Details about Christian Matthias Hafner
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Last updated 2022-10-31. Update your information in the RePEc Author Service.
Short-id: pha77
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Working Papers
2022
- A dynamic conditional score model for the log correlation matrix
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019)  LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2022)
- Analysis of cryptocurrency connectedness based on network to transaction volume ratios
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
See also Journal Article in Digital Finance (2022)
- Dynamic Autoregressive Liquidity (DArLiQ)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2022) View citations (1) Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2022)  LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2022) View citations (1)
- Dynamic portfolio selection with sector-specific regularization
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2022) LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2020)
- Dynamic score driven independent component analysis
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2020)
- Investing in superheroes? Comic art as a new alternative investment
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019)
- Panel stochastic frontier analysis with dependent error terms
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
- Reconciling negative return skewness with positive time-varying risk premia
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
See also Journal Article in Econometric Reviews (2022)
- Semiparametric estimation and variable selection for single-index copula models
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019) View citations (2) IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) 
See also Journal Article in Journal of Applied Econometrics (2021)
- Time-Varying Mixture Copula Models with Copula Selection
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2021)  Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019) View citations (1)
2021
- Teaching statistical inference without normality
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
2020
- Estimation of a multiplicative correlation structure in the large dimensional case
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2018) 
See also Journal Article in Journal of Econometrics (2020)
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019) View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2021)
- Identification of structural multivariate GARCH models
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) 
See also Journal Article in Journal of Econometrics (2022)
- Monthly Art Market Returns
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) 
See also Journal Article in JRFM (2020)
- The Spread of the Covid-19 Pandemic in Time and Space
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (11)
See also Journal Article in IJERPH (2020)
2019
- Asymmetries in Business Cycles and the Role of Oil Prices
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017) 
See also Journal Article in Macroeconomic Dynamics (2019)
- Looking Backward and Looking Forward
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (2)
See also Journal Article in Econometrics (2019)
- Sentiment-Induced Bubbles in the Cryptocurrency Market
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (21)
See also Journal Article in JRFM (2019)
2018
- A simple solution of the spurious regression problem
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)
- Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (45)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (46) LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (45) IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (41)
See also Journal Article in The Journal of Financial Econometrics (2020)
- The "wrong skewness" problem in stochastic frontier models: A new approach
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (8)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) View citations (1) VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association (2015) View citations (1)
See also Journal Article in Econometric Reviews (2018)
- The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (3)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013)  LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015)
- Trending Mixture Copula Models with Copula Selection
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics 
Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
2017
- An Almost Closed Form Estimator For The EGARCH Model
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (6)
Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (6) LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)  LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (6)
See also Journal Article in Econometric Theory (2017)
- An augmented Taylor rule for the Federal Reserve's response to asset prices
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017) View citations (2)
See also Journal Article in International Journal of Computational Economics and Econometrics (2017)
- Heterogeneous Liquidity Effects in Corporate Bond Spreads
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
- On Asymptotic Theory for ARCH (infinity) Models
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016)  LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017)  LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017)
- Weak Diffusion Limits of Dynamic Conditional Correlation Models
Post-Print, HAL View citations (3)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)  LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017) View citations (2) LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (2) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (1) LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) View citations (1)
See also Journal Article in Econometric Theory (2017)
2016
- A Simple Model for Now-Casting Volatility Series
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014)  LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (3) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014)  LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) View citations (3) LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015)  LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) View citations (3)
See also Journal Article in International Journal of Forecasting (2016)
- Estimation of a Multiplicative Covariance Structure
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
- Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016)  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016)
- The Effect of Additive Outliers on Fractional Unit Root Tests
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015)  LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
See also Journal Article in AStA Advances in Statistical Analysis (2016)
2015
- A note on the Tobit model in the presence of a duration variable
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014)  LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014)  LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015) View citations (1)
See also Journal Article in Economics Letters (2015)
- An ARCH Model Without Intercept
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015) View citations (4)
See also Journal Article in Economics Letters (2015)
- An augmented Taylor rule for the Federal Reserve’s response to asset prices
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
- Fair Revaluation of Wine as an Investment
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013) View citations (7) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (5) SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2013) View citations (6)
See also Journal Article in Journal of Wine Economics (2015)
- Macroeconomic news surprises and volatility spillover in foreign exchange markets
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (15)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013) 
See also Journal Article in Empirical Economics (2015)
- Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015) View citations (7)
See also Journal Article in Journal of Applied Econometrics (2015)
2014
- A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (17)
Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)  Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (17)
- A One Line Derivation of EGARCH
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (72)
Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)  LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (67) Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (71) Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (72)
See also Journal Article in Econometrics (2014)
- Inference in stochastic frontier analysis with dependent error terms
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2012) 
See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2014)
- Local Government Efficiency: The Case of Moroccan Municipalities
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013) 
See also Journal Article in African Development Review (2014)
- On heterogeneous latent class models with applications to the analysis of rating scores
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (3) SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) View citations (3)
See also Journal Article in Computational Statistics (2014)
- Support Vector Machines with Evolutionary Model Selection for Default Prediction
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
- The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
2013
- An Almost Closed Form Estimator for the EGARCH
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
- Modelling multivariate volatility of electricity futures
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
- Multivariate volatility modeling of electricity futures
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (20)
Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) View citations (13) LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (12) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (22)
See also Journal Article in Journal of Applied Econometrics (2013)
- Support Vector Machines with Evolutionary Feature Selection for Default Prediction
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) 
Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) View citations (2)
2012
- Cross-correlating wavelet coefficients with applications to high-frequency financial time series
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (3)
See also Journal Article in Journal of Applied Statistics (2012)
- Dynamic stochastic copula models: Estimation, inference and applications
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (64)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2008) 
See also Journal Article in Journal of Applied Econometrics (2012)
- Econometric analysis of volatile art markets
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (4)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (11) SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) View citations (5) LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (11)
See also Journal Article in Computational Statistics & Data Analysis (2012)
- On the estimation of dynamic conditional correlation models
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (39)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2010) View citations (8)
See also Journal Article in Computational Statistics & Data Analysis (2012)
- Volatility Models
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (6)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (1) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (21)
- Volatility of price indices for heterogeneous goods
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) View citations (2)
2011
- Asymmetries in Business Cycles and the Role of Oil Production
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
- Estimating autocorrelations in the presence of deterministic trends
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2008) 
See also Journal Article in Journal of Time Series Econometrics (2011)
- Locally Stationary Factor Models: Identification And Nonparametric Estimation
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (16)
Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2010)
See also Journal Article in Econometric Theory (2011)
- Multivariate Time Series Models for Asset Prices
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
- The Euro-introduction and non-Euro currencies
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2006) View citations (7)
See also Journal Article in Applied Financial Economics (2011)
2010
- Deciding between GARCH and Stochastic Volatility via Strong Decision Rules
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (8)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (4)
- Efficient estimation of a multivariate multiplicative volatility model
Post-Print, HAL View citations (38)
Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) View citations (1)
See also Journal Article in Journal of Econometrics (2010)
- Efficient estimation of a semiparametric dynamic copula model
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (28)
See also Journal Article in Computational Statistics & Data Analysis (2010)
2007
- Multivariate mixed normal conditional heteroskedasticity
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (29)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (3) Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (4)
See also Journal Article in Computational Statistics & Data Analysis (2007)
2006
- Asymptotic theory for a factor GARCH model
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 
See also Journal Article in Econometric Theory (2009)
2005
- Durations, volume and the prediction of financial returns in transaction time
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (5)
See also Journal Article in Quantitative Finance (2005)
- Ridge regression revisited
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
See also Journal Article in Statistica Neerlandica (2005)
- Semi-Parametric Modelling of Correlation Dynamics
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)
2004
- Estimation of temporally aggregated multivariate GARCH models
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (5)
- Nonparametric multistep-ahead prediction in time series analysis
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
See also Journal Article in Journal of the Royal Statistical Society Series B (2004)
- Semiparametric multivariate volatility models
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (4)
See also Journal Article in Econometric Theory (2007)
- Temporal aggregation of multivariate GARCH processes
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (6)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (6)
See also Journal Article in Journal of Econometrics (2008)
- Testing for Causality in Variance using Multivariate GARCH Models
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (17)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (15)
See also Journal Article in Annals of Economics and Statistics (2008)
2003
- A generalized dynamic conditional correlation model for many asset returns
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (23)
- Analytical quasi maximum likelihood inference in multivariate volatility models
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)
See also Journal Article in Metrika: International Journal for Theoretical and Applied Statistics (2008)
- Semiparametric multivariate GARCH models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
- 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 
See also Journal Article in Computational Statistics (2003)
2002
- Testing for vector autoregressive dynamics under heteroskedasticity
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) View citations (2)
2001
- Fourth moments of multivariate GARCH processes
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000)
- Volatility impulse response functions for multivariate GARCH models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1998) View citations (1)
2000
- Discrete time option pricing with flexible volatility estimation
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (8)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (3) SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1997) View citations (3)
See also Journal Article in Finance and Stochastics (2000)
1999
- 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 View citations (1)
See also Journal Article in Journal of Empirical Finance (2001)
- 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 View citations (5)
1998
- 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
- 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 View citations (4)
See also Journal Article in Econometrics Journal (2000)
1997
- 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 (3)
1996
- 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 (11)
1995
- 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 (4)
Journal Articles
2022
- Analysis of cryptocurrency connectedness based on network to transaction volume ratios
Digital Finance, 2022, 4, (2), 187-216 
See also Working Paper (2022)
- Identification of structural multivariate GARCH models
Journal of Econometrics, 2022, 227, (1), 212-227 View citations (3)
See also Working Paper (2020)
- Reconciling negative return skewness with positive time-varying risk premia
Econometric Reviews, 2022, 41, (8), 877-894 
See also Working Paper (2022)
2021
- A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms
International Econometric Review (IER), 2021, 13, (2), 24-40
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
Journal of Business & Economic Statistics, 2021, 39, (2), 589-603 
See also Working Paper (2020)
- Semiparametric estimation and variable selection for single‐index copula models
Journal of Applied Econometrics, 2021, 36, (7), 962-988 
See also Working Paper (2022)
2020
- Alternative Assets and Cryptocurrencies
JRFM, 2020, 13, (1), 1-3
- Estimation of a multiplicative correlation structure in the large dimensional case
Journal of Econometrics, 2020, 217, (2), 431-470 View citations (1)
See also Working Paper (2020)
- Monthly Art Market Returns
JRFM, 2020, 13, (5), 1-22 View citations (2)
See also Working Paper (2020)
- Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility
The Journal of Financial Econometrics, 2020, 18, (2), 233-249 View citations (23)
See also Working Paper (2018)
- The Spread of the Covid-19 Pandemic in Time and Space
IJERPH, 2020, 17, (11), 1-13 View citations (6)
See also Working Paper (2020)
2019
- ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES
Macroeconomic Dynamics, 2019, 23, (4), 1622-1648 
See also Working Paper (2019)
- Looking Backward and Looking Forward
Econometrics, 2019, 7, (2), 1-24 
See also Working Paper (2019)
- Sentiment-Induced Bubbles in the Cryptocurrency Market
JRFM, 2019, 12, (2), 1-12 View citations (21)
See also Working Paper (2019)
2018
- A simple solution of the spurious regression problem
Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (3), 14 
See also Working Paper (2018)
- The “wrong skewness” problem in stochastic frontier models: A new approach
Econometric Reviews, 2018, 37, (4), 380-400 View citations (4)
See also Working Paper (2018)
2017
- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
Econometric Theory, 2017, 33, (4), 1013-1038 View citations (6)
See also Working Paper (2017)
- An augmented Taylor rule for the Federal Reserve's response to asset prices
International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 115-151 View citations (2)
See also Working Paper (2017)
- On Asymptotic Theory for ARCH (∞) Models
Journal of Time Series Analysis, 2017, 38, (6), 865-879 View citations (2)
- WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
Econometric Theory, 2017, 33, (3), 691-716 View citations (2)
See also Working Paper (2017)
2016
- A simple model for now-casting volatility series
International Journal of Forecasting, 2016, 32, (4), 1247-1255 View citations (3)
See also Working Paper (2016)
- The effect of additive outliers on a fractional unit root test
AStA Advances in Statistical Analysis, 2016, 100, (4), 401-420 
See also Working Paper (2016)
2015
- A note on the Tobit model in the presence of a duration variable
Economics Letters, 2015, 126, (C), 47-50 View citations (1)
See also Working Paper (2015)
- An ARCH model without intercept
Economics Letters, 2015, 129, (C), 13-17 View citations (4)
See also Working Paper (2015)
- Fair Revaluation of Wine as an Investment*
Journal of Wine Economics, 2015, 10, (2), 190-203 View citations (5)
See also Working Paper (2015)
- Macroeconomic news surprises and volatility spillover in foreign exchange markets
Empirical Economics, 2015, 48, (2), 577-607 View citations (14)
See also Working Paper (2015)
- Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market
Journal of Applied Econometrics, 2015, 30, (2), 291-312 View citations (7)
See also Working Paper (2015)
2014
- A One Line Derivation of EGARCH
Econometrics, 2014, 2, (2), 1-6 View citations (72)
See also Working Paper (2014)
- Inference in stochastic frontier analysis with dependent error terms
Mathematics and Computers in Simulation (MATCOM), 2014, 102, (C), 131-143 View citations (7)
Also in Mathematics and Computers in Simulation (MATCOM), 2014, 102, (C), 104-116 (2014) View citations (7)
See also Working Paper (2014)
- Local Government Efficiency: The Case of Moroccan Municipalities
African Development Review, 2014, 26, (1), 88-101 View citations (6)
Also in African Development Review, 2014, 26, (1), (88–101 (2014) View citations (6)
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- On heterogeneous latent class models with applications to the analysis of rating scores
Computational Statistics, 2014, 29, (1), 307-330 
See also Working Paper (2014)
- THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE
Annals of Financial Economics (AFE), 2014, 09, (02), 1-23
2013
- MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
Journal of Applied Econometrics, 2013, 28, (5), 743-761 View citations (29)
See also Working Paper (2013)
2012
- Cross-correlating wavelet coefficients with applications to high-frequency financial time series
Journal of Applied Statistics, 2012, 39, (6), 1363-1379 View citations (3)
See also Working Paper (2012)
- Dynamic stochastic copula models: estimation, inference and applications
Journal of Applied Econometrics, 2012, 27, (2), 269-295 View citations (61)
See also Working Paper (2012)
- Econometric analysis of volatile art markets
Computational Statistics & Data Analysis, 2012, 56, (11), 3091-3104 View citations (5)
See also Working Paper (2012)
- On the estimation of dynamic conditional correlation models
Computational Statistics & Data Analysis, 2012, 56, (11), 3533-3545 View citations (44)
See also Working Paper (2012)
2011
- Estimating Autocorrelations in the Presence of Deterministic Trends
Journal of Time Series Econometrics, 2011, 3, (2), 1-25 
See also Working Paper (2011)
- LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
Econometric Theory, 2011, 27, (6), 1279-1319 View citations (18)
See also Working Paper (2011)
- The euro introduction and noneuro currencies
Applied Financial Economics, 2011, 21, (1-2), 95-116 View citations (23)
See also Working Paper (2011)
2010
- Efficient estimation of a multivariate multiplicative volatility model
Journal of Econometrics, 2010, 159, (1), 55-73 View citations (41)
See also Working Paper (2010)
- Efficient estimation of a semiparametric dynamic copula model
Computational Statistics & Data Analysis, 2010, 54, (11), 2609-2627 View citations (32)
See also Working Paper (2010)
2009
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
Econometric Reviews, 2009, 28, (6), 612-631 View citations (59)
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
Econometric Theory, 2009, 25, (2), 336-363 View citations (19)
See also Working Paper (2006)
- Causality and forecasting in temporally aggregated multivariate GARCH processes
Econometrics Journal, 2009, 12, (1), 127-146 View citations (7)
- Information Spillover, Volatility and the Currency Markets for the Binary Choice Model
International Econometric Review (IER), 2009, 1, (1), 50-62 View citations (3)
- On asymptotic theory for multivariate GARCH models
Journal of Multivariate Analysis, 2009, 100, (9), 2044-2054 View citations (56)
- Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
Statistica Neerlandica, 2009, 63, (3), 294-323 View citations (32)
2008
- Analytical quasi maximum likelihood inference in multivariate volatility models
Metrika: International Journal for Theoretical and Applied Statistics, 2008, 67, (2), 219-239 View citations (32)
See also Working Paper (2003)
- 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
- Temporal aggregation of multivariate GARCH processes
Journal of Econometrics, 2008, 142, (1), 467-483 View citations (18)
See also Working Paper (2004)
- Testing for Causality in Variance Usinf Multivariate GARCH Models
Annals of Economics and Statistics, 2008, (89), 215-241 View citations (37)
See also Working Paper (2004)
2007
- Multivariate mixed normal conditional heteroskedasticity
Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 View citations (36)
See also Working Paper (2007)
- SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
Econometric Theory, 2007, 23, (2), 251-280 View citations (36)
See also Working Paper (2004)
2006
- A Lagrange multiplier test for causality in variance
Economics Letters, 2006, 93, (1), 137-141 View citations (79)
- Comment
Journal of the American Statistical Association, 2006, 101, 998-1001
- Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
Journal of International Money and Finance, 2006, 25, (5), 719-740 View citations (89)
2005
- Durations, volume and the prediction of financial returns in transaction time
Quantitative Finance, 2005, 5, (2), 145-152 View citations (11)
See also Working Paper (2005)
- Ridge regression revisited
Statistica Neerlandica, 2005, 59, (4), 498-505 View citations (1)
See also Working Paper (2005)
2004
- Nonparametric multistep‐ahead prediction in time series analysis
Journal of the Royal Statistical Society Series B, 2004, 66, (3), 669-686 View citations (11)
See also Working Paper (2004)
2003
- Fourth Moment Structure of Multivariate GARCH Models
The Journal of Financial Econometrics, 2003, 1, (1), 26-54 View citations (52)
- Simple approximations for option pricing under mean reversion and stochastic volatility
Computational Statistics, 2003, 18, (3), 339-353 
See also Working Paper (2003)
2001
- Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Journal of Empirical Finance, 2001, 8, (1), 1-34 View citations (20)
See also Working Paper (1999)
2000
- Discrete time option pricing with flexible volatility estimation
Finance and Stochastics, 2000, 4, (2), 189-207 View citations (19)
See also Working Paper (2000)
- Testing for linear autoregressive dynamics under heteroskedasticity
Econometrics Journal, 2000, 3, (2), 177-197 View citations (19)
See also Working Paper (1998)
1998
- Structural analysis of portfolio risk using beta impulse response functions
Statistica Neerlandica, 1998, 52, (3), 336-355 View citations (9)
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