Nationality Denmark Books Workbook on cointegration Fields Econometrics | Name Peter Hansen Spouse(s) Gridt Vig Find | |
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Institution European University Institute Alma mater University of Copenhagen (M.Sc. 1995)
UCSD (PhD 2000) Influences Soren Johansen
James D. Hamilton
Halbert White
Robert Engle Education University of Copenhagen, University of California, San Diego Influenced by Soren Johansen, James D. Hamilton, Halbert White, Robert F. Engle Similar People Soren Johansen, Jonathan Levin, Jakub Kastl, Douglas Bernheim | ||
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.
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Biography
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.
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. 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. He co-authored the book "Workbook on Cointegration" with Søren Johansen.