Christian M. Hafner
Christian M. Hafner
Professor of econometrics, UCL Louvain-la-Neuve
Verified email at uclouvain.be
TitleCited byYear
Statistics of financial markets
J Franke, WK Härdle, CM Hafner
Springer, 2004
3542004
Einführung in die Statistik der Finanzmärkte
J Franke, WK Härdle, CM Hafner
Springer-Verlag, 2012
170*2012
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
CM Hafner, H Herwartz
Journal of International Money and Finance 25 (5), 719-740, 2006
164*2006
A generalized dynamic conditional correlation model: simulation and application to many assets
CM Hafner, PH Franses
Econometric Reviews 28 (6), 612-631, 2009
154*2009
Handbook of volatility models and their applications
L Bauwens, CM Hafner, S Laurent
John Wiley & Sons, 2012
148*2012
Dynamic stochastic copula models: Estimation, inference and applications
CM Hafner, H Manner
Journal of Applied Econometrics 27 (2), 269-295, 2012
1392012
A Lagrange multiplier test for causality in variance
CM Hafner, H Herwartz
Economics letters 93 (1), 137-141, 2006
1232006
Fourth moment structure of multivariate GARCH models
CM Hafner
Journal of Financial Econometrics 1 (1), 26-54, 2003
1112003
Testing for causality in variance using multivariate GARCH models
CM Hafner, H Herwartz
Annales d'Economie et de Statistique, 215-241, 2008
100*2008
Discrete time option pricing with flexible volatility estimation
W Härdle, CM Hafner
Finance and Stochastics 4 (2), 189-207, 2000
922000
On the estimation of dynamic conditional correlation models
CM Hafner, O Reznikova
Computational Statistics & Data Analysis 56 (11), 3533-3545, 2012
892012
Efficient estimation of a semiparametric dynamic copula model
CM Hafner, O Reznikova
Computational Statistics & Data Analysis 54 (11), 2609-2627, 2010
762010
On asymptotic theory for multivariate GARCH models
CM Hafner, A Preminger
Journal of Multivariate Analysis 100 (9), 2044-2054, 2009
752009
Efficient estimation of a multivariate multiplicative volatility model
CM Hafner, O Linton
Journal of econometrics 159 (1), 55-73, 2010
722010
Nonlinear time series analysis with applications to foreign exchange rate volatility
C Hafner
Springer Science & Business Media, 2013
712013
Multivariate mixed normal conditional heteroskedasticity
L Bauwens, CM Hafner, JVK Rombouts
Computational Statistics & Data Analysis 51 (7), 3551-3566, 2007
672007
Semiparametric multivariate volatility models
CM Hafner, JVK Rombouts
Econometric Theory 23 (2), 251-280, 2007
65*2007
Analytical quasi maximum likelihood inference in multivariate volatility models
CM Hafner, H Herwartz
Metrika 67 (2), 219-239, 2008
64*2008
Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
CM Hafner
Journal of Statistical Planning and Inference 68 (2), 247-269, 1998
641998
A one line derivation of EGARCH
M McAleer, C Hafner
Econometrics 2 (2), 92-97, 2014
622014
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Articles 1–20