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Details about Christian Matthias Hafner

E-mail:
Homepage:http://www.stat.ucl.ac.be/ISpersonnel/hafner/index.html
Phone:00 32 10 47 43 06
Postal address:Institute of statistics Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium
Workplace:Institut de statistique, Université catholique de Louvain
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain (Economics School of Louvain), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)

Access statistics for papers by Christian Matthias Hafner.

Last updated 2016-12-26. Update your information in the RePEc Author Service.

Short-id: pha77


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Working Papers

2016

  1. Estimation of a Multiplicative Covariance Structure
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  2. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  3. Looking Backward and Looking Forward
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  4. On Asymptotic Theory for ARCH(infinite) Models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  5. Weak Diffusion Limits of Dynamic Conditional Correlation Models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

2015

  1. A Simple Model for Now-Casting Volatility Series
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) Downloads

    See also Journal Article in International Journal of Forecasting (2016)
  2. The wrong skewness problem in stochastic frontier models: A new approach
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) Downloads

2014

  1. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (6)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
  2. A One Line Derivation of EGARCH
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (33)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (39)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (39)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (39)

    See also Journal Article in Econometrics (2014)
  3. A note on the Tobit model in the presence of a duration variable
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Economics Letters (2015)

2013

  1. An almost closed form estimator for the EGARCH model
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  2. Fair re-valuation of wine as an investment
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) Downloads

    See also Journal Article in Journal of Wine Economics (2015)

2012

  1. Support Vector Machines with Evolutionary Feature Selection for Default Prediction
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  2. Volatility of price indices for heterogeneous goods
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2011

  1. Econometric analysis of volatile art markets
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. Multivariate Volatility Modeling of Electricity Futures
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (20)

    See also Journal Article in Journal of Applied Econometrics (2013)
  3. On heterogeneous latent class models with applications to the analysis of rating scores
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in Computational Statistics (2014)
  4. Volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (21)

2010

  1. Efficient estimation of a multivariate multiplicative volatility model
    Post-Print, HAL Downloads View citations (9)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)

2008

  1. Dynamic stochastic copula models: Estimation, inference and applications
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads
    See also Journal Article in Journal of Applied Econometrics (2012)
  2. Estimating autocorrelations in the presence of deterministic trends
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of Time Series Econometrics (2011)

2006

  1. ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
    Working Papers, Ben-Gurion University of the Negev, Department of Economics Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads

    See also Journal Article in Econometric Theory (2009)
  2. DECIDING BETWEEN GARCH AND STOCHASTIC VOLATILITY VIA STRONG DECISION RULES
    Working Papers, Ben-Gurion University of the Negev, Department of Economics Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (4)
  3. Multivariate mixed normal conditional heteroskedasticity
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (2)

    See also Journal Article in Computational Statistics & Data Analysis (2007)
  4. The Euro Introduction and Non-Euro Currencies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2011)

2005

  1. Ridge regression revisited
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    See also Journal Article in Statistica Neerlandica (2005)
  2. Semi-Parametric Modelling of Correlation Dynamics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)

2004

  1. Estimation of temporally aggregated multivariate GARCH models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads View citations (3)
  2. Semiparametric multivariate volatility models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) (2004) Downloads View citations (3)

    See also Journal Article in Econometric Theory (2007)
  3. Temporal aggregation of multivariate GARCH processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2008)
  4. Testing for Causality in Variance using Multivariate GARCH Models
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (10)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) Downloads View citations (10)

    See also Journal Article in Annals of Economics and Statistics (2008)

2003

  1. A generalized dynamic conditional correlation model for many asset returns
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (16)
  2. Analytical quasi maximum likelihood inference in multivariate volatility models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
    See also Journal Article in Metrika: International Journal for Theoretical and Applied Statistics (2008)
  3. Semiparametric multivariate GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
  4. Simple approximations for option pricing under mean reversion and stochastic volatility
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Computational Statistics (2003)

2002

  1. Testing for vector autoregressive dynamics under heteroskedasticity
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2002) Downloads

2001

  1. Fourth moments of multivariate GARCH processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads
  2. Volatility impulse response functions for multivariate GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (8)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1998) Downloads View citations (1)

2000

  1. Durations, Volume and the Prediction of Financial Returns in Transaction Time
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (5)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Quantitative Finance (2005)

1999

  1. Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2001)
  2. Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (4)

1998

  1. Flexible stochastic volatility structures for high frequency financial data
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  2. Testing for linear autoregressive dynamics under heteroskedasticity
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (4)
    See also Journal Article in Econometrics Journal (2000)

1997

  1. Discrete time option pricing with flexible volatility estimation
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1997) Downloads View citations (3)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Finance and Stochastics (2000)
  2. Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)

1996

  1. Foreign Exchange Rates Have Surprising Volatility
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (8)

1995

  1. A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)

Undated

  1. Nonparametric multistep-ahead prediction in time series analysis
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series B (2004)

Journal Articles

2016

  1. A simple model for now-casting volatility series
    International Journal of Forecasting, 2016, 32, (4), 1247-1255 Downloads
    See also Working Paper (2015)
  2. The effect of additive outliers on a fractional unit root test
    AStA Advances in Statistical Analysis, 2016, 100, (4), 401-420 Downloads

2015

  1. A note on the Tobit model in the presence of a duration variable
    Economics Letters, 2015, 126, (C), 47-50 Downloads
    See also Working Paper (2014)
  2. An ARCH model without intercept
    Economics Letters, 2015, 129, (C), 13-17 Downloads View citations (2)
  3. Fair Revaluation of Wine as an Investment
    Journal of Wine Economics, 2015, 10, (02), 190-203 Downloads View citations (6)
    See also Working Paper (2013)
  4. Macroeconomic news surprises and volatility spillover in foreign exchange markets
    Empirical Economics, 2015, 48, (2), 577-607 Downloads View citations (1)
  5. Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market
    Journal of Applied Econometrics, 2015, 30, (2), 291-312 Downloads View citations (1)

2014

  1. A One Line Derivation of EGARCH
    Econometrics, 2014, 2, (2), 1-6 Downloads View citations (39)
    See also Working Paper (2014)
  2. Inference in stochastic frontier analysis with dependent error terms
    Mathematics and Computers in Simulation (MATCOM), 2014, 102, (C), 131-143 Downloads
    Also in Mathematics and Computers in Simulation (MATCOM), 2014, 102, (C), 104-116 (2014) Downloads
  3. Local Government Efficiency: The Case of Moroccan Municipalities
    African Development Review, 2014, 26, (1), (88–101 View citations (1)
    Also in African Development Review, 2014, 26, (1), 88-101 (2014) Downloads View citations (1)
  4. On heterogeneous latent class models with applications to the analysis of rating scores
    Computational Statistics, 2014, 29, (1), 307-330 Downloads
    See also Working Paper (2011)
  5. THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE
    Annals of Financial Economics (AFE), 2014, 09, (02), 1440002-1-1440002-23 Downloads

2013

  1. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
    Journal of Applied Econometrics, 2013, 28, (5), 743-761 Downloads View citations (10)
    See also Working Paper (2011)

2012

  1. Cross-correlating wavelet coefficients with applications to high-frequency financial time series
    Journal of Applied Statistics, 2012, 39, (6), 1363-1379 Downloads View citations (1)
  2. Dynamic stochastic copula models: estimation, inference and applications
    Journal of Applied Econometrics, 2012, 27, (2), 269-295 View citations (25)
    See also Working Paper (2008)
  3. Econometric analysis of volatile art markets
    Computational Statistics & Data Analysis, 2012, 56, (11), 3091-3104 Downloads View citations (3)
    See also Working Paper (2011)
  4. On the estimation of dynamic conditional correlation models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3533-3545 Downloads View citations (25)

2011

  1. Estimating Autocorrelations in the Presence of Deterministic Trends
    Journal of Time Series Econometrics, 2011, 3, (2), 1-25 Downloads
    See also Working Paper (2008)
  2. LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
    Econometric Theory, 2011, 27, (06), 1279-1319 Downloads View citations (6)
  3. The euro introduction and noneuro currencies
    Applied Financial Economics, 2011, 21, (1-2), 95-116 Downloads View citations (18)
    See also Working Paper (2006)

2010

  1. Efficient estimation of a multivariate multiplicative volatility model
    Journal of Econometrics, 2010, 159, (1), 55-73 Downloads View citations (15)
    See also Working Paper (2010)
  2. Efficient estimation of a semiparametric dynamic copula model
    Computational Statistics & Data Analysis, 2010, 54, (11), 2609-2627 Downloads View citations (15)

2009

  1. A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
    Econometric Reviews, 2009, 28, (6), 612-631 Downloads View citations (35)
  2. ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
    Econometric Theory, 2009, 25, (02), 336-363 Downloads View citations (10)
    See also Working Paper (2006)
  3. Causality and forecasting in temporally aggregated multivariate GARCH processes
    Econometrics Journal, 2009, 12, (1), 127-146 Downloads View citations (5)
  4. Information Spillover, Volatility and the Currency Markets for the Binary Choice Model
    International Econometric Review (IER), 2009, 1, (1), 50-62 Downloads View citations (2)
  5. On asymptotic theory for multivariate GARCH models
    Journal of Multivariate Analysis, 2009, 100, (9), 2044-2054 Downloads View citations (24)
  6. Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
    Statistica Neerlandica, 2009, 63, (3), 294-323 Downloads View citations (14)

2008

  1. Analytical quasi maximum likelihood inference in multivariate volatility models
    Metrika: International Journal for Theoretical and Applied Statistics, 2008, 67, (2), 219-239 Downloads View citations (21)
    See also Working Paper (2003)
  2. Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner
    International Statistical Review, 2008, 76, (2), 313-314 Downloads
  3. Temporal aggregation of multivariate GARCH processes
    Journal of Econometrics, 2008, 142, (1), 467-483 Downloads View citations (14)
    See also Working Paper (2004)
  4. Testing for Causality in Variance Usinf Multivariate GARCH Models
    Annals of Economics and Statistics, 2008, (89), 215-241 Downloads
    See also Working Paper (2004)

2007

  1. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 Downloads View citations (25)
    See also Working Paper (2006)
  2. SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
    Econometric Theory, 2007, 23, (02), 251-280 Downloads View citations (18)
    See also Working Paper (2004)

2006

  1. A Lagrange multiplier test for causality in variance
    Economics Letters, 2006, 93, (1), 137-141 Downloads View citations (37)
  2. Comment
    Journal of the American Statistical Association, 2006, 101, 998-1001 Downloads
  3. Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
    Journal of International Money and Finance, 2006, 25, (5), 719-740 Downloads View citations (30)

2005

  1. Durations, volume and the prediction of financial returns in transaction time
    Quantitative Finance, 2005, 5, (2), 145-152 Downloads View citations (3)
    See also Working Paper (2000)
  2. Ridge regression revisited
    Statistica Neerlandica, 2005, 59, (4), 498-505 Downloads View citations (1)
    See also Working Paper (2005)

2004

  1. Nonparametric multistep-ahead prediction in time series analysis
    Journal of the Royal Statistical Society Series B, 2004, 66, (3), 669-686 Downloads View citations (7)
    See also Working Paper

2003

  1. Fourth Moment Structure of Multivariate GARCH Models
    Journal of Financial Econometrics, 2003, 1, (1), 26-54 View citations (41)
  2. Simple approximations for option pricing under mean reversion and stochastic volatility
    Computational Statistics, 2003, 18, (3), 339-353 Downloads
    See also Working Paper (2003)

2001

  1. Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
    Journal of Empirical Finance, 2001, 8, (1), 1-34 Downloads View citations (14)
    See also Working Paper (1999)

2000

  1. Discrete time option pricing with flexible volatility estimation
    Finance and Stochastics, 2000, 4, (2), 189-207 Downloads View citations (17)
    See also Working Paper (1997)
  2. Testing for linear autoregressive dynamics under heteroskedasticity
    Econometrics Journal, 2000, 3, (2), 177-197 View citations (9)
    See also Working Paper (1998)

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