← All authors Peter Reinhard Hansen University of North Carolina at Chapel Hill (from arXiv:2605.01665, 2026) · ORCID · OpenAlex
52 papers in scope · 43 published · 18 on the econ.EM arXiv · 9,022 citations · h-index 24 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ilya Archakov Chen Tong Tong Chen Asger Lunde Xinxian Chen Yiyao Luo Zhuo Huang K. B. Gubbels Andre Lucas Alessandra Luati Kim Christensen Rutger-Jan Lange Fred Espen Benth Thomas K. Kloster Yuta Yamauchi Jarosław Kwapień Marcin Wątorek Stanisław Drożdż Enzo D’Innocenzo Yasuhiro Omori Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (20 of 52)
working paper 2026 · arXiv
working paper 2026 · arXiv
working paper 2026 · arXiv
working paper 2026 · arXiv
Dynamic Factor Correlations
published 2026 · Journal of Applied Econometrics
with Chen Tong
working paper 2025 · arXiv
published 2025 · Review of Financial Studies · 6 citations · first circulated 2022
published 2025 · Journal of Econometrics · 12 citations · first circulated 2020
published 2025 · Journal of Business and Economic Statistics · 1 citations · first circulated 2024
working paper 2025 · arXiv
working paper 2024 · arXiv
working paper 2024 · arXiv · 1 citations
published 2023 · Econometrics Journal · 9 citations · first circulated 2022
published 2023 · Economics Letters · 3 citations
working paper 2023 · arXiv · 3 citations
published 2022 · The Review of Economics and Statistics · 5 citations · first circulated 2020
published 2022 · Journal of Financial Econometrics · 29 citations · first circulated 2021
published 2022 · Journal of Financial Econometrics · 26 citations · first circulated 2021
published 2022 · Journal of Futures Markets · 5 citations · first circulated 2021
published 2022 · Econometrics Journal · 23 citations · first circulated 2021
How should parameter estimation be tailored to the objective?
published 2021 · Journal of Econometrics · 16 citations
with Elena-Ivona Dumitrescu
published 2021 · Econometrica · 3 citations
Wealth concentration in the U.S. after augmenting the upper tail of the survey of consumer finances
published 2019 · Economics Letters · 32 citations
with Jesse Bricker, Alice Henriques Volz
A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program
published 2019 · Journal of Business and Economic Statistics · 55 citations
with Matthias Schmidtblaicher
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*
published 2018 · Journal of Financial Econometrics · 54 citations · first circulated 2016
How Much has Wealth Concentration Grown in the United States? A Re-Examination of Data from 2001-2013
published 2018 · Finance and Economics Discussion Series · 32 citations
with Jesse Bricker, Alice M. Henriques
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
published 2016 · Journal of Futures Markets · 59 citations
Exponential GARCH Modeling With Realized Measures of Volatility
published 2015 · Journal of Business and Economic Statistics · 182 citations
with Zhuo Huang
A martingale decomposition of discrete Markov chains
published 2015 · Economics Letters · 12 citations
Comment
published 2015 · Journal of Business and Economic Statistics · 10 citations
with Allan Timmermann
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
published 2015 · Econometrica · 13 citations
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
published 2014 · Journal of Applied Econometrics · 145 citations · first circulated 2010
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
published 2013 · Econometric Theory · 43 citations · first circulated 2010
Realized GARCH: a joint model for returns and realized measures of volatility
published 2011 · Journal of Applied Econometrics · 683 citations · first circulated 2010
with Zhuo Huang, Howard Shek
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
published 2011 · Journal of Econometrics · 186 citations · first circulated 2010
Subsampling realised kernels
published 2010 · Journal of Econometrics · 98 citations · first circulated 2007
Realized kernels in practice: trades and quotes
published 2009 · Econometrics Journal · 677 citations · first circulated 2008
Reduced-rank regression: A useful determinant identity
published 2008 · Journal of Statistical Planning and Inference · 14 citations
Moving Average-Based Estimators of Integrated Variance
published 2008 · Econometric Reviews · 82 citations · first circulated 2006
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
published 2008 · Econometrica · 1289 citations
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements
published 2007 · Financial markets and portfolio management · 24 citations
Realized Variance and Market Microstructure Noise
published 2006 · Journal of Business and Economic Statistics · 1224 citations · first circulated 2004
Rejoinder
published 2006 · Journal of Business and Economic Statistics · 2 citations
A Test for Superior Predictive Ability
published 2005 · Journal of Business and Economic Statistics · 1205 citations · first circulated 2001
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
published 2005 · Journal of Financial Econometrics · 306 citations
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
published 2005 · Journal of Applied Econometrics · 1755 citations · first circulated 2001
Consistent ranking of volatility models
published 2005 · Journal of Econometrics · 378 citations · first circulated 2003
Granger's representation theorem: A closed‐form expression for I(1) processes
published 2005 · Econometrics Journal · 72 citations · first circulated 2000
Choosing the Best Volatility Models: The Model Confidence Set Approach*
published 2003 · Oxford Bulletin of Economics and Statistics · 49 citations
Structural changes in the cointegrated vector autoregressive model
published 2003 · Journal of Econometrics · 185 citations · first circulated 2000
Subsidising Consumer Services: Effects on Employment, Welfare and the Informal Economy
published 1995 · Fiscal Studies · 14 citations
with Niels Kleis Frederiksen, Henrik Klinge Jacobsen, Peter Norman Sørensen, Peter Birch Sørensen
Interest rates aren't breaking firms, but accounts receivable increasing.
published 1979 · Feedstuffs.
with Earle Clark
no link
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