Peter Reinhard Hansen

Presentation

Peter Hansen is the Henry A. Latané Distinguished Professor in Economics at the University of North Carolina, Chapel Hill. He holds a M.Sc in Mathematics and Economics from University of Copenhagen and a Ph.D. in Economics from University of California, San Diego. Before joining the Department of Economics at UNC in 2016,  he was Professor of Econometrics at the European University Institute (2011-2016), Assistant Professor of Economics at Stanford University (2004-2012) and Assistant Professor of Economics at Brown University (2000-2004). He is the current director of the (EC)^2 conference series.

Professor Hansen is a leading researcher on forecasting and volatility modeling, and he has featured on the Thomson Reuters’ list of the World’s Most Influential Scientific Minds in 2014, 2015, and 2016.

His research spans the topics: forecasting, volatility, cointegration, and multiple testing, and his main contributions to econometrics include the Test for Superior Predictability; the Model Confidence Set, and the Realized Kernel Estimator. In a recent paper coauthored with two of his students, Professor Hansen introduced the Realized GARCH framework that won the Richard Stone Prize in Applied Econometrics in 2014.

Courses

Econ 570 Applied Time Series Analysis and Forecasting. Econ 770 Introduction to Econometric Theory.

Students:
Stanford: Albert Chun (2006), Joao Azevedo (2007), Guillaume Horel (2007), Wei Wu (2009), Howan Shek (2010), Zhou Huang (2010).
EUI: Reinhard Ellwanger (2015), Ilya Archakov (2016).