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Peter Hansen
Peter Hansen
Henry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & Visiting
Verified email at unc.edu - Homepage
Title
Cited by
Cited by
Year
A forecast comparison of volatility models: does anything beat a GARCH (1,1)?
PR Hansen, A Lunde
Journal of Applied Econometrics 20 (7), 873-889, 2005
25462005
The model confidence set
PR Hansen, A Lunde, JM Nason
Econometrica 79 (2), 453-497, 2011
22882011
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard
Econometrica 76 (6), 1481-1536, 2008
17362008
Realized variance and market microstructure noise
PR Hansen, A Lunde
Journal of Business and Economic Statistics 24 (2), 127-161, 2006
15802006
A test for superior predictive ability
PR Hansen
Journal of Business & Economic Statistics 23 (4), 365-380, 2005
15542005
Realized kernels in practice: Trades and quotes
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard
The Econometrics Journal 12 (3), C1-C32, 2009
8512009
Realized GARCH: a joint model for returns and realized measures of volatility
PR Hansen, Z Huang, HH Shek
Journal of Applied Econometrics, 2011
7922011
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard
Journal of Econometrics, 2011
7602011
Consistent ranking of volatility models
PR Hansen, A Lunde
Journal of Econometrics 131 (1-2), 97-121, 2006
4872006
A realized variance for the whole day based on intermittent high-frequency data
PR Hansen, A Lunde
Journal of Financial Econometrics 3 (4), 525-554, 2005
3762005
Structural changes in the cointegrated vector autoregressive model
PR Hansen
Journal of Econometrics 114 (2), 261-295, 2003
2572003
Choosing the best volatility models: the model confidence set approach
PR Hansen, A Lunde, JM Nason
Oxford Bulletin of Economics and Statistics 65, 839-861, 2003
2542003
Choice of Sample Split in Out-of-Sample Forecast Evaluation
PR Hansen, A Timmermann
Manuscript, Stanford University and University or California-San Diego, 2011
2172011
Exponential GARCH modeling with realized measures of volatility
PR Hansen, Z Huang
Journal of Business & Economic Statistics 34 (2), 269-287, 2016
2162016
Realized beta GARCH: A multivariate GARCH model with realized measures of volatility
PR Hansen, A Lunde, V Voev
Journal of Applied Econometrics 29 (5), 774-799, 2014
189*2014
Subsampling realised kernels
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard
Journal of Econometrics 160 (1), 204-219, 2011
1632011
Testing the significance of calendar effects
PR Hansen, A Lunde, JM Nason, Federal Reserve Bank of Atlanta
federal reserve bank of atlanta, 2005
1452005
Workbook on cointegration
PR Hansen, S Johansen
Oxford University Press, USA, 1998
1301998
Moving average-based estimators of integrated variance
PR Hansen, J Large, A Lunde
Econometric Reviews 27 (1-3), 79-111, 2008
1172008
Estimating the persistence and the autocorrelation function of a time series that is measured with error
PR Hansen, A Lunde
Econometric Theory 30 (1), 60-93, 2014
1122014
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