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Hansen, Peter Reinhard's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
17,378 |
Total
Citations
746 |
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1.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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2,531
(1,866)
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94
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Volatility Models, Forecast Comparison, Realized Variance, Superior Predictive Ability
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2.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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1,987
(2,855)
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149
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Realized variance, realized volatility, integrated variance, market microstructure noise, bias correction, high-frequency data, sampling schemes
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3.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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1,451
(4,952)
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106
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Testing for Superior Predictive Ability, Forecasting, Forecast Evaluation, Multiple Comparisons, Inequality Testing.
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4.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Nason, James M.
Federal Reserve Bank of Philadelphia
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1,255
(6,349)
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8
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Calendar effects, data mining, significance test
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5.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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18 Nov 04
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Last Revised:
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06 Apr 08
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1,200
(6,813)
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87
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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling
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6.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Nason, James M.
Federal Reserve Bank of Philadelphia
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30 Mar 04
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Last Revised:
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23 Mar 10
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1,189
(6,928)
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26
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Model confidence set, forecasting, model selection, multiple comparisons
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7.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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846
(12,078)
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22
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Realized variance, realized volatility, high-frequency data, integrated variance
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8.
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A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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Posted:
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16 Apr 04
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Last Revised:
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29 Jul 10
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714
(15,564)
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46
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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0
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high-frequency data, market microstructure noise, realized variance
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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714
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46
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Realized Variance, High-Frequency Data, Market Microstructure Noise
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9.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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| Posted: |
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02 Jul 08
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Last Revised:
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14 Jul 10
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688
(16,389)
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22
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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance
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10.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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672
(16,966)
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26
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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation
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11.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Nason, James M.
Federal Reserve Bank of Philadelphia
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572
(21,292)
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18
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Forecasting, Model Selection, Multiple Comparisons, Data Mining
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12.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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564
(21,704)
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36
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Consistent Ranking, Model Comparison, Volatility Models.
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13.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Huang, Zhuo
Stanford University Shek, Howard Howan Stephen
Stanford University
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10 Jan 10
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Last Revised:
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01 Nov 10
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531
(23,526)
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10
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High Frequency Data, Realized Variance, Leverage Effect
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14.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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495
(25,790)
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Reduced Rank Regression, Generalized Reduced Rank Regression, Panel-Cointegration, Cointegration
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15.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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449
(29,345)
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6
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Cointegration, Granger Representation, I(1), Impulse Response Analysis
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16.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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374
(36,988)
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34
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Realized Variance, Market Microstructure Noise, Pre-processing of High-Frequency data, outliers, sampling schemes
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17.
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Reduced-Rank Regression: A Useful Determinant Identity
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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Posted:
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15 Sep 02
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Last Revised:
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19 Jun 08
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346
(40,673)
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1
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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21
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1
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Determinant Identity, Reduced Rank Regression, Least Squares
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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| Posted: |
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15 Sep 02
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Last Revised:
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11 Mar 08
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325
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1
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Determinant Identity, Reduced Rank Regression, Least Squares
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18.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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329
(43,224)
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9
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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling
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19.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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315
(45,487)
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15
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Composite hypothesis, similar test, unbiased test, multiple comparisons
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20.
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Moving Average-Based Estimators of Integrated Variance
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Large, Jeremy H.
University of Oxford - Department of Economics Lunde, Asger
CREATES
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Posted:
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05 Jun 06
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Last Revised:
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10 Aug 08
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293
(49,485)
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10
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Large, Jeremy H.
University of Oxford - Department of Economics Lunde, Asger
CREATES
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0
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Bias correction, High-frequency data, Integrated variance, Moving average, Realized variance, Realized volatility
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Large, Jeremy H.
University of Oxford - Department of Economics Lunde, Asger
CREATES
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293
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10
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Integrated Variance, Realized Variance, Realized Volatility, Moving Average, Bias Correction
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21.
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Bentzen, Eric
Copenhagen Business School Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Zebedee, Allan A.
Clarkson University
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250
(59,204)
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5
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Monetary Policy, Exchange Traded Funds, Realized Variance, High-Frequency Data
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22.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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177
(84,066)
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8
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Persistence, Autocorrelation Function, Measurement Error, Instrumental Variables, Realized Variance, Realized Kernel, Volatility
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23.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Horel, Guillaume
Stanford University - Department of Statistics
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| Posted: |
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24 Mar 09
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Last Revised:
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05 Aug 09
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135
(107,162)
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2
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Markov chain, Filtering Contaminated Semimartingale, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data
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24.
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Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
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15
(292,765)
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6
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25.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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HAC estimator, Long run variance estimator, Market frictions, Quadratic
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26.
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Zebedee, Allan A.
Clarkson University Bentzen, Eric
Copenhagen Business School Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES
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Monetary policy, Exchange traded funds, High-frequency data
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