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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Barndorff-Nielsen, Olee; Hansen, Peterreinhard; Lunde, Asger - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10008145108
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The Greenspan years : an Analysis of the magnitude and speed of the equity market response to FOMC announcements
Zebedee, Allan A.; Bentzen, Erick; Hansen, Peter R.; … - In: Financial markets and portfolio management 22 (2008) 1, pp. 3-20
Persistent link: https://www.econbiz.de/10008059634
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Moving Average-Based Estimators of Integrated Variance
Hansen, Peter; Large, Jeremy; Lunde, Asger - In: Econometric reviews 27 (2008) 1-3, pp. 79-111
Persistent link: https://www.econbiz.de/10007993919
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Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 162 (2011) 2, pp. 149-170
Persistent link: https://www.econbiz.de/10008997629
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 160 (2011) 1, pp. 204-220
Persistent link: https://www.econbiz.de/10008770543
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The Model Confidence Set
Hansen, Peter R.; Lunde, Asger; Nason, James M. - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 2, pp. 453-498
Persistent link: https://www.econbiz.de/10008843546
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Testing the significance of calendar effects
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732977
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Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
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Consistent preordering with an estimated criterion function, with an application to the evaluation and comparison of volatility models
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752573
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Testing the significance of calendar effects
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752590