Hansen is known for his research on volatility, forecasting and cointegration, including the "test for superior predictive ability", which can be used to test whether a benchmark forecast is significantly outperformed by competing forecasts, the Model Confidence Set.[1] He has, in collaboration with Ole E. Barndorff-Nielsen, Asger Lunde, and Neil Shephard, developed the realized kernel estimator that can estimate the quadratic variation in an environment with noisy high-frequency data, such as financial tick-by-tick data.[citation needed] He co-authored the book "Workbook on Cointegration" with Søren Johansen.
Selected writingsedit
Hansen, P.R., (2005), "Test for Superior Predictive Ability", Journal of Business and Economic Statistics.
Hansen, P.R., A. Lunde (2006), "Realized Variance and Market Microstructure Noise”, Journal of Business and Economic Statistics. Vol. 24, pp. 127–218. (The 2005 Invited Address with Discussions and Rejoinder).
Hansen, P.R., A. Lunde (2006), "Consistent Ranking of Volatility Models", Journal of Econometrics, Vol. 131, pp. 97–121.
Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2011), "Subsampled realised kernels", Journal of Econometrics, Vol. 160, Issue 1, January 2011, pp. 204–219
Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481–1536.
Referencesedit
^Hansen, Peter Reinhard; Lunde, Asger; Nason, James M (2011). "The Model Confidence Set". Econometrica. 79 (2): 453–497. doi:10.3982/ECTA5771.
External linksedit
Peter R. Hansen at The Department of Economics at UNC Chapel Hill
The Henry A. Latané Distinguished Professorship in Economics
peter, reinhard, hansen, this, article, autobiography, been, extensively, edited, subject, someone, connected, subject, need, editing, conform, wikipedia, neutral, point, view, policy, there, relevant, discussion, talk, page, january, 2011, learn, when, remove. This article is an autobiography or has been extensively edited by the subject or by someone connected to the subject It may need editing to conform to Wikipedia s neutral point of view policy There may be relevant discussion on the talk page January 2011 Learn how and when to remove this message Peter Reinhard Hansen born June 15 1968 is the Henry A Latane Distinguished Professor of Economics at the University of North Carolina at Chapel Hill He has previously taught at Brown University Stanford Graduate School of Business Stanford University and the European University Institute Peter Reinhard HansenBorn 1968 06 15 June 15 1968 age 55 Soro DenmarkNationalityDanishSpouseGridt Vig FindAcademic careerInstitutionUniversity of North CarolinaFieldEconometricsAlma materUniversity of Copenhagen M Sc 1995 UCSD PhD 2000 InfluencesSoren JohansenJames D HamiltonHalbert WhiteRobert EngleInformation at IDEAS RePEc Contents 1 Biography 2 Selected writings 3 References 4 External linksBiography editHansen was born in Soro Denmark where he went to Soro Akademi He studied mathematics and economics at the University of Copenhagen M sc 1995 under the supervision of Soren Johansen and from 1996 he studied economics University of California San Diego Ph D 2000 supervised by James D Hamilton citation needed Hansen is known for his research on volatility forecasting and cointegration including the test for superior predictive ability which can be used to test whether a benchmark forecast is significantly outperformed by competing forecasts the Model Confidence Set 1 He has in collaboration with Ole E Barndorff Nielsen Asger Lunde and Neil Shephard developed the realized kernel estimator that can estimate the quadratic variation in an environment with noisy high frequency data such as financial tick by tick data citation needed He co authored the book Workbook on Cointegration with Soren Johansen Selected writings editHansen P R 2005 Test for Superior Predictive Ability Journal of Business and Economic Statistics Hansen P R A Lunde 2006 Realized Variance and Market Microstructure Noise Journal of Business and Economic Statistics Vol 24 pp 127 218 The 2005 Invited Address with Discussions and Rejoinder Hansen P R A Lunde 2006 Consistent Ranking of Volatility Models Journal of Econometrics Vol 131 pp 97 121 Barndorff Nielsen O E P R Hansen A Lunde N Shephard 2011 Subsampled realised kernels Journal of Econometrics Vol 160 Issue 1 January 2011 pp 204 219 Barndorff Nielsen O E P R Hansen A Lunde N Shephard 2008 Designing realised kernels to measure the ex post variation of equity prices in the presence of noise Econometrica Vol 76 pp 1481 1536 References edit Hansen Peter Reinhard Lunde Asger Nason James M 2011 The Model Confidence Set Econometrica 79 2 453 497 doi 10 3982 ECTA5771 External links editPeter R Hansen at The Department of Economics at UNC Chapel Hill The Henry A Latane Distinguished Professorship in Economics Peter Reinhard Hansen at Google Sites Retrieved from https en wikipedia org w index php title Peter Reinhard Hansen amp oldid 1210530039, wikipedia, wiki, book, books, library,
