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Peter Reinhard Hansen

Professor of Econometrics


Personal Home pagePeter Reinhard Hansen

Email: peter.hansen@eui.eu

Tel. [+39] 055 4685 953

Tel. [+39] 055 4685 902

Administrative assistant: Anne Banks

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

Short Biographical Sketch


Joined the Institute in September 2011 from Stanford University, where he held 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 Econometricathe Journal of Econometricsthe Journal of Applied Econometricsthe Journal of Business and Economy Statistics

Research Interests


  • Econometrics, including forecasting
  • Econometrics of High Frequency Data and Financial Volatility
  • Cointegration
  • Multiple Comparisons and Model Selection

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)

Page last updated on 11 September 2015