Background
Hansen was born in Sorø, Denmark, where he went to Sorø Akademi.
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Peter Hansen
Edit ProfileEducation
He studied mathematics and economics at the University of Copenhagen (Msc 1995) under the supervision of Søren Johansen and from 1996 he studied economics University of California, San Diego (Doctor of Philosophy 2000).
Career
He has previously taught at Brown University, Stanford Graduate School of Business, and Stanford University. 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 Secretariat. He has, in collaboration with Ole East. 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.
