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Peter Reinhard Hansen
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Birth 1968 (age 41–42)
Nationality Denmark
Field Econometrics

Peter Reinhard Hansen (born 1968) is an economist at the Stanford University. He was born in 1968 in Sorø, Denmark. After graduating from University of Copenhagen (M.sc. Mathematics and Economics, 1995) and the University of California, San Diego (Ph.D. Economics, 2000) he served as assistant professor at Brown University before moving to Stanford University in 2004.

Hansen is best known for his research on financial volatility, forecasting and cointegration. He is the developer of the "test for superior predictive ability", which can be used to test whether a benchmark forecast is significantly outperformed by competing forecasts. He has, in collaboration with Ole E. Barndorff-Nielsen, Asger Lunde, and Neil Shephard, developed the "realized kernel estimators" that can estimate the quadratic variation in an environment with noisy high-frequency data, such as financial tick-by-tick data. He co-authored the book "Workbook on Cointegration" with Søren Johansen.

His current research interests include the theory and implications of overfitting econometric models, estimation of financial volatility (multivariate), and the theory of model confidence sets.

Selected writings

  • Hansen, P.R., (2005), "Test for Superior Predictive Ability", Journal of Business and Economic Statistics.
  • Hansen, P.R., A. Lunde (2006), "Realized Variance and Market Microstructure Noise”, Journal of Business and Economic Statistics. Vol. 24, pp. 127–218. (The 2005 Invited Address with Discussions and Rejoinder).
  • Hansen, P.R., A. Lunde (2006), "Consistent Ranking of Volatility Models", Journal of Econometrics, Vol. 131, pp. 97–121.
  • Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2008), "Subsampled realised kernels", forthcoming in the Journal of Econometrics.
  • Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481–1536.

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