the total number of ...
    Posted Aug 18, 2021, 12:47 PM by Peter Hansen
  • 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
Showing posts 1 - 6 of 46. View more »



Presentations

DateVenueLocations
September 28, 2020 University of Pennsylvania remote 
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 
Showing 8 items from page Presentations sorted by Date, edit time. View more »