Peter Reinhard Hansen
| Peter Reinhard Hansen | |
|---|---|
| Born | June 1968 (age 47) |
| Nationality | Denmark |
| Spouse(s) | Gridt Vig Find |
| Institution | European University Institute |
| Field | Econometrics |
| Alma mater |
University of Copenhagen (M.Sc. 1995) UCSD (PhD 2000) |
| Influences |
Soren Johansen James D. Hamilton Halbert White Robert Engle |
| Information at IDEAS / RePEc | |
Peter Reinhard Hansen (born June 15, 1968) is Professor of Economics at the European University Institute in Florence Italy. He has previously taught at Brown University, Stanford Graduate School of Business, and Stanford University.
Biography
Hansen was born in Sorø, Denmark, where he went to Sorø Akademi. He studied mathematics and economics at the University of Copenhagen (M.sc. 1995) under the supervision of Søren Johansen and from 1996 he studied economics University of California, San Diego (Ph.D. 2000).
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. He co-authored the book "Workbook on Cointegration" with Søren Johansen.
Selected writings
- 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.
References
- ↑ Hansen, Peter Reinhard; Lunde, Asger; Nason, James M (2011). "The Model Confidence Set". Econometrica 79: 453–497. doi:10.3982/ECTA5771.
External links
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