Browsing All of EconStor by Author Hansen, Peter Reinhard
Showing results 1 to 11 of 11
Year of Publication | Title | Author(s) |
2001 | Structural changes in the cointegrated vector autoregressive model | Hansen, Peter Reinhard |
2002 | Generalized reduced rank regression | Hansen, Peter Reinhard |
2002 | On the estimation of reduced rank regressions | Hansen, Peter Reinhard |
2003 | Choosing the best volatility models: the model confidence set approach | Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. |
2003 | Testing the significance of calendar effects | Hansen, Peter Reinhard; Lunde, Asger |
2003 | Choosing the best volatility models: The model confidence set approach | Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. |
2003 | Consistent preordering with an estimated criterion function, with an application to the evaluation and comparison of volatility models | Hansen, Peter Reinhard; Lunde, Asger |
2003 | Asymptotic tests of composite hypotheses | Hansen, Peter Reinhard |
2005 | Testing the significance of calendar effects | Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. |
2005 | Model confidence sets for forecasting models | Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. |
2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model | Hansen, Peter Reinhard; Janus, Pawel; Koopman, Siem Jan |