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Peter Hansen

Global rank #2989 96%

Institution: Copenhagen Business School

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/site/peterreinhardhansen/

First Publication: 2003

Most Recent: 2024

RePEc ID: pha63 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 1.01 3.02 2.68 0.00 13.24
Last 10 Years 1.01 4.02 2.68 0.00 15.25
All Time 2.01 8.04 5.70 0.00 31.34

Publication Statistics

Raw Publications 19
Coauthorship-Adjusted Count 18.85

Publications (19)

Year Article Journal Tier Authors
2024 A new method for generating random correlation matrices The Econometrics Journal B 3
2024 A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices Review of Economics and Statistics A 2
2023 Characterizing correlation matrices that admit a clustered factor representation Economics Letters C 2
2022 How should parameter estimation be tailored to the objective? Journal of Econometrics A 2
2022 Analysis of the growth rate advantage and increase in infectiousness of the SARS-Cov2 variant of concern B.1.617.2, also know as the Delta variant, in India and selected other countries The Econometrics Journal B 1
2021 A New Parametrization of Correlation Matrices Econometrica S 2
2021 A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program Journal of Business & Economic Statistics A 2
2016 Exponential GARCH Modeling With Realized Measures of Volatility Journal of Business & Economic Statistics A 2
2015 A martingale decomposition of discrete Markov chains Economics Letters C 1
2015 Comment Journal of Business & Economic Statistics A 2
2015 Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics Econometrica S 2
2014 ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR Econometric Theory B 2
2014 REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY Journal of Applied Econometrics B 3
2012 Realized GARCH: a joint model for returns and realized measures of volatility Journal of Applied Econometrics B 3
2011 Subsampling realised kernels Journal of Econometrics A 4
2011 Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading Journal of Econometrics A 4
2006 Consistent ranking of volatility models Journal of Econometrics A 2
2003 Choosing the Best Volatility Models: The Model Confidence Set Approach* Oxford Bulletin of Economics and Statistics B 3
2003 Structural changes in the cointegrated vector autoregressive model Journal of Econometrics A 1