Peter Reinhard Hansen

Professor of Econometrics

Personal Home page 

Email: peter.hansen@eui.eu 

Tel. [+39] 055 4685 953

Tel. [+39] 055 4685 903

Secretary: marcia.gastaldo@eui.eu 

Postal address:
Department of Economics
Villa San Paolo
Via della Piazzuola 43
50133 Florence - Italy

Short Biographical Sketch

Joins the Institute in September 2011 from Stanford University, where he currently holds a position as Assistant Professor of Economics. He was previously Assistant Professor of Economics at Brown University. His research interests are in the areas of econometrics, including forecasting, the econometrics of high frequency data and financial volatility, multiple comparisons and model selection. He is Associate Editor of the Journal of Applied Econometrics and the Journal of Econometric Methods, and his research has been published in international journals such as Econometrica, the Journal of Econometrics, the Journal of Applied Econometrics, the Journal of Business and Economy Statistics. 

Research Interests

• Time Series Analysis, Financial Econometrics, High-Frequency Data, Volatility Estimation, Evaluation of GARCH models
• Forecasting, Criteria-Based Shrinkage, Test for Superior Predictive Ability, Model Confidence Set
• Cointegration, Reduced-Rank Regression, Structural Changes, Granger's Representation Theorem
• Composite Hypothesis Testing

Languages

• Danish
• English

Current Publications

• "The Model Confidence Set", (with A. Lunde and J. M. Nason). Econometrica. Vol. 79 pp. 453-497 (2011)
• "Subsampled realised kernels", (with O.E. Barndorff-Nielsen, A. Lunde, and N. Shephard). Journal of Econometrics Vol 160 pp. 204-219 (2011)
• "Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility" (with Z. Huang and H. Shek). Forthcoming in Journal of Applied Econometrics
• "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading", (with O.E. Barndorff-Nielsen, A. Lunde, and N. Shephard). Forthcoming in Journal of Econometrics
• "Realised Kernels in Practice: Trades and Quotes", (with O.E. Barndorff-Nielsen, A. Lunde, and N. Shephard) Econometrics Journal. Vol 12, pp. 1-32 (2009)