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 studied mathematics and economics at the University of Copenhagen (M.sc.
[citation needed] 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.
[1] 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.
[citation needed] He co-authored the book "Workbook on Cointegration" with Søren Johansen.