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Shephard, Neil
27
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15
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9
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8
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5
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Journal of econometrics
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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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2
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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3
Realized kernels in practice: trades and quotes
Barndorff-Nielsen, O.E.
;
Hansen, P.Reinhard
;
Lunde, A.
; …
- In:
The econometrics journal
12
(
2009
)
3
,
pp. C1
Persistent link: https://www.econbiz.de/10008336842
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4
The 2005 Invited Address - Rejoinder - Realized Variance and Market Microstructure Noise
Hansen, Peter R.
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 208-218
Persistent link: https://www.econbiz.de/10008222683
Saved in:
5
The 2005 Invited Address - Realized Variance and Market Microstructure Noise
Hansen, Peter R.
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 127-161
Persistent link: https://www.econbiz.de/10008222693
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6
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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7
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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8
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Hansen, Peter R.
;
Lunde, Asger
- In:
Journal of applied econometrics
20
(
2005
)
7
,
pp. 873-890
Persistent link: https://www.econbiz.de/10006956920
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9
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
Saved in:
10
Consistent ranking of volatility models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 97-122
Persistent link: https://www.econbiz.de/10006747797
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