Recently Uploaded Papers

  • A New Parametrization of Correlation Matrices Abstract: For the modeling of covariance matrices, the literature has proposed a variety of methods to enforce the positive (semi) definiteness. In this paper, we propose a method that is ...
    Posted Nov 20, 2018, 11:33 AM by Peter Hansen
  • Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach Abstract: We study financial volatility during the Global Financial Crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high ...
    Posted May 8, 2018, 7:55 AM by Peter Hansen
  • 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 Apr 19, 2019, 4:50 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 Journal of Financial Econometrics Vol. 17 pp. 1-32 (2019) with Paolo Gorgi, Paweł Janus and Siem Jan Koopman.We propose a novel multivariate GARCH model that incorporates realized measures ...
    Posted Mar 18, 2019, 9:34 AM by Peter Hansen
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March 29, 2019 INET Cambridge score conference Cambridge, UK 
October 16, 2018 Princeton University Princeton 
October 1, 2018 University of Maryland College Park 
September 9, 2018 Tim Bollerslev’s 60th Birthday Conference San Diego 
June 22, 2018 Southwestern University of Finance and Economics Chengdu, China 
June 19, 2018 CCER Summer Institute Yantai, China 
April 20, 2018 4th Financial Econometrics and Risk Management conference Toronto 
April 6, 2018 Michigan State University Lansing, MI 
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 »