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From Wikipedia, the free encyclopedia
Peter Reinhard Hansen (born June 15, 1968) is the Henry A. Latané Distinguished Professor of Economics at the University of North Carolina at Chapel Hill. He has previously taught at Brown University, Stanford Graduate School of Business, Stanford University, and the European University Institute.
This article is an autobiography or has been extensively edited by the subject or by someone connected to the subject. (January 2011) |
Peter Reinhard Hansen | |
---|---|
Born | |
Nationality | Danish |
Spouse | Gridt Vig Find |
Academic career | |
Field | Econometrics |
Institution | University of North Carolina |
Alma mater | University of Copenhagen (M.Sc. 1995) UCSD (PhD 2000) |
Influences | Soren Johansen James D. Hamilton Halbert White Robert Engle |
Information at IDEAS / RePEc |
Hansen was born in Sorø, Denmark, where he went to Sorø Akademi. He studied mathematics and economics at the University of Copenhagen (M.sc. 1995) under the supervision of Søren Johansen and from 1996 he studied economics University of California, San Diego (Ph.D. 2000) supervised by James D. Hamilton.[citation needed]
Hansen is known for his research on volatility, forecasting and cointegration, including the "test for superior predictive ability", which can be used to test whether a benchmark forecast is significantly outperformed by competing forecasts, the Model Confidence Set.[1] He has, in collaboration with Ole E. Barndorff-Nielsen, Asger Lunde, and Neil Shephard, developed the realized kernel estimator that can estimate the quadratic variation in an environment with noisy high-frequency data, such as financial tick-by-tick data.[citation needed] He co-authored the book "Workbook on Cointegration" with Søren Johansen.
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