Peter Reinhard Hansen | Academic Influence

Peter Reinhard Hansen's AcademicInfluence.com Rankings

Peter Reinhard Hansen

Economics

#1576

World Rank

#1816

Historical Rank

Econometrics

#51

World Rank

#53

Historical Rank

Financial Economics

#53

World Rank

#53

Historical Rank

economics Degrees

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Economics

Peter Reinhard Hansen's Degrees

PhD Economics University of Copenhagen
Masters Economics University of Copenhagen
Bachelors Economics University of Copenhagen

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Why Is Peter Reinhard Hansen Influential?

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According to Wikipedia, Peter Reinhard Hansen is the Henry A. Latané 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.

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Peter Reinhard Hansen's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2008) (1287)
The Model Confidence Set (2010) (1261)
Realized Variance and Market Microstructure Noise (2005) (1173)
A Test for Superior Predictive Ability (2005) (1116)
Technical Appendix A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? (2005) (1072)
A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)? (2004) (765)
Realized Kernels in Practice: Trades and Quotes (2009) (569)
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010) (557)
Realized GARCH: a joint model for returns and realized measures of volatility (2012) (541)
Consistent Ranking of Volatility Models (2004) (362)
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data (2005) (307)
Choosing the Best Volatility Models: The Model Confidence Set Approach (2003) (209)
Choice of Sample Split in Out-of-Sample Forecast Evaluation (2012) (169)
Structural changes in the cointegrated vector autoregressive model (2003) (155)
Exponential GARCH Modeling With Realized Measures of Volatility (2015) (132)
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012) (123)
Testing the Significance of Calendar Effects (2005) (105)
Subsampling Realised Kernels (2007) (102)
A comparison of volatility models: Does anything beat a GARCH(1,1) ? (2001) (101)
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004) (99)
Realised Kernels in Practice: Trades and Quotes (2008) (93)
Moving Average-Based Estimators of Integrated Variance (2006) (79)
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (2010) (77)
Workbook on cointegration (1998) (74)
Model Confidence Sets for Forecasting Models (2005) (73)
An Unbiased Measure of Realized Variance (2004) (73)
Granger's Representation Theorem: A Closed-Form Expression for /(1) Processes (2005) (70)
Carbohydrate and peptide specificity of MHC class II-restricted T cell hybridomas raised against an O-glycosylated self peptide. (1997) (63)
Asymptotic Tests of Composite Hypotheses (2003) (62)
An Unbiased and Powerful Test for Superior Predictive Ability (2001) (55)
In-Sample Fit and Out-of-Sample Fit: Their Joint Distribution and its Implications for Model Selection (2009) (46)
Realized Variance and IID Market Microstructure Noise (2004) (43)
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics ∗ (2012) (40)
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility ∗ (2010) (39)
Quadratic Variation by Markov Chains (2009) (39)
Forecasting Volatility Using High Frequency Data (2010) (36)
A Winner's Curse for Econometric Models: On the Joint Distribution of In-Sample Fit and Out-of-Sample Fit and its Implications for Model Selection (2010) (35)
Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model (2016) (32)
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach (2017) (30)
An Optimal and Unbiased Measure of Realized Variance Based on Intermittent High-Frequency Data (2003) (30)
An Optimal and Unbiased Measure of Realized Variance Based on Intermittent High-Frequency Data (2003) (30)
How Much Has Wealth Concentration Grown in the United States? A Re-Examination of Data from 2001-2013 (2018) (27)
Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models (2003) (22)
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements (2008) (20)
Rejoinder (to Comments on Realized Variance and Market Microstructure Noise) (2006) (19)
Reduced-Rank Regression: A Useful Determinant Identity (2002) (19)
A New Parametrization of Correlation Matrices (2020) (18)
Does anything beat a GARCH(1,1)? A comparison based on test for superior predictive ability (2003) (15)
The Greenspan Effect on Equity Markets: An Intraday Examination of U.S. Monetary Policy Announcements (2005) (14)
Structural Breaks in the Cointegrated Vector Autoregressive Model (2000) (13)
A Martingale Decomposition of Discrete Markov Chains (2015) (12)
Mind the Gap:An Early Empirical Analysis of SEC's “Tick Size Pilot Program” (2017) (12)
Radically altered T cell receptor signaling in glycopeptide‐specific T cell hybridoma induced by antigen with minimal differences in the glycan group (2001) (12)
Shared structural motifs in TCR of glycopeptide‐recognizing T cell hybridomas (1999) (12)
Generalized Reduced Rank Regression (2002) (12)
Regression Analysis with Many Specifications: A Bootstrap Method for Robust Inference (2003) (11)
Wealth concentration in the U.S. after augmenting the upper tail of the survey of consumer finances (2019) (10)
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (2015) (10)
Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility (2010) (9)
Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach (2018) (9)
Granger's Representation Theorem: A Closed-Form Expression for I(1) Processes (2000) (8)
The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes (2000) (7)
Testing for Superior Predictive Ability using Ox A Manual for SPA for Ox∗ (2003) (6)
A Multivariate Realized GARCH Model (2020) (5)
Realized EGARCH, CBOE VIX and Variance Risk Premium (2015) (5)
Comment on "Realized Variance and Market (2005) (5)
A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices (2020) (4)
Comment (2015) (3)
Exchange Rate Volatility Forecasting : a Multivariate Realized-GARCH Approach (2015) (2)
Realized GARCH, CBOE VIX, and the Volatility Risk Premium (2021) (2)
Parameter Estimation With Out-of-Sample Objective (2018) (2)
How should parameter estimation be tailored to the objective? (2021) (2)
On the Estimation of Reduced Rank Regressions (2002) (1)
Option Pricing with Time-Varying Volatility Risk Aversion (2022) (1)
Option pricing with state‐dependent pricing kernel (2021) (1)
Rejoinder (2006) (1)
Volatility Persistence and Optimal Forecasting (2008) (1)
Libraries of synthetic glycopeptides in the characterization of the T cell response to tumor associated mucin antigens (2002) (1)
Glycopeptide specific T cell hybridomas raised against an αGalNAc O-glycosylated self peptide are discriminating between highly related carbohydrate groups (1997) (1)
Model Con fi dence Sets 1 . 1 Theory of Model Con fi dence Sets (2004) (0)
A New Method for Generating Random Correlation Matrices (2022) (0)
An E ffi cient Impulse Response Matching Estimator for Rational Expectations Models (2005) (0)
Empirical Appendix - Results for 2004 (2006) (0)
A Simple Algebraic Proof of the Estimation Result in Reduced-Rank Regressions (2002) (0)
Sire Selection and Use of Gender-biased Semen: Producer Panel (2008) (0)
Department of Economics, Box B (2002) (0)
Topics in Advanced Econometrics (Spring 2014) Model Selection & Multiple Testing (2014) (0)
Identification of Factor Risk Premia (2021) (0)
Topics in Advanced Econometrics (Spring 2012) Model Selection & Volatility Modeling (Preliminary) (2012) (0)
Abstract 3178: A research tool for elucidating the interaction between human mucin 16 (CA125) and immune cells in ovarian cancer (2021) (0)
Periodicity in Cryptocurrency Volatility and Liquidity (2021) (0)

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