Peter Reinhard Hansen

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Peter Reinhard Hansen, Asger Lunde · Journal of Applied Econometrics · 2005 · 1.7K citations · Full text

Business, Economics, Finance +17

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · Econometrica · 2008 · 1.3K citations

Social Sciences, Economics, Finance +17

Realized Variance and Market Microstructure Noise

Peter Reinhard Hansen, Asger Lunde · Journal of Business and Economic Statistics · 2006 · 1.2K citations

Business, Economics, Finance +17

A Test for Superior Predictive Ability

Peter Reinhard Hansen · Journal of Business and Economic Statistics · 2005 · 1.2K citations · Full text

Computing, Business Economics, Economics +17

Realized GARCH: a joint model for returns and realized measures of volatility

Peter Reinhard Hansen, Zhuo Huang, Howard Shek · Journal of Applied Econometrics · 2011 · 681 citations

Business, Finance, Econometrics +16