Department of Economics and Business Economics

Peter Reinhard Hansen

  1. 2019
  2. Published

    A Dynamic Model of Vaccine Compliance : How Fake News Undermined the Danish HPV Vaccine Program. / Hansen, Peter Reinhard; Schmidtblaicher, Matthias.

    In: Journal of Business and Economic Statistics, 2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model. / Gorgi, P; Hansen, Peter Reinhard; Janus, P; Koopman, S J.

    In: Journal of Financial Econometrics, Vol. 17, No. 1, 2019, p. 1-32.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  4. 2017
  5. Published

    Option Pricing with the Realized GARCH Model : An Analytical Approximation Approach. / Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard.

    In: Journal of Futures Markets, Vol. 37, No. 4, 01.04.2017, p. 328-358.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. 2016
  7. Published

    A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. / Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; Archakov, Ilya.

    The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. ed. / Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen; D. Almut E. Veraart. Cham : Springer, 2016. p. 361-394.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  8. Published

    Exponential GARCH Modeling With Realized Measures of Volatility. / Hansen, Peter Reinhard; Huang, Zhuo.

    In: Journal of Business and Economic Statistics, Vol. 34, No. 2, 2016, p. 269-287.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 2015
  10. Published

    A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. / Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; Archakov, Ilya.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paperResearch

  11. Published

    Comment. / Hansen, Peter Reinhard; Timmermann, Allan.

    In: Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015, p. 17-21.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperComment/debateResearchpeer-review

  12. 2014
  13. Published

    Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. / Hansen, Peter Reinhard; Lunde, Asger.

    In: Econometric Theory, Vol. 30, No. 1, 2014, p. 60-93.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published

    Realized Beta GARCH : A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. / Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri Radkov.

    In: Journal of Applied Econometrics, Vol. 29, 2014, p. 774-799.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. 2013
  16. Published

    Cardiovascular Risk Factors in Children and Adolescents with Psoriasis : A Case-control Study. / Jensen, Peter; Zachariae, Claus; Iversen, Lars; Hansen, Peter Riis; Skov, Lone.

    In: Acta Dermatovenereologica, 27.05.2013.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  17. 2012
  18. Published

    Choice of Sample Split in Out-of-Sample Forecast Evaluation. / Hansen, Peter Reinhard; Timmermann, Allan.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  19. Published

    Equivalence Between Out-of-Sample Forecast Comparisons and Wald. / Hansen, Peter Reinhard; Timmermann, Allan.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  20. Published

    Exponential GARCH Modeling with Realized Measures of Volatility. / Hansen, Peter Reinhard; Huang, Zhuo.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  21. Published

    Realized GARCH: a joint model for returns and realized measures of volatility. / Hansen, Peter Reinhard; Huang, Zhuo; Shek, Howard Howan.

    In: Journal of Applied Econometrics, Vol. 27, No. 6, 2012, p. 877-906.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. 2011
  23. Published

    Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. / Barndorff-Nielsen, Ole Eiler; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil.

    In: Journal of Econometrics, Vol. 162, No. 2, 2011, p. 149-169.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. Published

    Subsampling Realised Kernels. / Barndorff-Nielsen, Ole Eiler; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil.

    In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 204-219.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  25. Published

    The Model Confidence Set. / Hansen, Peter Reinhard; Lunde, Asger; Nason, James M.

    In: Econometrica, Vol. 79, No. 2, 2011, p. 453-497.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. 2010
  27. Published

    Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. / Hansen, Peter Reinhard; Lunde, Asger.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  28. Published

    Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. / Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  29. Published

    Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. / Hansen, Peter Reinhard; Huang, Zhuo (Albert); Shek, Howard Howan.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  30. Published

    The Model Confidence Set. / Hansen, Peter Reinhard; Lunde, Asger; Nason, James M.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  31. 2009
  32. Published

    Quadratic Variation by Markov Chains. / Hansen, Peter Reinhard; Horel, Guillaume.

    Aarhus : Institut for Økonomi, Århus Universitet, 2009.

    Research output: Working paperResearch

  33. 2008
  34. Published

    Moving average-based Estimators of Integrated Variance. / Hansen, Peter Reinhard; Large, Jeremy; Lunde, Asger.

    In: Econometric Reviews, Vol. 27, No. 1-3, 2008, p. 79-111.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  35. Published
  36. Published

    Reduced-Rank Regression: A Useful Determinant Identity. / Hansen, Peter Reinhard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  37. Published

    The Greenspan Years: An Analysis of the Magnitude and speed of the Equity Market Response to FOMC Announcements. / Zebedee, Allan; Bentzen, Eric; Hansen, Peter Reinhard; Lunde, Asger.

    In: Financial Markets and Portfolio Management, Vol. 22, No. 1, 2008, p. 3-20.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review