Peter Reinhard Hansen
Assistant Professor
Contact Info:
[email protected]
http://www.stanford.edu/~prhansen/
Page in Stanford Directory
Phone: 650-725-1869
Office: Landau Economics, room 229
Office hours: On leave 2011-12
Interests
- Research:
Econometrics
- Current Research:
Estimating and modeling financial volatility using high-frequency data; forecasting and forecast comparisons
- Teaching:
Econometrics
- Professional Affiliations:
Econometric Society, Associate editor of Journal of Applied Econometrics, Research Fellow at Center for Research in Econometric Analysis of Time Series, Member of the Editorial Board, Oxford-Man Institute of Quantitative Finance, University of Oxford
Recent Publications
(1) “Designing Realized Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise,” Econometrica, forthcoming, 2008
(2) “Realized Variance and Market Microstructure Noise,” (with A. Lunde) Journal of Business and Economic Statistics, Vol. 24, pp.127-218, 2006. The 2005 Invited Address with Discussions
(3) “A Test for Superior Predictive Ability,” Journal of Business and Economic Statistics, Vol. 23, pp. 365-380, 2005
List of Stanford Working Papers
Current Courses
Education
Ph.D., University of California, San Diego; M.S., University of Copenhagen