Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants

Autor: Peter Reinhard Hansen

Publikováno v: The Econometrics Journal. 25:739-761

Summary We propose a simple dynamic model for estimating the relative contagiousness of two virus variants. Maximum likelihood estimation and inference is conveniently invariant to variation in the total number of cases over the sample period and can

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4197fdcdf7f54213a148ba4f493454da
https://doi.org/10.1093/ectj/utac011

Realized GARCH, CBOE VIX, and the Volatility Risk Premium

Autor: Peter Reinhard Hansen, Zhuo Huang, Chen Tong, Tianyi Wang

Publikováno v: Journal of Financial Econometrics.

We show that the realized GARCH model yields closed-form expression for both the volatility index (VIX) and the volatility risk premium (VRP). The realized GARCH model is driven by two shocks, a return shock and a volatility shock, and these are natu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eae6028ddc1792acbf22eae3b10bfb4e
https://doi.org/10.1093/jjfinec/nbac033

The contagious nature of a vaccine scare: How the introduction of HPV vaccination lifted and eroded MMR vaccination in Denmark

Autor: Peter Reinhard Hansen, Mette Gørtz, Mette Ejrnæs, Noel T. Brewer

Publikováno v: Vaccine. 38:4432-4439

BackgroundHuman papillomavirus (HPV) vaccine coverage was high in Denmark until it plunged following negative media coverage. We examined whether the decline in HPV vaccination undermined uptake of another adolescent vaccine, measles, mumps and rubel

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a126eae775c8b1224033f8fed33eebe8
https://doi.org/10.1016/j.vaccine.2020.04.055

Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*

Autor: Paolo Gorgi, P. Janus, Peter Reinhard Hansen, Siem Jan Koopman

Publikováno v: Journal of Financial Econometrics, 17(1), 1-32. Oxford University Press
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized wishart-garch : A score-driven multi-Asset volatility model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007

We propose a novel multivariate GARCH model that incorporates realized measures for the covariance matrix of returns. The joint formulation of a multivariate dynamic model for outer-products of returns, realized variances, and realized covariances le

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33cbfea932e46b61ad2a540cedcf6f5c
https://doi.org/10.1093/jjfinec/nby007

Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach

Autor: Tianyi Wang, Zhuo Huang, Peter Reinhard Hansen

Publikováno v: Journal of Futures Markets. 37:328-358

We derive a pricing formula for European options for the Realized GARCH framework based on an analytical approximation using an Edgeworth expansion for the density of cumulative return. Existing approximations in this context are based on a Gram–Ch

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e784461e1c4cc47755ce6a3999ed0e01
https://doi.org/10.1002/fut.21821