Peter Reinhard Hansen
Professor of Econometrics
European University Institute

Recently Uploaded Papers

  • A Martingale Decomposition of Discrete Markov Chains Working paperAbstract: 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 be extracted ...
    Posted Nov 21, 2014, 3:45 AM by Peter Hansen
  • Discussion of “Comparing Predictive Accuracy, Twenty Years Later ”by Francis X. Diebold Forthcoming in Journal of Business & Economic Statistics Abstract: What role, if any, should out-of-sample predictability tests play in economic analysis? We argue that such tests can serve a ...
    Posted Jun 16, 2014, 5:12 AM by Peter Hansen
  • 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
  • Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility Forthcoming in Journal of Applied Econometrics. Abstract: We introduce a multivariate GARCH model that incorporates realized measures of variances and covariances. Realized measures extract information about the current levels of ...
    Posted May 29, 2013, 7:08 AM by Peter Hansen
  • Exponential GARCH Modeling with Realized Measures of Volatility Abstract: We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both ...
    Posted Nov 13, 2012, 2:00 AM by Peter Hansen
  • Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics Abstract: We demonstrate the equivalence between commonly used test statistics for out-of-sample forecasting performance and conventional Wald statistics. This equivalence greatly simplifies the computational burden of calculating ...
    Posted Feb 12, 2015, 7:41 AM by Peter Hansen
Showing posts 1 - 6 of 8. View more »



Presentations

DateVenueLocations
May 12, 2015 University of Montreal Montreal, Canada 
January 21, 2015 ICEEE 2015 Salerno, Italy 
December 4, 2014 Advances in Econometrics EUI, Florence 
November 21, 2014 Recent Advances in High-Frequency Statistics Berlin 
October 20, 2014 Penn State University State College, Pennsylvania 
September 25, 2014 Copenhagen Business School Copenhagen 
September 19, 2014 Hamilton Conference Federal Reserve Bank, SF 
September 9, 2014 European University Institute Florence 
Showing 8 items from page Presentations sorted by Date, edit time. View more »

News and Recent Publications

  • 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
  • Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility Journal of Applied Econometrics Vol. 29 pp. 774-799 (2014)  with A. Lunde and V. Voev.Abstract: We introduce a multivariate GARCH model that incorporates realized measures of variances ...
    Posted Nov 7, 2014, 7:34 AM by Peter Hansen
  • Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error Econometric Theory  Vol. 30 pp. 60-93 (2014)  with A. Lunde.Abstract: An economic time series can often be viewed as a noisy proxy for an underlying economic variable. Measurement ...
    Posted Feb 3, 2014, 4:22 AM by Peter Hansen
Showing posts 1 - 4 of 23. View more »