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

DOWNLOADS
Rank 1,288

SSRN RANKINGS

Top 1,288

in Total Papers Downloads

22,355

SSRN CITATIONS
Rank 1,141

SSRN RANKINGS

Top 1,141

in Total Papers Citations

453

CROSSREF CITATIONS

438

Scholarly Papers (34)

Actions:
Email selected abstracts
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 2,891 (4,110)
Citation 68

Abstract:

Loading...

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 2,201 (6,459)
Citation 100

Abstract:

Loading...

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 2,151 (6,713)
Citation 25

Abstract:

Loading...

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 1,819 (8,940)
Citation 55

Abstract:

Loading...

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 1,568 (11,363)
Citation 51

Abstract:

Loading...

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 1,511 (12,028)
Citation 182

Abstract:

Loading...

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 940 (24,729)
Citation 34

Abstract:

Loading...

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 916 (25,685)
Citation 113

Abstract:

Loading...

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 904 ( 26,209)

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 904 (25,784)
Citation 47

Abstract:

Loading...

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

Abstract:

Loading...

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 892 (26,686)
Citation 27

Abstract:

Loading...

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 864 (27,922)
Citation 28

Abstract:

Loading...

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 729 (35,401)
Citation 28

Abstract:

Loading...

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 665 (39,969)
Citation 64

Abstract:

Loading...

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 544 (51,955)
Citation 2

Abstract:

Loading...

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 495 (58,639)

Abstract:

Loading...

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

16.

Moving Average-Based Estimators of Integrated Variance

Downloads 407 ( 74,417)
Citation 9

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 407 (73,734)
Citation 9

Abstract:

Loading...

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

Abstract:

Loading...

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

17.

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 391 (77,874)
Citation 25

Abstract:

Loading...

Composite hypothesis, similar test, unbiased test, multiple comparisons

18.

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 386 (79,030)
Citation 3

Abstract:

Loading...

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

19.

Reduced-Rank Regression: A Useful Determinant Identity

Downloads 382 ( 79,984)

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 346 (89,094)

Abstract:

Loading...

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 36 (468,265)

Abstract:

Loading...

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 366 (84,162)
Citation 15

Abstract:

Loading...

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 302 (104,277)
Citation 5

Abstract:

Loading...

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 291 (108,620)
Citation 18

Abstract:

Loading...

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

23.

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 215 (147,570)
Citation 3

Abstract:

Loading...

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

24.

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 180 (173,908)
Citation 19

Abstract:

Loading...

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

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 101 (273,608)
Citation 2

Abstract:

Loading...

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 68 (347,459)
Citation 1

Abstract:

Loading...

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 63 (361,534)

Abstract:

Loading...

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 47 (413,785)
Citation 11

Abstract:

Loading...

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 29 (490,494)
Citation 3

Abstract:

Loading...

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 21 (535,920)

Abstract:

Loading...

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 (572,726)
Citation 8
  • Add to Cart

Abstract:

Loading...

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 (675,705)
Citation 12
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

Monetary policy, Exchange traded funds, High-frequency data