Details about Christian Matthias Hafner

Access statistics for papers by Christian Matthias Hafner.

Last updated 2009-10-20. Update your information in the RePEc Author Service.

Short-id: pha77

Working Papers

2008

1. Dynamic stochastic copula models: Estimation, inference and applications
   Research Memoranda, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
2. Estimating autocorrelations in the presence of deterministic trends
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2006

3. Asymptotic theory for a factor GARCH model
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   See also Journal Article in Econometric Theory (2009)
4. Deciding between GARCH and stochastic volatility via strong decision rules
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
5. Multivariate mixed normal conditional heteroskedasticity
   Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques View citations
   Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
   See also Journal Article in Computational Statistics & Data Analysis (2007)
6. The Euro Introduction and Non-Euro Currencies
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

2005

7. Ridge regression revisited
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
   See also Journal Article in Statistica Neerlandica (2005)
8. Semi-Parametric Modelling of Correlation Dynamics
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations

2004

9. Estimation of temporally aggregated multivariate GARCH models
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
   Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations
10. Semiparametric multivariate volatility models
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    See also Journal Article in Econometric Theory (2007)
11. Temporal aggregation of multivariate GARCH processes
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2004) View citations
    See also Journal Article in Journal of Econometrics (2008)
12. Testing for Causality in Variance using Multivariate GARCH Models
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2004)

2003

13. A generalized dynamic conditional correlation model for many asset returns
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2003) View citations
14. Analytical quasi maximum likelihood inference in multivariate volatility models
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2003) View citations
    See also Journal Article in Metrika (2008)
15. Semiparametric multivariate GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations
16. Simple approximations for option pricing under mean reversion and stochastic volatility
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2003)

2002

17. Testing for vector autoregressive dynamics under heteroskedasticity
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2002)

2001

18. Fourth moments of multivariate GARCH processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
19. Volatility impulse response functions for multivariate GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1998) View citations

2000

20. Durations, Volume and the Prediction of Financial Returns in Transaction Time
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations

1997

21. Discrete time option pricing with flexible volatility estimation
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Finance and Stochastics (2000)

Undated

22. A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
23. Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
24. Flexible Stochastic Volatility Structures for High Frequency Financial Data
    Working Papers, Humboldt University, Sonderforschungsbereich 373
25. Foreign Exchange Rates Have Surprising Volatility
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
26. Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Journal of Empirical Finance (2001)
27. Testing for Linear Autoregressive Dynamics under Heteroskedasticity
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Econometrics Journal (2000)
28. Time-Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

Journal Articles

2009

1. A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
   Econometric Reviews, 2009, 28, (6), 612-631
2. ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
   Econometric Theory, 2009, 25, (02), 336-363
   See also Working Paper (2006)
3. Causality and forecasting in temporally aggregated multivariate GARCH processes
   Econometrics Journal, 2009, 12, (1), 127-146
4. On asymptotic theory for multivariate GARCH models
   Journal of Multivariate Analysis, 2009, 100, (9), 2044-2054
5. Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
   Statistica Neerlandica, 2009, 63, (3), 294-323

2008

6. Analytical quasi maximum likelihood inference in multivariate volatility models
   Metrika, 2008, 67, (2), 219-239 View citations
   See also Working Paper (2003)
7. Temporal aggregation of multivariate GARCH processes
   Journal of Econometrics, 2008, 142, (1), 467-483 View citations
   See also Working Paper (2004)

2007

8. Multivariate mixed normal conditional heteroskedasticity
   Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 View citations
   See also Working Paper (2006)
9. SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
   Econometric Theory, 2007, 23, (02), 251-280 View citations
   See also Working Paper (2004)

2006

10. A Lagrange multiplier test for causality in variance
    Economics Letters, 2006, 93, (1), 137-141
11. Comment
    Journal of the American Statistical Association, 2006, 101, 998-1001
12. Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
    Journal of International Money and Finance, 2006, 25, (5), 719-740 View citations

2005

13. Ridge regression revisited
    Statistica Neerlandica, 2005, 59, (4), 498-505
    See also Working Paper (2005)

2004

14. Nonparametric multistep-ahead prediction in time series analysis
    Journal Of The Royal Statistical Society Series B, 2004, 66, (3), 669-686 View citations

2003

15. Fourth Moment Structure of Multivariate GARCH Models
    Journal of Financial Econometrics, 2003, 1, (1), 26-54 View citations

2001

16. Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
    Journal of Empirical Finance, 2001, 8, (1), 1-34 View citations
    See also Working Paper

2000

17. Discrete time option pricing with flexible volatility estimation
    Finance and Stochastics, 2000, 4, (2), 189-207 View citations
    See also Working Paper (1997)
18. Testing for linear autoregressive dynamics under heteroskedasticity
    Econometrics Journal, 2000, 3, (2), 177-197 View citations
    See also Working Paper