Option pricing with state‐dependent pricing kernel
Tong, Chen, Hansen, Peter Reinhard, Huang, Zhuo
Published in The journal of futures markets (01.08.2022)
Published in The journal of futures markets (01.08.2022)
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Journal Article
Choosing the Best Volatility Models: The Model Confidence Set Approach
Hansen, Peter Reinhard, Lunde, Asger, Nason, James M.
Published in Oxford bulletin of economics and statistics (01.12.2003)
Published in Oxford bulletin of economics and statistics (01.12.2003)
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Journal Article
Exponential GARCH Modeling With Realized Measures of Volatility
Hansen, Peter Reinhard, Huang, Zhuo
Published in Journal of business & economic statistics (02.04.2016)
Published in Journal of business & economic statistics (02.04.2016)
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Journal Article
A new method for generating random correlation matrices
Archakov, Ilya, Hansen, Peter Reinhard, Luo, Yiyao
Published in The econometrics journal (22.06.2024)
Published in The econometrics journal (22.06.2024)
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Journal Article
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
Huang, Zhuo, Wang, Tianyi, Hansen, Peter Reinhard
Published in The journal of futures markets (01.04.2017)
Published in The journal of futures markets (01.04.2017)
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Journal Article
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, Lunde, Asger, Shephard, Neil
Published in Journal of econometrics (01.06.2011)
Published in Journal of econometrics (01.06.2011)
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Journal Article