Recently Uploaded Papers

  • A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program Abstract:   Increased vaccine hesitancy presents challenges to public health and undermines efforts to eradicate diseases such as measles, rubella, and polio. The decline is partly attributed to misconceptions that are ...
    Posted Jan 26, 2018, 2:04 PM by Peter Hansen
  • 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
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March 4, 2018 Koshi International Seminar Koshi, Japan 
March 1, 2018 Kagawa International Symposium Kagawa University, Japan 
February 26, 2018 Waseda International Symposium Waseda University, Tokyo 
December 18, 2017 European University Institute Florence, Italy 
December 15, 2017 EC2 Conference Amsterdam 
October 9, 2017 Third International Workshop in Financial Econometrics Porto Seguro, Brazil 
October 6, 2017 Trends in Econometrics: Big Data, Machine Learning and Financial Econometrics Rio de Janeiro, Brazil 
September 26, 2017 University of Konstanz Konstanz, Germany 
Showing 8 items from page Presentations sorted by Date, edit time. View more »

News and Recent Publications

2017 Highly Cited Researchers The 2017 list of Highly Cited Researchers by Clarivate (previously Thomson Reuters)  
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) 
Showing 7 items from page News and Recent Publications sorted by Date. View more »