Stanford University
Stanford Economics Department
Department

PETER REINHARD HANSEN
Assistant Professor

Ph.D. (Economics) University of California, San Diego; M.S. (Mathematics & Economics) University of Copenhagen.

Research Interests: Econometrics, Forecasting, Financial Econometrics.

Representative Recent Publications: (1) “A Consistent Ranking of Volatility Models”, (with A. Lunde), Journal of Econometrics, forthcoming; (2) "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?”, (with A. Lunde), Journal of Applied Econometrics, forthcoming; (3) “Choosing the Best Volatility Models: The Model Confidence Set Approach”, (with A. Lunde and J. M. Nason), Oxford Bulletin of Economics and Statistics, (2003); (4) “Structural Changes in the Cointegrated Vector Autoregressive Model”, Journal of Econometrics, (2003).

Teaching Interests: Econometrics, Time-Series Analysis.

Professional Affiliations: Econometric Society, American Economic Association, American Statistical Association.

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