Anne Lundgaard Hansen

Federal Reserve Bank of Richmond - Quantitative Supervision & Research

Financial Economist

United States

http://sites.google.com/view/anneh/

  • Federal Reserve Bank of Richmond - Quantitative Supervision & Research

SCHOLARLY PAPERS

6

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11,511

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Scholarly Papers (6)

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1.

Can ChatGPT Decipher Fedspeak?

Number of pages: 41 Posted: 07 Apr 2023 Last Revised: 06 Aug 2023
Anne Lundgaard Hansen and Sophia Kazinnik
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Quantitative Supervision & Research
Downloads 8,477 (1,231)

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Natural Language Processing (NLP), Generative Pre-training Transformer (GPT), Federal Reserve Communication, Applications, Artificial Intelligence (AI)

2.

Predicting Recessions Using VIX-Yield Curve Cycles

International Journal of Forecasting, Forthcoming
Number of pages: 31 Posted: 18 Nov 2021 Last Revised: 31 May 2023
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 2,615 (8,867)
Citation 1

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Recession predictability, yield curve, VIX

3.

Time-Varying Variance Decomposition of Macro-Finance Term Structure Models

Number of pages: 49 Posted: 18 Nov 2021 Last Revised: 03 Mar 2023
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 142 (337,835)

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Macro-finance term structure model, bond market volatility, multivariate GARCH, variance risk premia

4.

A Joint Model for the Term Structure of Interest Rates and Realized Volatility

Journal of Financial Econometrics
Number of pages: 43 Posted: 18 Nov 2021 Last Revised: 09 Mar 2022
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 115 (395,840)

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Term structure modeling, yield curve covariation, interest-rate risk, real- ized covariation, multivariate GARCH, non-linear Kalman filter

5.

Modeling Persistent Interest Rates with Double-Autoregressive Processes

Downloads 84 (488,601)
Citation 1

Modeling Persistent Interest Rates with Double-Autoregressive Processes

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 18 Nov 2021
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 31 (784,026)
Citation 1

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Yield curve, unit roots, cointegration, persistence problem, volatility- induced stationarity, random coefficient vector autoregression, macro-finance term structure model

Modeling Persistent Interest Rates with Volatility-Induced Stationarity

Number of pages: 38 Posted: 20 Dec 2018 Last Revised: 02 Mar 2019
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 53 (634,281)

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Yield curve, unit root, persistence problem, volatility-induced stationarity, macro-finance term structure model, level-dependent conditional volatility.

6.

Financial Market Inflation Perceptions

Number of pages: 41 Posted: 28 Aug 2023
Anne Lundgaard Hansen and Marius Mihai
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and John Carroll University - Boler School of Business
Downloads 78 (514,200)

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Industry equity returns, inflation, investments, business cycle, policy actions