2026 Peter Reinhard Hansen: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	43	1910	1721	1114	978	102	17327

Overview

Peter Reinhard Hansen is affiliated with the University of North Carolina at Chapel Hill in the United States. Their research focuses primarily on the fields of economics, econometrics, and finance, with a significant number of publications in these areas.

Their scholarly output frequently appears in diverse publication venues, including:

arXiv (Cornell University)
Econometrics Journal
European Journal of Organic Chemistry
SSRN Electronic Journal
Vaccine

Hansen's research topics encompass a range of specialized areas, notably:

Financial Risk and Volatility Modeling
Complex Systems and Time Series Analysis
Financial Markets and Investment Strategies
Stochastic Processes and Financial Applications
Statistical Methods and Inference
Matrix Theory and Algorithms
SARS-CoV-2 and COVID-19 Research

Their work spans several subfields of study, which include:

Finance
Economics and Econometrics
Statistics and Probability
Organic Chemistry
Epidemiology

Key recent publications by Peter Reinhard Hansen feature empirical and theoretical contributions, such as:

"Resilience of HPV vaccine uptake in Denmark: Decline and recovery," 2020, Vaccine
"Periodicity in Cryptocurrency Volatility and Liquidity," 2022, Journal of Financial Econometrics
"Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants," 2022, Econometrics Journal
"How should parameter estimation be tailored to the objective?", 2021, Journal of Econometrics
"A Multivariate Realized GARCH Model," 2020, arXiv (Cornell University)

Frequent collaborators include:

Ilya Archakov
Chen Tong
Tong Chen
Yiyao Luo

Peter Reinhard Hansen's contributions cover both applied and theoretical aspects of financial econometrics and epidemiological modeling, reflecting a multidisciplinary approach that integrates economics, statistics, and public health.

Best Publications

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Peter Reinhard Hansen;Asger Lunde

2531
Citations
The Model Confidence Set

Peter R. Hansen;Asger Lunde;James M. Nason

2386
Citations
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise ∗

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

1741
Citations
Realized Variance and Market Microstructure Noise

Peter R Hansen;Asger Lunde

1593
Citations
A Test for Superior Predictive Ability

Peter Reinhard Hansen

1573
Citations
Realized GARCH: a joint model for returns and realized measures of volatility

Peter Reinhard Hansen;Zhuo Huang;Howard Howan Shek

812
Citations
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

768
Citations
Consistent ranking of volatility models

Peter Reinhard Hansen;Asger Lunde

487
Citations
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Peter Reinhard Hansen;Asger Lunde

379
Citations
Choosing the best volatility models: the model confidence set approach

Peter Reinhard Hansen;Asger Lunde;James M. Nason

266
Citations
Structural changes in the cointegrated vector autoregressive model

Peter Reinhard Hansen

252
Citations
Realized Variance and Market Microstructure Noise

Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde

239
Citations
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde

227
Citations
Exponential GARCH Modeling With Realized Measures of Volatility

Peter Reinhard Hansen;Zhuo Huang

222
Citations
Realised Kernels in Practice: Trades and Quotes

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

205
Citations
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY

Peter Reinhard Hansen;Asger Lunde;Valeri Voev;Valeri Voev

168
Citations
Subsampling realised kernels

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

165
Citations
Testing the Significance of Calendar Effects

Peter Hansen;Asger Lunde

156
Citations
Workbook on cointegration

Peter Reinhard Hansen;Søren Johansen

143
Citations
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

142
Citations
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Peter Reinhard Hansen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

48
Citations

Frequent Co-Authors

Asger Lunde Copenhagen Economics

Neil Shephard Harvard University

Siem Jan Koopman Vrije Universiteit Amsterdam

Allan Timmermann University of California, San Diego

Noel T. Brewer University of North Carolina at Chapel Hill

Søren Johansen University of Copenhagen

External Links

Wikipedia of Peter Reinhard Hansen Personal website of Peter Reinhard Hansen Google Scholar page

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