Details about Christian Matthias Hafner

E-mail:
Homepage:	https://scholar.google.be/citations?user=faJIXqUAAAAJ&hl=en
Phone:	00 32 10 47 43 06
Postal address:	Institute of statistics Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium
Workplace:	Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)

Access statistics for papers by Christian Matthias Hafner.

Last updated 2022-10-31. Update your information in the RePEc Author Service.

Short-id: pha77

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Working Papers

2022

1. A dynamic conditional score model for the log correlation matrix
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019)
   LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2022)
2. 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 Analysis of cryptocurrency connectedness based on network to transaction volume ratios, Digital Finance, Springer (2022) (2022)
3. Dynamic Autoregressive Liquidity (DArLiQ)
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (1)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (1)
   Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2022)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2022) View citations (1)
4. 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)
5. 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)
6. 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)
7. Panel stochastic frontier analysis with dependent error terms
   LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
8. 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 Reconciling negative return skewness with positive time-varying risk premia, Econometric Reviews, Taylor & Francis Journals (2022) (2022)
9. 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 IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019) View citations (2)
   See also Journal Article Semiparametric estimation and variable selection for single‐index copula models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)
10. 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, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019) View citations (1)

2021

11. Teaching statistical inference without normality
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

2020

12. 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 (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2018)
    See also Journal Article Estimation of a multiplicative correlation structure in the large dimensional case, Journal of Econometrics, Elsevier (2020) View citations (2) (2020)
13. 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 Exponential-Type GARCH Models With Linear-in-Variance Risk Premium, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (1) (2021)
14. 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 Identification of structural multivariate GARCH models, Journal of Econometrics, Elsevier (2022) View citations (7) (2022)
15. 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 Monthly Art Market Returns, JRFM, MDPI (2020) View citations (2) (2020)
16. 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 (12)
    See also Journal Article The Spread of the Covid-19 Pandemic in Time and Space, IJERPH, MDPI (2020) View citations (7) (2020)

2019

17. 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 ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES, Macroeconomic Dynamics, Cambridge University Press (2019) (2019)
18. 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 Looking Backward and Looking Forward, Econometrics, MDPI (2019) (2019)
19. Sentiment-Induced Bubbles in the Cryptocurrency Market
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (26)
    See also Journal Article Sentiment-Induced Bubbles in the Cryptocurrency Market, JRFM, MDPI (2019) View citations (22) (2019)

2018

20. 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 A simple solution of the spurious regression problem, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2018) (2018)
21. 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 (48)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (45)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (49)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (48)
    See also Journal Article Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility, Journal of Financial Econometrics, Oxford University Press (2020) View citations (40) (2020)
22. 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 (9)
    Also in VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association (2015) View citations (1)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) View citations (1)
    See also Journal Article The “wrong skewness” problem in stochastic frontier models: A new approach, Econometric Reviews, Taylor & Francis Journals (2018) View citations (5) (2018)
23. 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 (4)
    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)
24. 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

25. 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 Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (6)
    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)
    See also Journal Article AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL, Econometric Theory, Cambridge University Press (2017) View citations (6) (2017)
26. An augmented Taylor rule for the Federal Reserve's response to asset prices
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (3)
    See also Journal Article An augmented Taylor rule for the Federal Reserve's response to asset prices, International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd (2017) View citations (2) (2017)
27. 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)
28. 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 ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017)
29. Weak Diffusion Limits of Dynamic Conditional Correlation Models
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (4)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (1)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (4)
    Post-Print, HAL (2017) View citations (5)
    See also Journal Article WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS, Econometric Theory, Cambridge University Press (2017) View citations (4) (2017)

2016

30. 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 (5)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (5)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) View citations (5)
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) View citations (5)
    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 Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015)
    See also Journal Article A simple model for now-casting volatility series, International Journal of Forecasting, Elsevier (2016) View citations (5) (2016)
31. Estimation of a Multiplicative Covariance Structure
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
32. 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)
33. 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 Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015)
    See also Journal Article The effect of additive outliers on a fractional unit root test, AStA Advances in Statistical Analysis, Springer (2016) (2016)

2015

34. 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 Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015) View citations (1)
    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)
    See also Journal Article A note on the Tobit model in the presence of a duration variable, Economics Letters, Elsevier (2015) View citations (1) (2015)
35. An ARCH Model Without Intercept
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015) View citations (5)
    See also Journal Article An ARCH model without intercept, Economics Letters, Elsevier (2015) View citations (5) (2015)
36. 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)
37. Fair Revaluation of Wine as an Investment
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (3)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2013) View citations (6)
    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)
    See also Journal Article Fair Revaluation of Wine as an Investment*, Journal of Wine Economics, Cambridge University Press (2015) View citations (6) (2015)
38. 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 Macroeconomic news surprises and volatility spillover in foreign exchange markets, Empirical Economics, Springer (2015) View citations (14) (2015)
39. 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 Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (7) (2015)

2014

40. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (17)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (17)
41. A One Line Derivation of EGARCH
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (88)
    Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (83)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) View citations (74)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (88)
    See also Journal Article A One Line Derivation of EGARCH, Econometrics, MDPI (2014) View citations (74) (2014)
42. 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 (11)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2012)
    See also Journal Article Inference in stochastic frontier analysis with dependent error terms, Mathematics and Computers in Simulation (MATCOM), Elsevier (2014) View citations (11) (2014)
43. 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 (6)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013)
    See also Journal Article Local Government Efficiency: The Case of Moroccan Municipalities, African Development Review, African Development Bank (2014) View citations (7) (2014)
44. 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 On heterogeneous latent class models with applications to the analysis of rating scores, Computational Statistics, Springer (2014) (2014)
45. 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)
46. 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

47. 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)
48. Modelling multivariate volatility of electricity futures
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
49. Multivariate volatility modeling of electricity futures
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (22)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (22)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (12)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) View citations (13)
    See also Journal Article MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (31) (2013)
50. 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) View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) View citations (2)

2012

51. 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 Cross-correlating wavelet coefficients with applications to high-frequency financial time series, Journal of Applied Statistics, Taylor & Francis Journals (2012) View citations (3) (2012)
52. 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 (76)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2008)
    See also Journal Article Dynamic stochastic copula models: estimation, inference and applications, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (72) (2012)
53. Econometric analysis of volatile art markets
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)
    Also in 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)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (11)
    See also Journal Article Econometric analysis of volatile art markets, Computational Statistics & Data Analysis, Elsevier (2012) View citations (6) (2012)
54. 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 (41)
    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 On the estimation of dynamic conditional correlation models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (46) (2012)
55. 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)
56. Volatility of price indices for heterogeneous goods
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2012) View citations (2)

2011

57. 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)
58. 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 Estimating Autocorrelations in the Presence of Deterministic Trends, Journal of Time Series Econometrics, De Gruyter (2011) (2011)
59. 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 (19)
    Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2010)
    See also Journal Article LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION, Econometric Theory, Cambridge University Press (2011) View citations (21) (2011)
60. 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)
61. 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 The euro introduction and noneuro currencies, Applied Financial Economics, Taylor & Francis Journals (2011) View citations (23) (2011)

2010

62. 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)
63. Efficient estimation of a multivariate multiplicative volatility model
    Post-Print, HAL View citations (41)
    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 Efficient estimation of a multivariate multiplicative volatility model, Journal of Econometrics, Elsevier (2010) View citations (44) (2010)
64. 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 (29)
    See also Journal Article Efficient estimation of a semiparametric dynamic copula model, Computational Statistics & Data Analysis, Elsevier (2010) View citations (33) (2010)

2007

65. 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 Multivariate mixed normal conditional heteroskedasticity, Computational Statistics & Data Analysis, Elsevier (2007) View citations (36) (2007)

2006

66. 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 ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL, Econometric Theory, Cambridge University Press (2009) View citations (22) (2009)

2005

67. 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 Durations, volume and the prediction of financial returns in transaction time, Quantitative Finance, Taylor & Francis Journals (2005) View citations (11) (2005)
68. Ridge regression revisited
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    See also Journal Article Ridge regression revisited, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2005) View citations (1) (2005)
69. Semi-Parametric Modelling of Correlation Dynamics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)

2004

70. 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)
71. Nonparametric multistep-ahead prediction in time series analysis
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (8)
    See also Journal Article Nonparametric multistep‐ahead prediction in time series analysis, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2004) View citations (12) (2004)
72. Semiparametric multivariate volatility models
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (3)
    See also Journal Article SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS, Econometric Theory, Cambridge University Press (2007) View citations (36) (2007)
73. 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 Temporal aggregation of multivariate GARCH processes, Journal of Econometrics, Elsevier (2008) View citations (19) (2008)
74. Testing for Causality in Variance using Multivariate GARCH Models
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (18)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (15)
    See also Journal Article Testing for Causality in Variance Usinf Multivariate GARCH Models, Annals of Economics and Statistics, GENES (2008) View citations (37) (2008)

2003

75. 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 (29)
76. 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 Analytical quasi maximum likelihood inference in multivariate volatility models, Metrika: International Journal for Theoretical and Applied Statistics, Springer (2008) View citations (36) (2008)
77. Semiparametric multivariate GARCH models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
78. 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 Simple approximations for option pricing under mean reversion and stochastic volatility, Computational Statistics, Springer (2003) (2003)

2002

79. 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 View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2002) View citations (2)

2001

80. 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)
81. 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 (2)

2000

82. Discrete time option pricing with flexible volatility estimation
    LIDAM Reprints 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) (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 Discrete time option pricing with flexible volatility estimation, Finance and Stochastics, Springer (2000) View citations (20) (2000)

1999

83. 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 Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis, Journal of Empirical Finance, Elsevier (2001) View citations (22) (2001)
84. 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

85. 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
86. 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 Testing for linear autoregressive dynamics under heteroskedasticity, Econometrics Journal, Royal Economic Society (2000) View citations (19) (2000)

1997

87. 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

88. 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

89. 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

1. Analysis of cryptocurrency connectedness based on network to transaction volume ratios
   Digital Finance, 2022, 4, (2), 187-216
   See also Working Paper Analysis of cryptocurrency connectedness based on network to transaction volume ratios, LIDAM Reprints ISBA (2022) (2022)
2. Identification of structural multivariate GARCH models
   Journal of Econometrics, 2022, 227, (1), 212-227 View citations (7)
   See also Working Paper Identification of structural multivariate GARCH models, LIDAM Reprints ISBA (2020) View citations (5) (2020)
3. Reconciling negative return skewness with positive time-varying risk premia
   Econometric Reviews, 2022, 41, (8), 877-894
   See also Working Paper Reconciling negative return skewness with positive time-varying risk premia, LIDAM Reprints ISBA (2022) (2022)

2021

4. A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms
   International Econometric Review (IER), 2021, 13, (2), 24-40
5. Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
   Journal of Business & Economic Statistics, 2021, 39, (2), 589-603 View citations (1)
   See also Working Paper Exponential-Type GARCH Models With Linear-in-Variance Risk Premium, LIDAM Reprints ISBA (2020) (2020)
6. Semiparametric estimation and variable selection for single‐index copula models
   Journal of Applied Econometrics, 2021, 36, (7), 962-988 View citations (1)
   See also Working Paper Semiparametric estimation and variable selection for single-index copula models, LIDAM Reprints ISBA (2022) (2022)

2020

7. Alternative Assets and Cryptocurrencies
   JRFM, 2020, 13, (1), 1-3
8. Estimation of a multiplicative correlation structure in the large dimensional case
   Journal of Econometrics, 2020, 217, (2), 431-470 View citations (2)
   See also Working Paper Estimation of a multiplicative correlation structure in the large dimensional case, LIDAM Reprints ISBA (2020) View citations (4) (2020)
9. Monthly Art Market Returns
   JRFM, 2020, 13, (5), 1-22 View citations (2)
   See also Working Paper Monthly Art Market Returns, LIDAM Reprints ISBA (2020) View citations (1) (2020)
10. Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility
    Journal of Financial Econometrics, 2020, 18, (2), 233-249 View citations (40)
    See also Working Paper Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility, LIDAM Reprints ISBA (2018) View citations (48) (2018)
11. The Spread of the Covid-19 Pandemic in Time and Space
    IJERPH, 2020, 17, (11), 1-13 View citations (7)
    See also Working Paper The Spread of the Covid-19 Pandemic in Time and Space, LIDAM Reprints ISBA (2020) View citations (12) (2020)

2019

12. ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES
    Macroeconomic Dynamics, 2019, 23, (4), 1622-1648
    See also Working Paper Asymmetries in Business Cycles and the Role of Oil Prices, LIDAM Reprints ISBA (2019) (2019)
13. Looking Backward and Looking Forward
    Econometrics, 2019, 7, (2), 1-24
    See also Working Paper Looking Backward and Looking Forward, LIDAM Reprints ISBA (2019) (2019)
14. Sentiment-Induced Bubbles in the Cryptocurrency Market
    JRFM, 2019, 12, (2), 1-12 View citations (22)
    See also Working Paper Sentiment-Induced Bubbles in the Cryptocurrency Market, LIDAM Reprints ISBA (2019) View citations (26) (2019)

2018

15. A simple solution of the spurious regression problem
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (3), 14
    See also Working Paper A simple solution of the spurious regression problem, LIDAM Reprints ISBA (2018) (2018)
16. The “wrong skewness” problem in stochastic frontier models: A new approach
    Econometric Reviews, 2018, 37, (4), 380-400 View citations (5)
    See also Working Paper The "wrong skewness" problem in stochastic frontier models: A new approach, LIDAM Reprints CORE (2018) View citations (9) (2018)

2017

17. AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
    Econometric Theory, 2017, 33, (4), 1013-1038 View citations (6)
    See also Working Paper An Almost Closed Form Estimator For The EGARCH Model, LIDAM Reprints ISBA (2017) View citations (6) (2017)
18. 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 An augmented Taylor rule for the Federal Reserve's response to asset prices, LIDAM Reprints ISBA (2017) View citations (2) (2017)
19. On Asymptotic Theory for ARCH (∞) Models
    Journal of Time Series Analysis, 2017, 38, (6), 865-879 View citations (3)
20. WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
    Econometric Theory, 2017, 33, (3), 691-716 View citations (4)
    See also Working Paper Weak Diffusion Limits of Dynamic Conditional Correlation Models, LIDAM Reprints ISBA (2017) View citations (4) (2017)

2016

21. A simple model for now-casting volatility series
    International Journal of Forecasting, 2016, 32, (4), 1247-1255 View citations (5)
    See also Working Paper A Simple Model for Now-Casting Volatility Series, LIDAM Discussion Papers CORE (2016) View citations (5) (2016)
22. 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 The Effect of Additive Outliers on Fractional Unit Root Tests, LIDAM Reprints CORE (2016) (2016)

2015

23. 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 A note on the Tobit model in the presence of a duration variable, LIDAM Reprints CORE (2015) View citations (1) (2015)
24. An ARCH model without intercept
    Economics Letters, 2015, 129, (C), 13-17 View citations (5)
    See also Working Paper An ARCH Model Without Intercept, LIDAM Reprints CORE (2015) View citations (2) (2015)
25. Fair Revaluation of Wine as an Investment*
    Journal of Wine Economics, 2015, 10, (2), 190-203 View citations (6)
    See also Working Paper Fair Revaluation of Wine as an Investment, LIDAM Reprints ISBA (2015) View citations (3) (2015)
26. Macroeconomic news surprises and volatility spillover in foreign exchange markets
    Empirical Economics, 2015, 48, (2), 577-607 View citations (14)
    See also Working Paper Macroeconomic news surprises and volatility spillover in foreign exchange markets, LIDAM Reprints ISBA (2015) View citations (15) (2015)
27. 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 Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market, LIDAM Reprints CORE (2015) View citations (7) (2015)

2014

28. A One Line Derivation of EGARCH
    Econometrics, 2014, 2, (2), 1-6 View citations (74)
    See also Working Paper A One Line Derivation of EGARCH, Tinbergen Institute Discussion Papers (2014) View citations (88) (2014)
29. Inference in stochastic frontier analysis with dependent error terms
    Mathematics and Computers in Simulation (MATCOM), 2014, 102, (C), 131-143 View citations (11)
    Also in Mathematics and Computers in Simulation (MATCOM), 2014, 102, (C), 104-116 (2014) View citations (8)
    See also Working Paper Inference in stochastic frontier analysis with dependent error terms, LIDAM Reprints ISBA (2014) View citations (11) (2014)
30. Local Government Efficiency: The Case of Moroccan Municipalities
    African Development Review, 2014, 26, (1), 88-101 View citations (7)
    Also in African Development Review, 2014, 26, (1), (88–101 (2014) View citations (7)
    See also Working Paper Local Government Efficiency: The Case of Moroccan Municipalities, LIDAM Reprints ISBA (2014) View citations (6) (2014)
31. On heterogeneous latent class models with applications to the analysis of rating scores
    Computational Statistics, 2014, 29, (1), 307-330
    See also Working Paper On heterogeneous latent class models with applications to the analysis of rating scores, LIDAM Reprints ISBA (2014) (2014)
32. THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE
    Annals of Financial Economics (AFE), 2014, 09, (02), 1-23

2013

33. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
    Journal of Applied Econometrics, 2013, 28, (5), 743-761 View citations (31)
    See also Working Paper Multivariate volatility modeling of electricity futures, LIDAM Reprints CORE (2013) View citations (22) (2013)

2012

34. 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 Cross-correlating wavelet coefficients with applications to high-frequency financial time series, LIDAM Reprints ISBA (2012) View citations (3) (2012)
35. Dynamic stochastic copula models: estimation, inference and applications
    Journal of Applied Econometrics, 2012, 27, (2), 269-295 View citations (72)
    See also Working Paper Dynamic stochastic copula models: Estimation, inference and applications, LIDAM Reprints ISBA (2012) View citations (76) (2012)
36. Econometric analysis of volatile art markets
    Computational Statistics & Data Analysis, 2012, 56, (11), 3091-3104 View citations (6)
    See also Working Paper Econometric analysis of volatile art markets, LIDAM Reprints ISBA (2012) View citations (5) (2012)
37. On the estimation of dynamic conditional correlation models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3533-3545 View citations (46)
    See also Working Paper On the estimation of dynamic conditional correlation models, LIDAM Reprints ISBA (2012) View citations (41) (2012)

2011

38. Estimating Autocorrelations in the Presence of Deterministic Trends
    Journal of Time Series Econometrics, 2011, 3, (2), 25
    See also Working Paper Estimating autocorrelations in the presence of deterministic trends, LIDAM Reprints ISBA (2011) (2011)
39. LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
    Econometric Theory, 2011, 27, (6), 1279-1319 View citations (21)
    See also Working Paper Locally Stationary Factor Models: Identification And Nonparametric Estimation, LIDAM Reprints ISBA (2011) View citations (19) (2011)
40. The euro introduction and noneuro currencies
    Applied Financial Economics, 2011, 21, (1-2), 95-116 View citations (23)
    See also Working Paper The Euro-introduction and non-Euro currencies, LIDAM Reprints ISBA (2011) View citations (1) (2011)

2010

41. Efficient estimation of a multivariate multiplicative volatility model
    Journal of Econometrics, 2010, 159, (1), 55-73 View citations (44)
    See also Working Paper Efficient estimation of a multivariate multiplicative volatility model, Post-Print (2010) View citations (41) (2010)
42. Efficient estimation of a semiparametric dynamic copula model
    Computational Statistics & Data Analysis, 2010, 54, (11), 2609-2627 View citations (33)
    See also Working Paper Efficient estimation of a semiparametric dynamic copula model, LIDAM Reprints ISBA (2010) View citations (29) (2010)

2009

43. A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
    Econometric Reviews, 2009, 28, (6), 612-631 View citations (65)
44. ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
    Econometric Theory, 2009, 25, (2), 336-363 View citations (22)
    See also Working Paper Asymptotic theory for a factor GARCH model, LIDAM Discussion Papers CORE (2006) (2006)
45. Causality and forecasting in temporally aggregated multivariate GARCH processes
    Econometrics Journal, 2009, 12, (1), 127-146 View citations (7)
46. Information Spillover, Volatility and the Currency Markets for the Binary Choice Model
    International Econometric Review (IER), 2009, 1, (1), 50-62 View citations (3)
47. On asymptotic theory for multivariate GARCH models
    Journal of Multivariate Analysis, 2009, 100, (9), 2044-2054 View citations (73)
48. Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
    Statistica Neerlandica, 2009, 63, (3), 294-323 View citations (34)

2008

49. Analytical quasi maximum likelihood inference in multivariate volatility models
    Metrika: International Journal for Theoretical and Applied Statistics, 2008, 67, (2), 219-239 View citations (36)
    See also Working Paper Analytical quasi maximum likelihood inference in multivariate volatility models, Econometric Institute Research Papers (2003) View citations (7) (2003)
50. 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
51. Temporal aggregation of multivariate GARCH processes
    Journal of Econometrics, 2008, 142, (1), 467-483 View citations (19)
    See also Working Paper Temporal aggregation of multivariate GARCH processes, Econometric Society 2004 North American Winter Meetings (2004) View citations (6) (2004)
52. 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 Testing for Causality in Variance using Multivariate GARCH Models, Economics Working Papers (2004) View citations (18) (2004)

2007

53. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 View citations (36)
    See also Working Paper Multivariate mixed normal conditional heteroskedasticity, LIDAM Reprints CORE (2007) View citations (29) (2007)
54. SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
    Econometric Theory, 2007, 23, (2), 251-280 View citations (36)
    See also Working Paper Semiparametric multivariate volatility models, Papers (2004) View citations (4) (2004)

2006

55. A Lagrange multiplier test for causality in variance
    Economics Letters, 2006, 93, (1), 137-141 View citations (88)
56. Comment
    Journal of the American Statistical Association, 2006, 101, 998-1001
57. Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
    Journal of International Money and Finance, 2006, 25, (5), 719-740 View citations (104)

2005

58. 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 Durations, volume and the prediction of financial returns in transaction time, LIDAM Reprints CORE (2005) View citations (11) (2005)
59. Ridge regression revisited
    Statistica Neerlandica, 2005, 59, (4), 498-505 View citations (1)
    See also Working Paper Ridge regression revisited, Econometric Institute Research Papers (2005) View citations (1) (2005)

2004

60. Nonparametric multistep‐ahead prediction in time series analysis
    Journal of the Royal Statistical Society Series B, 2004, 66, (3), 669-686 View citations (12)
    See also Working Paper Nonparametric multistep-ahead prediction in time series analysis, LIDAM Reprints CORE (2004) View citations (8) (2004)

2003

61. Fourth Moment Structure of Multivariate GARCH Models
    Journal of Financial Econometrics, 2003, 1, (1), 26-54 View citations (53)
62. Simple approximations for option pricing under mean reversion and stochastic volatility
    Computational Statistics, 2003, 18, (3), 339-353
    See also Working Paper Simple approximations for option pricing under mean reversion and stochastic volatility, Econometric Institute Research Papers (2003) (2003)

2001

63. Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
    Journal of Empirical Finance, 2001, 8, (1), 1-34 View citations (22)
    See also Working Paper Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis, SFB 373 Discussion Papers (1999) View citations (1) (1999)

2000

64. Discrete time option pricing with flexible volatility estimation
    Finance and Stochastics, 2000, 4, (2), 189-207 View citations (20)
    See also Working Paper Discrete time option pricing with flexible volatility estimation, LIDAM Reprints CORE (2000) View citations (9) (2000)
65. Testing for linear autoregressive dynamics under heteroskedasticity
    Econometrics Journal, 2000, 3, (2), 177-197 View citations (19)
    See also Working Paper Testing for linear autoregressive dynamics under heteroskedasticity, SFB 373 Discussion Papers (1998) View citations (4) (1998)

1998

66. Structural analysis of portfolio risk using beta impulse response functions
    Statistica Neerlandica, 1998, 52, (3), 336-355 View citations (10)