Peter Reinhard Hansen

University of North Carolina (UNC) at Chapel Hill - Department of Economics

Latané Distinguished Professor in Economics

Chapel Hill, NC 27599

United States

http://https://sites.google.com/site/peterreinhardhansen/

Copenhagen Business School, Finance

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

Aarhus University - CREATES

International Fellow

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

  • University of North Carolina (UNC) at Chapel Hill - Department of Economics

  • Copenhagen Business School, Finance

  • Aarhus University - CREATES

SCHOLARLY PAPERS

34

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794

Scholarly Papers (34)

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1.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,867 (3,890)
Citation 37

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Volatility Models, Forecast Comparison, Realized Variance, Superior Predictive Ability

2.

Realized Variance and Market Microstructure Noise

Number of pages: 58 Posted: 26 Feb 2004
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,191 (6,105)
Citation 15

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Realized variance, realized volatility, integrated variance, market microstructure noise, bias correction, high-frequency data, sampling schemes

3.

Testing the Significance of Calendar Effects

Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30 Posted: 26 May 2003
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 2,066 (6,750)
Citation 17

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Calendar effects, data mining, significance test

4.

A Test for Superior Predictive Ability

Brown Univ. Dept. of Economics Working Paper No. 01-06
Number of pages: 43 Posted: 01 Mar 2004
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,800 (8,562)
Citation 18

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Testing for Superior Predictive Ability, Forecasting, Forecast Evaluation, Multiple Comparisons, Inequality Testing.

5.

The Model Confidence Set

Number of pages: 41 Posted: 30 Mar 2004 Last Revised: 07 Jul 2014
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 1,543 (10,993)
Citation 37

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Model confidence set, forecasting, model selection, multiple comparisons

6.

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Number of pages: 46 Posted: 18 Nov 2004 Last Revised: 06 Apr 2008
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 1,487 (11,646)
Citation 114

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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling

7.

An Unbiased Measure of Realized Variance

Number of pages: 27 Posted: 05 Apr 2004
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 933 (23,749)
Citation 26

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Realized variance, realized volatility, high-frequency data, integrated variance

8.

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Number of pages: 53 Posted: 02 Jul 2008 Last Revised: 14 Jul 2010
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 905 (24,879)
Citation 97

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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance

9.

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Downloads 896 ( 25,234)

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Number of pages: 29 Posted: 16 Apr 2004
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 896 (24,813)
Citation 12

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Realized Variance, High-Frequency Data, Market Microstructure Noise

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 525-554, Winter 2005
Posted: 29 Feb 2008
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management

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high-frequency data, market microstructure noise, realized variance

10.

Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility

Number of pages: 31 Posted: 10 Jan 2010 Last Revised: 16 Apr 2014
Peter Reinhard Hansen, Zhuo Huang and Howard Howan Stephen Shek
University of North Carolina (UNC) at Chapel Hill - Department of Economics, National School of Development, Peking University and Stanford University
Downloads 881 (25,825)
Citation 18

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High Frequency Data, Realized Variance, Leverage Effect

11.

Realised Kernels in Practice: Trades and Quotes

Number of pages: 32 Posted: 28 May 2008
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 855 (26,919)
Citation 27

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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation

12.

Consistent Ranking of Volatility Models

Brown University, Economics Working Paper No. 2003-01
Number of pages: 30 Posted: 04 May 2003
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 719 (34,199)
Citation 7

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Consistent Ranking, Model Comparison, Volatility Models.

13.

Choosing the Best Volatility Models: The Model Confidence Set Approach

Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28
Number of pages: 26 Posted: 22 May 2003
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 660 (38,347)
Citation 6

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Forecasting, Model Selection, Multiple Comparisons, Data Mining

14.

Generalized Reduced Rank Regression

Brown University, Economics Working Paper No. 02-02
Number of pages: 24 Posted: 22 Mar 2002
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 538 (50,120)
Citation 2

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Reduced Rank Regression, Generalized Reduced Rank Regression, Panel-Cointegration, Cointegration

15.

Granger's Representation Theorem: A Closed-Form Expression for I(1) Processes

UCSD Department of Economics Discussion Paper No. 2000-17
Number of pages: 21 Posted: 01 Dec 2000
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 492 (56,124)

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Cointegration, Granger Representation, I(1), Impulse Response Analysis

16.

Moving Average-Based Estimators of Integrated Variance

Downloads 398 ( 72,732)
Citation 3

Moving Average-Based Estimators of Integrated Variance

Number of pages: 32 Posted: 05 Jun 2006
Peter Reinhard Hansen, Jeremy H. Large and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and Aarhus University - School of Economics and Management
Downloads 398 (72,050)
Citation 3

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Integrated Variance, Realized Variance, Realized Volatility, Moving Average, Bias Correction

Moving Average-Based Estimators of Integrated Variance

Econometric Reviews, Vol. 27, No. 1-3, pp. 79-111, 2008
Posted: 05 Aug 2008
Peter Reinhard Hansen, Jeremy H. Large and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and Aarhus University - School of Economics and Management

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Bias correction, High-frequency data, Integrated variance, Moving average, Realized variance, Realized volatility

17.

Rejoinder (to Comments on Realized Variance and Market Microstructure Noise)

Number of pages: 23 Posted: 03 Jan 2006
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 383 (76,016)
Citation 2

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Realized Variance, Market Microstructure Noise, Pre-processing of High-Frequency data, outliers, sampling schemes

18.

Asymptotic Tests of Composite Hypotheses

Brown University Economics Working Paper No. 03-09
Number of pages: 30 Posted: 22 May 2003
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 383 (76,016)
Citation 21

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Composite hypothesis, similar test, unbiased test, multiple comparisons

19.

Reduced-Rank Regression: A Useful Determinant Identity

Downloads 373 ( 78,367)

Reduced-Rank Regression: A Useful Determinant Identity

Number of pages: 17 Posted: 15 Sep 2002 Last Revised: 11 Mar 2008
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 343 (85,781)

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Determinant Identity, Reduced Rank Regression, Least Squares

Reduced-Rank Regression: A Useful Determinant Identity

CREATES Research Paper 2008-2
Number of pages: 15 Posted: 19 Jun 2008
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 30 (476,938)

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Determinant Identity, Reduced Rank Regression, Least Squares

20.

Subsampling Realised Kernels

Number of pages: 30 Posted: 30 Aug 2006
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 364 (80,683)
Citation 14

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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling

21.

The Greenspan Effect on Equity Markets: An Intraday Examination of U.S. Monetary Policy Announcements

Number of pages: 36 Posted: 26 Oct 2005
Eric Bentzen, Peter Reinhard Hansen, Asger Lunde and Allan A. Zebedee
Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Clarkson University
Downloads 297 (101,245)
Citation 4

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Monetary Policy, Exchange Traded Funds, Realized Variance, High-Frequency Data

22.

Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error

CREATES Research Paper No. 2010-8
Number of pages: 38 Posted: 10 Feb 2010
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 280 (107,853)
Citation 15

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Persistence, Autocorrelation Function, Measurement Error, Instrumental Variables, Realized Variance, Realized Kernel, Volatility

23.

Quadratic Variation by Markov Chains

Univ. of Aarhus Dept. of Economics Research Paper No. 2009-13
Number of pages: 56 Posted: 24 Mar 2009 Last Revised: 05 Aug 2009
Peter Reinhard Hansen and Guillaume Horel
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Stanford University - Department of Statistics
Downloads 175 (170,379)
Citation 17

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Markov chain, Filtering Contaminated Semimartingale, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data

24.

Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model

Tinbergen Institute Discussion Paper 2016-061/III
Number of pages: 36 Posted: 19 Aug 2016
Peter Reinhard Hansen, Pawel Janus and Siem Jan Koopman
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Independent and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 163 (181,123)
Citation 2

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high-frequency data, multivariate GARCH, multivariate volatility, realised covariance, score, Wishart density

25.

A Martingale Decomposition of Discrete Markov Chains

Number of pages: 12 Posted: 28 Apr 2015
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 98 (267,059)
Citation 2

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Markov Chain, Martingale, Beveridge-Nelson Decomposition.

26.

Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach

Number of pages: 35 Posted: 25 May 2018
Denisa Banulescu, Peter Reinhard Hansen, Zhuo Huang and Marius Matei
University of Orleans, University of North Carolina (UNC) at Chapel Hill - Department of Economics, National School of Development, Peking University and University of Tasmania
Downloads 53 (376,208)
Citation 1

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Financial Crisis, Volatility, High Frequency Data, Realized GARCH

27.

Forecasting Volatility Using High Frequency Data

In The Oxford Handbook of Economic Forecasting, 2011, DOI: 10.1093/oxfordhb/9780195398649.013.0020
Number of pages: 37 Posted: 25 May 2018
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 51 (382,715)

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Volatility Forecasting

28.

Exponential GARCH Modeling with Realized Measures of Volatility

Number of pages: 35 Posted: 25 May 2018
Peter Reinhard Hansen and Zhuo Huang
University of North Carolina (UNC) at Chapel Hill - Department of Economics and National School of Development, Peking University
Downloads 24 (495,962)
Citation 6

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EGARCH, High Frequency Data, Realized Variance, Leverage Effect

29.

Parameter Estimation With Out-of-Sample Objective

Number of pages: 53 Posted: 24 May 2018
Peter Reinhard Hansen and Elena-Ivona Dumitrescu
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CEROS, Paris Nanterre University
Downloads 23 (501,442)

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Estimation, Forecasting, Out-of-Sample, LinEx Loss, Multi-Step Forecasting

30.

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Number of pages: 34 Posted: 25 May 2018
Peter Reinhard Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Stanford University - Department of Statistics, Aarhus University - School of Economics and Management and European University Institute
Downloads 20 (518,835)

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Markov chain, Multivariate Volatility, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data

31.

Granger's Representation Theorem: A Closed-Form Expression for /(1) Processes

Econometrics Journal, Vol. 8, No. 1, pp. 23-38, March 2005
Number of pages: 16 Posted: 15 Mar 2005
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 15 (548,013)
Citation 8
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32.

Realized Kernels in Practice: Trades and Quotes

Econometrics Journal, Vol. 12, Issue 3, pp. C1-C32, November 2009
Number of pages: 32 Posted: 01 Dec 2009
O. E. Barndorff-Nielsen, Peter Reinhard Hansen, A. Lunde and N. Shephard
affiliation not provided to SSRN, University of North Carolina (UNC) at Chapel Hill - Department of Economics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 1 (648,295)
Citation 4
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33.

Realized Kernels in Practice: Trades and Quotes

Econometrics Journal, Vol. 21, 2009
Posted: 10 Mar 2010
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University

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HAC estimator, Long run variance estimator, Market frictions, Quadratic

34.

The Greenspan Years: An Analysis of the Magnitude and Speed of the Equity Market Response to FOMC Announcements

Financial Markets and Portfolio Management, Vol. 22, No.1, pp. 3-20, 2008
Posted: 02 Apr 2008
Allan A. Zebedee, Eric Bentzen, Peter Reinhard Hansen and Asger Lunde
Clarkson University, Copenhagen Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management

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Monetary policy, Exchange traded funds, High-frequency data