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Christian M. Hafner
Christian M. Hafner
Professor of econometrics, UCL Louvain-la-Neuve
Verified email at uclouvain.be
Title
Cited by
Cited by
Year
Quantile autoregression
R Koenker, Z Xiao
Journal of the American statistical association 101 (475), 980-990, 2006
7362006
Statistics of financial markets
J Franke, WK Härdle, CM Hafner
Springer, 2004
4862004
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
267*2006
Dynamic stochastic copula models: Estimation, inference and applications
CM Hafner, H Manner
Journal of applied econometrics 27 (2), 269-295, 2012
2302012
Handbook of volatility models and their applications
L Bauwens, CM Hafner, S Laurent
John Wiley & Sons, 2012
2292012
A Lagrange multiplier test for causality in variance
CM Hafner, H Herwartz
Economics letters 93 (1), 137-141, 2006
2132006
Einführung in die Statistik der Finanzmärkte
J Franke, WK Härdle, CM Hafner
Springer-Verlag, 2012
189*2012
A generalized dynamic conditional correlation model: simulation and application to many assets
CM Hafner, PH Franses
Econometric Reviews 28 (6), 612-631, 2009
184*2009
Testing for bubbles in cryptocurrencies with time-varying volatility
CM Hafner
Journal of Financial Econometrics 18 (2), 233-249, 2020
1592020
On asymptotic theory for multivariate GARCH models
CM Hafner, A Preminger
Journal of Multivariate Analysis 100 (9), 2044-2054, 2009
1302009
On the estimation of dynamic conditional correlation models
CM Hafner, O Reznikova
Computational Statistics & Data Analysis 56 (11), 3533-3545, 2012
1272012
Testing for causality in variance using multivariate GARCH models
CM Hafner, H Herwartz
Annales d'Economie et de Statistique, 215-241, 2008
118*2008
Fourth moment structure of multivariate GARCH models
CM Hafner
Journal of Financial Econometrics 1 (1), 26-54, 2003
1152003
Efficient estimation of a multivariate multiplicative volatility model
CM Hafner, O Linton
Journal of econometrics 159 (1), 55-73, 2010
1072010
Discrete time option pricing with flexible volatility estimation
W Härdle, CM Hafner
Finance and Stochastics 4, 189-207, 2000
1032000
Efficient estimation of a semiparametric dynamic copula model
CM Hafner, O Reznikova
Computational Statistics & Data Analysis 54 (11), 2609-2627, 2010
1022010
Sentiment-induced bubbles in the cryptocurrency market
CYH Chen, CM Hafner
Journal of Risk and Financial Management 12 (2), 53, 2019
1002019
A one line derivation of EGARCH
M McAleer, CM Hafner
Econometrics 2 (2), 92-97, 2014
962014
Nonlinear time series analysis with applications to foreign exchange rate volatility
C Hafner
Springer Science & Business Media, 2013
922013
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
CM Hafner, H Herwartz
Statistica Neerlandica 63 (3), 294-323, 2009
842009
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