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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
7102006
Statistics of financial markets
J Franke, WK Härdle, CM Hafner
Springer, 2004
4752004
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
264*2006
Handbook of volatility models and their applications
L Bauwens, CM Hafner, S Laurent
John Wiley & Sons, 2012
2242012
Dynamic stochastic copula models: Estimation, inference and applications
CM Hafner, H Manner
Journal of applied econometrics 27 (2), 269-295, 2012
2232012
A Lagrange multiplier test for causality in variance
CM Hafner, H Herwartz
Economics letters 93 (1), 137-141, 2006
2112006
Einführung in die Statistik der Finanzmärkte
J Franke, WK Härdle, CM Hafner
Springer-Verlag, 2012
191*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
1462020
On asymptotic theory for multivariate GARCH models
CM Hafner, A Preminger
Journal of Multivariate Analysis 100 (9), 2044-2054, 2009
1272009
On the estimation of dynamic conditional correlation models
CM Hafner, O Reznikova
Computational Statistics & Data Analysis 56 (11), 3533-3545, 2012
1232012
Testing for causality in variance using multivariate GARCH models
CM Hafner, H Herwartz
Annales d'Economie et de Statistique, 215-241, 2008
116*2008
Fourth moment structure of multivariate GARCH models
CM Hafner
Journal of Financial Econometrics 1 (1), 26-54, 2003
1142003
Efficient estimation of a multivariate multiplicative volatility model
CM Hafner, O Linton
Journal of econometrics 159 (1), 55-73, 2010
1052010
Discrete time option pricing with flexible volatility estimation
W Härdle, CM Hafner
Finance and Stochastics 4, 189-207, 2000
1012000
Efficient estimation of a semiparametric dynamic copula model
CM Hafner, O Reznikova
Computational Statistics & Data Analysis 54 (11), 2609-2627, 2010
992010
A one line derivation of EGARCH
M McAleer, CM Hafner
Econometrics 2 (2), 92-97, 2014
922014
Nonlinear time series analysis with applications to foreign exchange rate volatility
C Hafner
Springer Science & Business Media, 2013
912013
Sentiment-induced bubbles in the cryptocurrency market
CYH Chen, CM Hafner
Journal of Risk and Financial Management 12 (2), 53, 2019
902019
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
CM Hafner, H Herwartz
Statistica Neerlandica 63 (3), 294-323, 2009
832009
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