Christian Matthias Hafner

Names

first:	Christian
middle:	Matthias
last:	Hafner

Identifer

RePEc Short-ID:

pha77

Contact

homepage:	https://scholar.google.be/citations?user=faJIXqUAAAAJ&hl=en
phone:	00 32 10 47 43 06
postal address:	Institute of statistics Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium

Affiliations

Université Catholique de Louvain / Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM) / Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
- EDIRC entry
- location:

Research profile

author of:

Weak diffusion limits of dynamic conditional correlation models (RePEc:aah:create:2015-03)
by Christian M. Hafner & Sebastien Laurent & Francesco Violante
Local Government Efficiency: The Case of Moroccan Municipalities (RePEc:adb:adbadr:2119)
by Rachida El Mehdi & Christian M. Hafner
Testing for Causality in Variance Usinf Multivariate GARCH Models (RePEc:adr:anecst:y:2008:i:89:p:215-241)
by Christian M. Hafner & Helmut Herwartz
On the estimation of dynamic conditional correlation models (RePEc:aiz:louvad:2010006)
by Hafner, C. & Reznikova, O.
Multivariate volatility modeling of electricity futures (RePEc:aiz:louvad:2011013)
by Bauwens, L. & Hafner, C. & Pierret, D.
On heterogeneous latent class models with applications to the analysis of rating scores (RePEc:aiz:louvad:2011028)
by Bertrand, Aurelie & Hafner, Christian
Econometric analysis of volatile art markets (RePEc:aiz:louvad:2011029)
by BOCART, F. & HAFNER, Christian
Asymmetries in Business Cycles and the Role of Oil Production (RePEc:aiz:louvad:2011032)
by Daniel , Betty C & Hafner, Christian & Manner, Hans & Simar, Leopold
Volatility Models (RePEc:aiz:louvad:2011044)
by Bauwens, L. & Hafner C. & Laurent, S.
Volatility of price indices for heterogeneous goods (RePEc:aiz:louvad:2012019)
by Bocart, Fabian & Hafner, Christian
Inference in stochastic frontier analysis with dependent error terms (RePEc:aiz:louvad:2012038)
by El Mehdi, Rachida & Hafner, Christian
Local government efficiency: The case of Moroccan municipalities (RePEc:aiz:louvad:2013001)
by El Mehdi, Rachida & Hafner, Christian
Fair re-valuation of wine as an investment (RePEc:aiz:louvad:2013003)
by Bocart, F. & Hafner, C.
An Almost Closed Form Estimator for the EGARCH (RePEc:aiz:louvad:2013010)
by Hafner C. & Linton, O.
Support Vector Machines with Evolutionary Feature Selection for Default Prediction (RePEc:aiz:louvad:2013040)
by Hardle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian
The â€œwrong skewnessâ€Ω problem in stochastic frontier models: A new approach (RePEc:aiz:louvad:2013046)
by Hafner, Christian & Manner, Hans & Simar, Leopold
Macroeconomic news surprises and volatility spillover in foreign exchange markets (RePEc:aiz:louvad:2013059)
by Ben Omrane, Walid & Hafner, Christian
A note on the Tobit model in the presence of a duration variable (RePEc:aiz:louvad:2014010)
by Hafner, Christian & Preminger, Arie
A simple model for now-casting volatility series (RePEc:aiz:louvad:2014046)
by Breitung, J. & Hafner, C.
The â€œwrong skewnessâ€Ω problem in stochastic frontier models: A new approach (RePEc:aiz:louvad:2015006)
by Hafner, Christian & Manner, Hans & Simar, Leopold
A simple model for now-casting volatility series (RePEc:aiz:louvad:2015021)
by Breitung, Jorg & Hafner, Christian
The effect of additive outliers on a fractional unit root test (RePEc:aiz:louvad:2015027)
by Hafner, Christian & Preminger, Arie
An augmented Taylor rule for the Federal Reserveâ€™s response to asset prices (RePEc:aiz:louvad:2015028)
by Hafner, Christian & Lauwers, Alexandre
Weak Diffusion Limits of Dynamic Conditional Correlation Models (RePEc:aiz:louvad:2016034)
by Hafner, C. & Laurent, S. & Violante, F.
A simple model for now-casting volatility series (RePEc:aiz:louvad:2016035)
by Breitung, J. & Hafner, C.
An Almost Closed Form Estimator for the EGARCH model (RePEc:aiz:louvad:2016036)
by Hafner, C. & Linton, O.
Heterogeneous Liquidity Effects in Corporate Bond Spreads (RePEc:aiz:louvad:2016050)
by Hafner, Christian & Walders, Fabian
On asymptotic theory for ARCH(infinite) models (RePEc:aiz:louvad:2017009)
by Hafner, Christian & Preminger, Arie
Asymmetries in Business Cycles and the Role of Oil Prices (RePEc:aiz:louvad:2017010)
by Daniel, Betty & Hafner, Christian & Manner, Hans & Simar, Leopold
Dynamic score driven independent component analysis (RePEc:aiz:louvad:2020031)
by Hafner, Christian & Herwartz, Helmut
Dynamic portfolio selection with sector-specific regularization (RePEc:aiz:louvad:2020032)
by Hafner, Christian & Wang, Linqi
Teaching statistical inference without normality (RePEc:aiz:louvad:2021027)
by Hafner, Christian
Dynamic Autoregressive Liquidity (DArLiQ) (RePEc:aiz:louvad:2022009)
by Hafner, Christian & Linton, Oliver & Wang, Linqi
Locally Stationary Factor Models: Identification And Nonparametric Estimation (RePEc:aiz:louvar:2010009)
by Motta, Giovanni & Hafner, Christian & von Sachs, Rainer
Deciding between GARCH and Stochastic Volatility via Strong Decision Rules (RePEc:aiz:louvar:2010032)
by Hafner, C. & Preminger, A.
Efficient estimation of a semiparametric dynamic copula model (RePEc:aiz:louvar:2010033)
by Hafner, Christian & Reznikova, Olga
Locally Stationary Factor Models: Identification And Nonparametric Estimation (RePEc:aiz:louvar:2011007)
by Motta, Giovanni & Hafner, Christian & von Sachs, Rainer
Estimating autocorrelations in the presence of deterministic trends (RePEc:aiz:louvar:2011051)
by Hafner, Christian & Wang, Shin-Huei
The Euro-introduction and non-Euro currencies (RePEc:aiz:louvar:2011052)
by Van Dijk, Dick & Munandar, Haris & Hafner, Christian
Multivariate Time Series Models for Asset Prices (RePEc:aiz:louvar:2011053)
by Hafner, Christian & Manner, Hans
Econometric analysis of volatile art markets (RePEc:aiz:louvar:2012020)
by Bocart, Fabian & Hafner, Christian
On the estimation of dynamic conditional correlation models (RePEc:aiz:louvar:2012021)
by Hafner, Christian & Reznikova, O.
Dynamic stochastic copula models: Estimation, inference and applications (RePEc:aiz:louvar:2012022)
by Hafner, Christian & Manner H.
Cross-correlating wavelet coefficients with applications to high-frequency financial time series (RePEc:aiz:louvar:2012027)
by Hafner, Christian
Volatility Models (RePEc:aiz:louvar:2012028)
by Bauwens, L. & Hafner, C. & Laurent, S.
Modelling multivariate volatility of electricity futures (RePEc:aiz:louvar:2013030)
by Bauwens, Luc & Hafner, Christian & Pierret, Diane
Support Vector Machines with Evolutionary Model Selection for Default Prediction (RePEc:aiz:louvar:2014016)
by HÃ≠rdle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian
On heterogeneous latent class models with applications to the analysis of rating scores (RePEc:aiz:louvar:2014027)
by Bertrand, Aurelie & Hafner, Christian
Inference in stochastic frontier analysis with dependent error terms (RePEc:aiz:louvar:2014028)
by El Mehdi, Rachida & Hafner, Christian
Local Government Efficiency: The Case of Moroccan Municipalities (RePEc:aiz:louvar:2014029)
by El Mehdi, Rachida & Hafner, Christian
A One Line Derivation of EGARCH (RePEc:aiz:louvar:2014030)
by McAleer, Michael & Hafner, Christian
The Impact of Acquisitions on New Technology Stocks: The Googleâ€“Motorola Case (RePEc:aiz:louvar:2014031)
by Gao, Renfei & Wang, Cindy & Hafner, Christian
Macroeconomic news surprises and volatility spillover in foreign exchange markets (RePEc:aiz:louvar:2015028)
by Ben Omrane, Walid & Hafner, Christian
A note on the Tobit model in the presence of a duration variable (RePEc:aiz:louvar:2015038)
by Hafner, Christian & Preminger, Arie
An ARCH model without intercept (RePEc:aiz:louvar:2015039)
by Hafner, Christian & Preminger, Arie
Fair Revaluation of Wine as an Investment (RePEc:aiz:louvar:2015040)
by Bocart, Fabian Y.R.P. & Hafner, Christian
Volatility of price indices for heterogenous goods with applications to the fine art market (RePEc:aiz:louvar:2015041)
by Bocart, Fabian & Hafner, Christian
The effect of additive outliers on a fractional unit root test (RePEc:aiz:louvar:2016027)
by Hafner, Christian & Premiger, Arie
A simple model for now-casting volatility series (RePEc:aiz:louvar:2016040)
by Breitung, Jorg & Hafner, Christian
An augmented Taylor rule for the Federal Reserve's response to asset prices (RePEc:aiz:louvar:2017008)
by Hafner, Christian & Lauwers, Alexandre
Weak Diffusion Limits of Dynamic Conditional Correlation Models (RePEc:aiz:louvar:2017014)
by Hafner, Christian & Laurent, Sebastien & Violante, Francesco
Heterogeneous Liquidity Effects in Corporate Bond Spreads (RePEc:aiz:louvar:2017037)
by Hafner, Christian & Walders, Fabian
An Almost Closed Form Estimator For The EGARCH Model (RePEc:aiz:louvar:2017040)
by Hafner, Christian & Linton, Oliver
On Asymptotic Theory for ARCH (infinity) Models (RePEc:aiz:louvar:2017041)
by Hafner, Christian & Preminger, Arie
The â€œwrong skewnessâ€Ω problem in stochastic frontier models: A new approach (RePEc:aiz:louvar:2018009)
by Hafner, Christian & Manner, Hans & Simar, Leopold
A simple solution of the spurious regression problem (RePEc:aiz:louvar:2018044)
by Wang, Cindy Shin-Huei & Hafner, Christian
Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility (RePEc:aiz:louvar:2018045)
by Hafner, Christian
Asymmetries in Business Cycles and the Role of Oil Prices (RePEc:aiz:louvar:2019015)
by Daniel, Betty & Hafner, Christian & Manner, Hans & Simar, Leopold
Sentiment-Induced Bubbles in the Cryptocurrency Market (RePEc:aiz:louvar:2019053)
by Chen, Cathy Yi-Hsuan & Hafner, Christian
Looking Backward and Looking Forward (RePEc:aiz:louvar:2019057)
by Gao, Zhengyuan & Hafner, Christian
Estimation of a multiplicative correlation structure in the large dimensional case (RePEc:aiz:louvar:2020028)
by Hafner, Christian & Linton, Oliver & Tang, Haihan
Exponential-Type GARCH Models With Linear-in-Variance Risk Premium (RePEc:aiz:louvar:2020029)
by Hafner, Christian & Kyriakopoulou, Dimitra
Monthly Art Market Returns (RePEc:aiz:louvar:2020030)
by Bocart, Fabian & Ghysels, Eric & Hafner, Christian
The Spread of the Covid-19 Pandemic in Time and Space (RePEc:aiz:louvar:2020031)
by Hafner, Christian
Identification of structural multivariate GARCH models (RePEc:aiz:louvar:2020032)
by Hafner, Christian & Herwartz, Helmut & Maxand, Simone
Time-Varying Mixture Copula Models with Copula Selection (RePEc:aiz:louvar:2022008)
by Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan
Panel stochastic frontier analysis with dependent error terms (RePEc:aiz:louvar:2022009)
by El Mehdi, Rachida & Hafner, Christian M.
Dynamic score driven independent component analysis (RePEc:aiz:louvar:2022010)
by Hafner, Christian M. & Herwartz, Helmut
Semiparametric estimation and variable selection for single-index copula models (RePEc:aiz:louvar:2022011)
by Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei
A dynamic conditional score model for the log correlation matrix (RePEc:aiz:louvar:2022012)
by Hafner, Christian M. & Wang, Linqi
Dynamic portfolio selection with sector-specific regularization (RePEc:aiz:louvar:2022013)
by Hafner, Christian M. & Wang, Linqi
Reconciling negative return skewness with positive time-varying risk premia (RePEc:aiz:louvar:2022031)
by Kyriakopoulou, Dimitra & Hafner, Christian M.
Investing in superheroes? Comic art as a new alternative investment (RePEc:aiz:louvar:2022032)
by Bocart, Fabian Y.R.P. & Hafner, Christian M. & Kasperskaya, Yulia & Sagarra, Marti
Analysis of cryptocurrency connectedness based on network to transaction volume ratios (RePEc:aiz:louvar:2022033)
by Hafner, Christian M. & Majeri , Sabrine
Dynamic Autoregressive Liquidity (DArLiQ) (RePEc:ajf:louvlf:2022002)
by Hafner, Christian & Linton, Oliver & Wang, Linqi
A dynamic conditional score model for the log correlation matrix (RePEc:ajf:louvlr:2022006)
by Hafner, Christian M. & Wang, Linqi
Dynamic portfolio selection with sector-specific regularization (RePEc:ajf:louvlr:2022007)
by Hafner, Christian M. & Wang, Linqi
Comment (RePEc:bes:jnlasa:v:101:y:2006:p:998-1001)
by Hafner, Christian M. & Linton, Oliver B.
Local Government Efficiency: The Case of Moroccan Municipalities (RePEc:bla:afrdev:v:26:y:2014:i:1:p:88-101)
by Rachida El Mehdi & Christian M. Hafner
Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner (RePEc:bla:istatr:v:76:y:2008:i:2:p:313-314)
by Paul Embrechts
Nonparametric multistep‐ahead prediction in time series analysis (RePEc:bla:jorssb:v:66:y:2004:i:3:p:669-686)
by Rong Chen & Lijian Yang & Christian Hafner
On Asymptotic Theory for ARCH (∞) Models (RePEc:bla:jtsera:v:38:y:2017:i:6:p:865-879)
by Christian M. Hafner & Arie Preminger
Structural analysis of portfolio risk using beta impulse response functions (RePEc:bla:stanee:v:52:y:1998:i:3:p:336-355)
by C. M. Hafner & H. Herwartz
Ridge regression revisited (RePEc:bla:stanee:v:59:y:2005:i:4:p:498-505)
by Paul M. C. de Boer & Christian M. Hafner
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity (RePEc:bla:stanee:v:63:y:2009:i:3:p:294-323)
by Christian M. Hafner & Helmut Herwartz
Estimating Autocorrelations in the Presence of Deterministic Trends (RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:4)
by Wang Shin-Huei & Hafner Christian
A simple solution of the spurious regression problem (RePEc:bpj:sndecm:v:22:y:2018:i:3:p:14:n:1)
by Wang Cindy Shin-Huei & Hafner Christian M.
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case (RePEc:cam:camdae:1664)
by Hafner, C. M. & Linton, O.
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case (RePEc:cam:camdae:1878)
by Hafner, C. & Linton, O. & Tang, H.
Dynamic Autoregressive Liquidity (DArLiQ) (RePEc:cam:camdae:2214)
by Hafner, C. M.
Dynamic Autoregressive Liquidity (DArLiQ) (RePEc:cam:camjip:2206)
by Hafner, C. M.
A One Line Derivation of EGARCH (RePEc:cbt:econwp:14/16)
by Michael McAleer & Christian M. Hafner
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process (RePEc:cbt:econwp:14/19)
by Christian M. Hafner & Michael McAleer
Efficient Estimation of a Multivariate Multiplicative Volatility Model (RePEc:cep:stiecm:541)
by Christian M. Hafner & Oliver Linton
Discrete time option pricing with flexible volatility estimation (RePEc:cor:louvco:1997047)
by HÄRDLE, Wolfgang & HAFNER, Christian
Volatility impulse response functions for multivariate GARCH models (RePEc:cor:louvco:1998047)
by HAFNER, Christian & HERWARTZ, Helmut
Volatility impulse response functions for multivariate GARCH models (RePEc:cor:louvco:2001039)
by HAFNER, Christian & HERWARTZ, Helmut
Fourth moments of multivariate GARCH processes (RePEc:cor:louvco:2001046)
by HAFNER, Christian
Semiparametric multivariate GARCH models (RePEc:cor:louvco:2003003)
by HAFNER, Christian & ROMBOUTS, Jeroen
Estimation of temporally aggregated multivariate GARCH models (RePEc:cor:louvco:2003073)
by HAFNER, Christian & ROMBOUTS, Jeroen
Multivariate mixed normal conditional heteroskedasticity (RePEc:cor:louvco:2006012)
by BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen
Deciding between GARCH and stochastic volatility via strong decision rules (RePEc:cor:louvco:2006042)
by PREMINGER, Arie & HAFNER, Christian
Asymptotic theory for a factor GARCH model (RePEc:cor:louvco:2006071)
by HAFNER, Christian & PREMINGER, Arie
Estimating autocorrelations in the presence of deterministic trends (RePEc:cor:louvco:2008073)
by Wang, Shin-Huei & Hafner, Christian
Multivariate volatility modeling of electricity futures (RePEc:cor:louvco:2011011)
by BAUWENS, Luc & HAFNER, Christian & pierret, Diane
Econometric analysis of volatile art markets (RePEc:cor:louvco:2011052)
by BOCART, Fabian Y. R. P. & HAFNER, Christian
Volatility models (RePEc:cor:louvco:2011058)
by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien
An almost closed form estimator for the EGARCH model (RePEc:cor:louvco:2013022)
by HAFNER, Christian & LINTON, Oliver
Fair re-valuation of wine as an investment (RePEc:cor:louvco:2013025)
by BOCART, Fabian & HAFNER, Christian
A note on the Tobit model in the presence of a duration variable (RePEc:cor:louvco:2014013)
by HAFNER, Christian & PREMINGER, Arie
A simple model for now-casting volatility series (RePEc:cor:louvco:2014060)
by Hafner, Christian & Breitung, Jörg
The “wrong skewness” problem in stochastic frontier models: a new approach (RePEc:cor:louvco:2015014)
by Hafner, Christian & Manner, H. & Simar, L.
A Simple Model for Now-Casting Volatility Series (RePEc:cor:louvco:2016004)
by BREITUNG, Jörg & HAFNER, Christian
Weak Diffusion Limits of Dynamic Conditional Correlation Models (RePEc:cor:louvco:2016009)
by HAFNER, Christian & LAURENT, Sebastien & VIOLANTE, Francesco
Looking Backward and Looking Forward (RePEc:cor:louvco:2016014)
by GAO, Zhengyuan & HAFNER, Christian
On Asymptotic Theory for ARCH(infinite) Models (RePEc:cor:louvco:2016030)
by HAFNER, Christian & PREMINGER, Arie
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case (RePEc:cor:louvco:2016044)
by HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan
Testing for bubbles in cryptocurrencies with time-varying volatility (RePEc:cor:louvco:2018019)
by HAFNER Christian,
Identification of structural multivariate GARCH models (RePEc:cor:louvco:2018020)
by HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,
Monthly art market returns (RePEc:cor:louvco:2018028)
by BOCART Fabian Y.R.P., & GHYSELS Eric, & HAFNER Christian,
Exponential-type GARCH models with linear-in-variance risk premium (RePEc:cor:louvco:2019013)
by HAFNER Christian, & KYRIAKOPOULOU Dimitra,
Investing in superheroes? Comic art as a new alternative investment (RePEc:cor:louvco:2019016)
by BOCART Fabian, & HAFNER Christian, & KASPERSHAYA YUlia, & SAGARRA Marti,
A dynamic conditional score model for the log correlation matrix (RePEc:cor:louvco:2019031)
by HAFNER Christian M., & WANG Linqi,
Discrete time option pricing with flexible volatility estimation (RePEc:cor:louvrp:1439)
by HARDLE, Wolfgang & HAFNER, Christian M.
Nonparametric multistep-ahead prediction in time series analysis (RePEc:cor:louvrp:1783)
by CHEN, Rong & YANG, Lijian & HAFNER, Christian
Durations, volume and the prediction of financial returns in transaction time (RePEc:cor:louvrp:1784)
by HAFNER, Christian H.
Multivariate mixed normal conditional heteroskedasticity (RePEc:cor:louvrp:1906)
by BAUWENS, Luc & HAFNER, Christian M. & ROMBOUTS, Jeroen VK
Multivariate volatility modeling of electricity futures (RePEc:cor:louvrp:2526)
by BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane
The Effect of Additive Outliers on Fractional Unit Root Tests (RePEc:cor:louvrp:2762)
by Christian M. HAFNER & Arie PREMINGER
An ARCH Model Without Intercept (RePEc:cor:louvrp:2770)
by Christian M. HAFNER & Arie PREMINGER
Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market (RePEc:cor:louvrp:2771)
by Fabian Y.R.P. BOCART & Christian M. HAFNER
A note on the Tobit model in the presence of a duration variable (RePEc:cor:louvrp:2772)
by Christian M. HAFNER & Arie PREMINGER
A simple model for now-casting volatility series (RePEc:cor:louvrp:2865)
by Jörg BREITUNG & Christian M. HAFNER
Weak diffusion limits of dynamic conditional correlation models (RePEc:cor:louvrp:2866)
by Christian M. HAFNER & Sébastien LAURENT & Francesco VIOLANTE
An almost closed form estimator for the EGARCH model (RePEc:cor:louvrp:2881)
by Christian M. HAFNER & Oliver LINTON
An augmented Taylor rule for the Federal Reserve's response to asset prices (RePEc:cor:louvrp:2882)
by Christian M. HAFNER & Alexandre LAUWERS
On asymptotic theory for ARCH([infinite]) models (RePEc:cor:louvrp:2917)
by Christian M. Hafner & Arie Preminger
The "wrong skewness" problem in stochastic frontier models: A new approach (RePEc:cor:louvrp:2958)
by Christian M. Hafner & Hans Manner & Léopold Simar
Looking backward and looking forward (RePEc:cor:louvrp:3024)
by Zhengyuan Gao & Christian M. Hafner
Testing for bubbles in cryptocurrencies with time-varying volatility (RePEc:cor:louvrp:3025)
by Christian M. Hafner
Multivariate mixed normal conditional heteroskedasticity (RePEc:ctl:louvec:2006007)
by Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS
Semiparametric Multivariate Volatility Models (RePEc:cup:etheor:v:23:y:2007:i:02:p:251-280_07)
by Hafner, Christian M. & Rombouts, Jeroen V.K.
Asymptotic Theory For A Factor Garch Model (RePEc:cup:etheor:v:25:y:2009:i:02:p:336-363_09)
by Hafner, Christian M. & Preminger, Arie
Locally Stationary Factor Models: Identification And Nonparametric Estimation (RePEc:cup:etheor:v:27:y:2011:i:06:p:1279-1319_00)
by Motta, Giovanni & Hafner, Christian M. & von Sachs, Rainer
Weak Diffusion Limits Of Dynamic Conditional Correlation Models (RePEc:cup:etheor:v:33:y:2017:i:03:p:691-716_00)
by Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco
An Almost Closed Form Estimator For The Egarch Model (RePEc:cup:etheor:v:33:y:2017:i:04:p:1013-1038_00)
by Hafner, Christian M. & Linton, Oliver
Fair Revaluation of Wine as an Investment (RePEc:cup:jwecon:v:10:y:2015:i:02:p:190-203_00)
by Bocart, Fabian Y.R.P. & Hafner, Christian M.
Asymmetries In Business Cycles And The Role Of Oil Prices (RePEc:cup:macdyn:v:23:y:2019:i:04:p:1622-1648_00)
by Daniel, Betty C. & Hafner, Christian M. & Simar, Léopold & Manner, Hans
Temporal aggregation of multivariate GARCH processes (RePEc:ecm:nawm04:538)
by Christian M. Hafner
Durations, Volume and the Prediction of Financial Returns in Transaction Time (RePEc:ecm:wc2000:0599)
by Christian M. Hafner
Causality and forecasting in temporally aggregated multivariate GARCH processes (RePEc:ect:emjrnl:v:12:y:2009:i:1:p:127-146)
by Christian M. Hafner
Testing for linear autoregressive dynamics under heteroskedasticity (RePEc:ect:emjrnl:v:3:y:2000:i:2:p:177-197)
by Christian M. Hafner & Helmut Herwartz
Multivariate mixed normal conditional heteroskedasticity (RePEc:eee:csdana:v:51:y:2007:i:7:p:3551-3566)
by Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K.
Efficient estimation of a semiparametric dynamic copula model (RePEc:eee:csdana:v:54:y:2010:i:11:p:2609-2627)
by Hafner, Christian M. & Reznikova, Olga
Econometric analysis of volatile art markets (RePEc:eee:csdana:v:56:y:2012:i:11:p:3091-3104)
by Bocart, Fabian Y.R.P. & Hafner, Christian M.
On the estimation of dynamic conditional correlation models (RePEc:eee:csdana:v:56:y:2012:i:11:p:3533-3545)
by Hafner, Christian M. & Reznikova, Olga
A note on the Tobit model in the presence of a duration variable (RePEc:eee:ecolet:v:126:y:2015:i:c:p:47-50)
by Hafner, Christian M. & Preminger, Arie
An ARCH model without intercept (RePEc:eee:ecolet:v:129:y:2015:i:c:p:13-17)
by Hafner, Christian M. & Preminger, Arie
A Lagrange multiplier test for causality in variance (RePEc:eee:ecolet:v:93:y:2006:i:1:p:137-141)
by Hafner, Christian M. & Herwartz, Helmut
Temporal aggregation of multivariate GARCH processes (RePEc:eee:econom:v:142:y:2008:i:1:p:467-483)
by Hafner, Christian M.
Efficient estimation of a multivariate multiplicative volatility model (RePEc:eee:econom:v:159:y:2010:i:1:p:55-73)
by Hafner, Christian M. & Linton, Oliver
Estimation of a multiplicative correlation structure in the large dimensional case (RePEc:eee:econom:v:217:y:2020:i:2:p:431-470)
by Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan
Identification of structural multivariate GARCH models (RePEc:eee:econom:v:227:y:2022:i:1:p:212-227)
by Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis (RePEc:eee:empfin:v:8:y:2001:i:1:p:1-34)
by Hafner, Christian M. & Herwartz, Helmut
A simple model for now-casting volatility series (RePEc:eee:intfor:v:32:y:2016:i:4:p:1247-1255)
by Breitung, Jörg & Hafner, Christian M.
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration (RePEc:eee:jimfin:v:25:y:2006:i:5:p:719-740)
by Hafner, Christian M. & Herwartz, Helmut
On asymptotic theory for multivariate GARCH models (RePEc:eee:jmvana:v:100:y:2009:i:9:p:2044-2054)
by Hafner, Christian M. & Preminger, Arie
Inference in stochastic frontier analysis with dependent error terms (RePEc:eee:matcom:v:102:y:2014:i:c:p:104-116)
by El Mehdi, Rachida & Hafner, Christian M.
Inference in stochastic frontier analysis with dependent error terms (RePEc:eee:matcom:v:102:y:2014:i:c:p:131-143)
by El Mehdi, Rachida & Hafner, Christian M.
Testing for causality in variance using multivariate GARCH models (RePEc:ems:eureir:1285)
by Hafner, C.M. & Herwartz, H.
Semiparametric multivariate volatility models (RePEc:ems:eureir:1286)
by Hafner, C.M. & Rombouts, J.V.K.
Temporal aggregation of multivariate GARCH processes (RePEc:ems:eureir:1478)
by Hafner, C.M.
Estimation of temporally aggregated multivariate GARCH models (RePEc:ems:eureir:1480)
by Hafner, C.M. & Rombouts, J.V.K.
A generalized dynamic conditional correlation model for many asset returns (RePEc:ems:eureir:1718)
by Hafner, C.M. & Franses, Ph.H.B.F.
Simple approximations for option pricing under mean reversion and stochastic volatility (RePEc:ems:eureir:1720)
by Hafner, C.M.
Analytical quasi maximum likelihood inference in multivariate volatility models (RePEc:ems:eureir:1721)
by Hafner, C.M. & Herwartz, H.
A One Line Derivation of EGARCH (RePEc:ems:eureir:51742)
by McAleer, M.J. & Hafner, C.M.
Testing for vector autoregressive dynamics under heteroskedasticity (RePEc:ems:eureir:546)
by Hafner, C.M. & Herwartz, H.
Semi-Parametric Modelling of Correlation Dynamics (RePEc:ems:eureir:6849)
by Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F.
Ridge regression revisited (RePEc:ems:eureir:6919)
by de Boer, P.M.C. & Hafner, C.M.
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model (RePEc:erh:journl:v:1:y:2009:i:1:p:50-62)
by Walid Ben Omrane & Christian M. Hafner
A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms (RePEc:erh:journl:v:13:y:2021:i:2:p:24-40)
by Rachida El Mehdi & Christian M. Hafner
A One Line Derivation of EGARCH (RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414)
by Michael McAleer & Christian M. Hafner
Looking Backward and Looking Forward (RePEc:gam:jecnmx:v:7:y:2019:i:2:p:27-:d:239856)
by Zhengyuan Gao & Christian M. Hafner
The Spread of the Covid-19 Pandemic in Time and Space (RePEc:gam:jijerp:v:17:y:2020:i:11:p:3827-:d:364077)
by Christian M. Hafner
Sentiment-Induced Bubbles in the Cryptocurrency Market (RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:53-:d:219083)
by Cathy Yi-Hsuan Chen & Christian M. Hafner
Alternative Assets and Cryptocurrencies (RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:7-:d:304783)
by Christian M. Hafner
Monthly Art Market Returns (RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:100-:d:360049)
by Fabian Y.R.P. Bocart & Eric Ghysels & Christian M. Hafner
Efficient estimation of a multivariate multiplicative volatility model (RePEc:hal:journl:hal-00732539)
by Christian M. Hafner & Oliver Linton
Weak Diffusion Limits of Dynamic Conditional Correlation Models (RePEc:hal:journl:hal-01590010)
by Christian M. Hafner & Sébastien Laurent & Francesco Violante
On heterogeneous latent class models with applications to the analysis of rating scores (RePEc:hum:wpaper:sfb649dp2011-062)
by AurÃ©lie Bertrand & Christian M. Hafner
Multivariate Volatility Modeling of Electricity Futures (RePEc:hum:wpaper:sfb649dp2011-063)
by Luc Bauwens & Christian M. Hafner & Diane Pierret
Econometric analysis of volatile art markets (RePEc:hum:wpaper:sfb649dp2011-071)
by Fabian Y. R. P. Bocart & Christian M. Hafner
Support Vector Machines with Evolutionary Feature Selection for Default Prediction (RePEc:hum:wpaper:sfb649dp2012-030)
by Wolfgang Karl HÃ¤rdle & Dedy Dwi Prastyo & Christian Hafner
Volatility of price indices for heterogeneous goods (RePEc:hum:wpaper:sfb649dp2012-039)
by Fabian Y.R.P. Bocart & Christian M. Hafner
Fair re-valuation of wine as an investment (RePEc:hum:wpaper:sfb649dp2013-018)
by Fabian Y.R.P. Bocart & Christian M. Hafner
An augmented Taylor rule for the Federal Reserve's response to asset prices (RePEc:ids:ijcome:v:7:y:2017:i:1/2:p:115-151)
by Christian M. Hafner & Alexandre R. Lauwers
Estimation of a Multiplicative Covariance Structure (RePEc:ifs:cemmap:23/16)
by Christian M. Hafner & Oliver Linton & Haihan Tang
Estimation of a multiplicative covariance structure in the large dimensional case (RePEc:ifs:cemmap:52/16)
by Christian M. Hafner & Oliver Linton & Haihan Tang
Trending Mixture Copula Models with Copula Selection (RePEc:kan:wpaper:201809)
by Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu
Unknown item RePEc:kan:wpaper:202105 (paper)
Fourth Moment Structure of Multivariate GARCH Models (RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54)
by Christian M. Hafner
Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility (RePEc:oup:jfinec:v:18:y:2020:i:2:p:233-249.)
by Christian M Hafner
The effect of additive outliers on a fractional unit root test (RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-015-0265-5)
by Christian M. Hafner & Arie Preminger
Simple approximations for option pricing under mean reversion and stochastic volatility (RePEc:spr:compst:v:18:y:2003:i:3:p:339-353)
by Christian Hafner
On heterogeneous latent class models with applications to the analysis of rating scores (RePEc:spr:compst:v:29:y:2014:i:1:p:307-330)
by Aurélie Bertrand & Christian Hafner
Analysis of cryptocurrency connectedness based on network to transaction volume ratios (RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00054-w)
by Christian M. Hafner & Sabrine Majeri
Macroeconomic news surprises and volatility spillover in foreign exchange markets (RePEc:spr:empeco:v:48:y:2015:i:2:p:577-607)
by Walid Ben Omrane & Christian Hafner
Discrete time option pricing with flexible volatility estimation (RePEc:spr:finsto:v:4:y:2000:i:2:p:189-207)
by Christian M. Hafner & Wolfgang HÄrdle
Analytical quasi maximum likelihood inference in multivariate volatility models (RePEc:spr:metrik:v:67:y:2008:i:2:p:219-239)
by Christian Hafner & Helmut Herwartz
Unknown item RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:95-116 (article)
A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (RePEc:taf:emetrv:v:28:y:2009:i:6:p:612-631)
by Christian Hafner & Philip Hans Franses
The “wrong skewness” problem in stochastic frontier models: A new approach (RePEc:taf:emetrv:v:37:y:2018:i:4:p:380-400)
by Christian M. Hafner & Hans Manner & Léopold Simar
Reconciling negative return skewness with positive time-varying risk premia (RePEc:taf:emetrv:v:41:y:2022:i:8:p:877-894)
by Dimitra Kyriakopoulou & Christian M. Hafner
Cross-correlating wavelet coefficients with applications to high-frequency financial time series (RePEc:taf:japsta:v:39:y:2012:i:6:p:1363-1379)
by Christian M. Hafner
Exponential-Type GARCH Models With Linear-in-Variance Risk Premium (RePEc:taf:jnlbes:v:39:y:2021:i:2:p:589-603)
by Christian M. Hafner & Dimitra Kyriakopoulou
Durations, volume and the prediction of financial returns in transaction time (RePEc:taf:quantf:v:5:y:2005:i:2:p:145-152)
by Christian Hafner
The Euro Introduction and Non-Euro Currencies (RePEc:tin:wpaper:20050044)
by Dick van Dijk & Haris Munandar & Christian M. Hafner
A One Line Derivation of EGARCH (RePEc:tin:wpaper:20140069)
by Michael McAleer & Christian M. Hafner
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process (RePEc:tin:wpaper:20140087)
by Christian M. Hafner & Michael McAleer
A One Line Derivation of EGARCH (RePEc:ucm:doicae:1415)
by Michael McAleer & Christian M. Hafner
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process (RePEc:ucm:doicae:1429)
by Christian M. Hafner & Michael McAleer
Dynamic stochastic copula models: estimation, inference and applications (RePEc:unm:umamet:2008043)
by Hafner, C.M. & Manner, H.
Dynamic stochastic copula models: estimation, inference and applications (RePEc:wly:japmet:v:27:y:2012:i:2:p:269-295)
by Christian M. Hafner & Hans Manner
Multivariate Volatility Modeling Of Electricity Futures (RePEc:wly:japmet:v:28:y:2013:i:5:p:743-761)
by Luc Bauwens & Christian M. Hafner & Diane Pierret
Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market (RePEc:wly:japmet:v:30:y:2015:i:2:p:291-312)
by Fabian Y. R. P. Bocart & Christian M. Hafner
Semiparametric estimation and variable selection for single‐index copula models (RePEc:wly:japmet:v:36:y:2021:i:7:p:962-988)
by Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long
The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case (RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214400028)
by Renfei Gao & Cindy S. H. Wang & Christian M. Hafner
Time-Varying Mixture Copula Models with Copula Selection (RePEc:wyi:wpaper:002438)
by Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu
Semiparametric Estimation and Variable Selection for Single-index Copula Models (RePEc:wyi:wpaper:002440)
by Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long
Semiparametric multivariate volatility models (RePEc:zbw:caseps:200414)
by Rombouts, Jeroen V. K. & Hafner, Christian M.
Testing for Causality in Variance using Multivariate GARCH Models (RePEc:zbw:cauewp:1690)
by Hafner, Christian M. & Herwartz, Helmut
Testing for bubbles in cryptocurrencies with time-varying volatility (RePEc:zbw:irtgdp:2018005)
by Hafner, Christian M.
Trending Mixture Copula Models with Copula Selection (RePEc:zbw:irtgdp:2018057)
by Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan
Semiparametric Estimation and Variable Selection for Single-index Copula Models (RePEc:zbw:irtgdp:2018064)
by Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei
A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series (RePEc:zbw:sfb373:199545)
by Bossaerts, P. & Härdle, Wolfgang & Hafner, C.
Foreign Exchange Rates Have Surprising Volatility (RePEc:zbw:sfb373:199668)
by Bossaerts, P. & Hafner, C. & Härdle, Wolfgang
Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models (RePEc:zbw:sfb373:199718)
by Hafner, C.
Discrete time option pricing with flexible volatility estimation (RePEc:zbw:sfb373:199756)
by Härdle, Wolfgang & Hafner, Christian M.
Flexible stochastic volatility structures for high frequency financial data (RePEc:zbw:sfb373:199834)
by Feldmann, David & Härdle, Wolfgang Karl & Hafner, Christian M. & Hoffmann, Marc & Lepskii, Oleg V. & Tsybakov, Alexandre B.
Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications (RePEc:zbw:sfb373:199922)
by Hafner, Christian M. & Herwartz, Helmut
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis (RePEc:zbw:sfb373:199958)
by Hafner, Christian M. & Herwartz, Helmut
Testing for linear autoregressive dynamics under heteroskedasticity (RePEc:zbw:sfb373:19997)
by Hafner, Christian M. & Herwartz, Helmut
Fourth moments of multivariate GARCH processes (RePEc:zbw:sfb373:200080)
by Hafner, Christian M.
Testing for vector autoregressive dynamics under heteroskedasticity (RePEc:zbw:sfb373:20034)
by Hafner, Christian M. & Herwartz, Helmut
On heterogeneous latent class models with applications to the analysis of rating scores (RePEc:zbw:sfb649:sfb649dp2011-062)
by Bertrand, Aurélie & Hafner, Christian M.
Multivariate volatility modeling of electricity futures (RePEc:zbw:sfb649:sfb649dp2011-063)
by Bauwens, Luc & Hafner, Christian M. & Pierret, Diane
Econometric analysis of volatile art markets (RePEc:zbw:sfb649:sfb649dp2011-071)
by Bocart, Fabian Y. R. P. & Hafner, Christian M.
Volatility of price indices for heterogeneous goods (RePEc:zbw:sfb649:sfb649dp2012-039)
by Bocart, Fabian Y. R. P. & Hafner, Christian M.
Fair re-valuation of wine as an investment (RePEc:zbw:sfb649:sfb649dp2013-018)
by Bocart, Fabian Y. R. P. & Hafner, Christian M.
The wrong skewness problem in stochastic frontier models: A new approach (RePEc:zbw:vfsc15:112812)
by Manner, Hans & Hafner, Christian & Simar, Leopold

The profile is maintained by Christian Matthias Hafner

Permanent link: http://authors.repec.org/pro/pha77/