Peter Reinhard Hansen

Assistant Professor of Economics
Stanford University
Curriculum Vitae (pdf)
Short Bio
Peter Hansen is Assistant Professor of Economics at Stanford University. He holds a M.Sc in Mathematics and Economics from University of Copenhagen and a Ph.D. in Economics from University of California, San Diego. Before joining the Department of Economics at Stanford University in 2004, he was Assistant Professor of Economics at Brown University (2000-2004). He co-authored the book "Workbook on Cointegration", published by Oxford University Press in 1998 and he has published research articles on cointegration, forecasting, and financial volatility. He is associate editor for the Journal of Applied Econometrics and a research fellow of Center for Research in Econometric Analysis of Time Series. His research has been supported by grants from the Danish Research Council and the Salomon Research Grant. His current research is concerned with estimation of financial volatility using high-frequency data and a new theory on 'model confidence sets'. Peter Hansen lives in Palo Alto, California, with his wife, Gridt, and their two son.
    Research Interests: Econometrics:
  •   ⌊ _ Time Series Analysis
  •      ⌊ _ Financial Econometrics
  •          ⌊ _ High-Frequency Data
  •          ⌊ _ Volatility Estimation
  •          ⌊ _ Evaluation of GARCH models
  •      ⌊ _ Forecasting
  •          ⌊ _ Criteria-Based Shrinkage
  •          ⌊ _ Test for Superior Predictive Ability
  •          ⌊ _ Model Confidence Set
  •      ⌊ _ Cointegration
  •          ⌊ _ Reduced-Rank Regression
  •          ⌊ _ Structural Changes
  •          ⌊ _ Granger's Representation Theorem
  •   ⌊ _ Composite Hypothesis Testing