Peter Reinhard HansenAssistant Professor of EconomicsStanford University | ||||||||
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| Econometrics... |
| -- Volatility |
| -- High-frequency Data |
| -- Forecasting |
| Assistant Professor of Economics | Stanford University |
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| Research Fellow | CREATES, University of Aarhus |
| Associate Editor | Journal of Applied Econometrics |
| Member of the Editorial Board: | Oxford-Man Institute |
Upcoming Presentations
2008-07-29 Forecasting in Rio de Janeiro
2008-09-13 NBER-NSF at CREATES
2008-09-15 "Vast Data" Oxford-Man Institute
2008-09-?? FRB, Board of Governors
2008-10-16 Columbia University
2008-10-24 Bank of Japan
2008-10-25/27 Tokyo
Conference Involvement
2008-06 Conference celebrating Ted W. Anderson 90est Birthday (co-organizer)
2008-06 Stanford: SITE workshop on Volatility and the impact of economics news (co-organizer)
2008-09 Oxford-Man: Financial Econometrics & Vast Data Conference (scientific committee)
2009-12 CREATES: EC2 (program chair)
Research Update
2008-06 Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
2008-03 Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (Econometrica, forthcoming)
2008-05 Realised Kernels in Practice: Trades and Quotes
2008-02 Reduced-Rank Regression: A Useful Determinant Identity (JSPI 2008, Vol. 138, pp. 2688-2697)
2007-04 Subsampled Realised Kernels (Journal of Econometrics, forthcoming)