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Information about:
Christian Matthias Hafner

Personal Details | Affiliation | Works
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Personal Details

First Name: Christian
Middle Name: Matthias
Last Name: Hafner
Suffix:

RePEc Short-ID: pha77

Email:
Homepage: http://www.stat.ucl.ac.be/ISpersonnel/hafner/index.html
Postal Address: Institute of statistics Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium
Phone: 00 32 10 47 43 06

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Wang, Shin-Huei & Hafner, Christian, 2008. "Estimating autocorrelations in the presence of deterministic trends," CORE Discussion Papers 2008073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  2. Hafner, Christian M. & Manner, Hans, 2008. "Dynamic stochastic copula models: Estimation, inference and applications," Research Memoranda 043, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]

  3. HAFNER, Christian M. & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," CORE Discussion Papers 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Published as:

  4. Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006. "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques) 2006007, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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    Published as:

  5. PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  6. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006. [Downloadable!]

  7. Boer, P.M.C. de & Hafner, C.M., 2005. "Ridge regression revisited," Econometric Institute Report EI 2005-29 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  8. Hafner, C.M. & Dijk, D.J.C. van & Franses, Ph.H.B.F., 2005. "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Report EI 2005-26 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  9. Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Report EI 2004-21 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  10. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004,03, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  11. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society. [Downloadable!]
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    Published as:

  12. C.M. Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Report 325, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  13. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," CORE Discussion Papers 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  14. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Estimation of temporally aggregated multivariate GARCH models," CORE Discussion Papers 2003073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  15. C.M. Hafner & P.H. Franses, 2003. "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Report 323, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  16. C.M. Hafner & H. Herwartz, 2003. "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Report 326, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    Published as:

  17. C.M. Hafner & H. Herwartz, 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Report 288, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  18. Christian M. Hafner, 2000. "Durations, Volume and the Prediction of Financial Returns in Transaction Time," Econometric Society World Congress 2000 Contributed Papers 0599, Econometric Society. [Downloadable!]

  19. HAFNER, Christian M. & HERWARTZ, Helmut, 1998. "Volatility impulse response functions for multivariate GARCH models," CORE Discussion Papers 1998047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  20. W. Härdle & C. Hafner, . "Discrete Time Option Pricing with Flexible Volatility Estimation," Sonderforschungsbereich 373 1997-56, Humboldt Universitaet Berlin.
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  21. C. Hafner & H. Herwartz, . "Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis," Sonderforschungsbereich 373 1999-58, Humboldt Universitaet Berlin.
    Published as:

  22. C. Hafner, . "Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models," Sonderforschungsbereich 373 1997-18, Humboldt Universitaet Berlin.

  23. C. Hafner, . "Fourth moments of multivariate GARCH processes," Sonderforschungsbereich 373 2000-80, Humboldt Universitaet Berlin.
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  24. P. Bossaerts & W. H"Ardle & C. Hafner, . "A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series," Sonderforschungsbereich 373 1995-45, Humboldt Universitaet Berlin.

  25. D. Feldmann & W. Härdle & C. Hafner & A. Hoffmann, . "Flexible Stochastic Volatility Structures for High Frequency Financial Data," Sonderforschungsbereich 373 1998-34, Humboldt Universitaet Berlin.

  26. C. Hafner & H. Herwartz, . "Time-Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications," Sonderforschungsbereich 373 1999-22, Humboldt Universitaet Berlin.

  27. C. Hafner & H. Herwartz, . "Testing for Linear Autoregressive Dynamics under Heteroskedasticity," Sonderforschungsbereich 373 1999-7, Humboldt Universitaet Berlin.
    Published as:

  28. P. Bossaerts & C. Hafner & W. H"Ardle, . "Foreign Exchange Rates Have Surprising Volatility," Sonderforschungsbereich 373 1996-68, Humboldt Universitaet Berlin.

Articles

  1. Christian M. Hafner, 2009. "Causality and forecasting in temporally aggregated multivariate GARCH processes," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 127-146, 03. [Downloadable!] (restricted)

  2. Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(02), pages 336-363, April. [Downloadable!]
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  3. Hafner, Christian M. & Preminger, Arie, 2009. "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2044-2054, October. [Downloadable!] (restricted)

  4. Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323. [Downloadable!] (restricted)

  5. Christian Hafner & Philip Hans Franses, 2009. "A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets," Econometric Reviews, Taylor and Francis Journals, vol. 28(6), pages 612-631. [Downloadable!] (restricted)

  6. Hafner, Christian M., 2008. "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 142(1), pages 467-483, January. [Downloadable!] (restricted)
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  7. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika, Springer, vol. 67(2), pages 219-239, March. [Downloadable!] (restricted)
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  8. Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(02), pages 251-280, April. [Downloadable!]
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  9. Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007. "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3551-3566, April. [Downloadable!] (restricted)
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  10. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August. [Downloadable!] (restricted)

  11. Hafner, Christian M. & Linton, Oliver B., 2006. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 998-1001, September. [Downloadable!] (restricted)

  12. Hafner, Christian M. & Herwartz, Helmut, 2006. "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, vol. 93(1), pages 137-141, October. [Downloadable!] (restricted)

  13. Paul M. C. Boer & Christian M. Hafner, 2005. "Ridge regression revisited," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(4), pages 498-505. [Downloadable!] (restricted)
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  14. Rong Chen & Lijian Yang & Christian Hafner, 2004. "Nonparametric multistep-ahead prediction in time series analysis," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 669-686. [Downloadable!] (restricted)

  15. Christian M. Hafner, 2003. "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 26-54.

  16. Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March. [Downloadable!] (restricted)
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  17. Christian M. Hafner & Helmut Herwartz, 2000. "Testing for linear autoregressive dynamics under heteroskedasticity," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 177-197.
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  18. Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, vol. 4(2), pages 189-207. [Downloadable!] (restricted)
    Other versions:

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2003-07-13 Author is listed
  2. NEP-ECM: Econometrics (6) 2002-10-18 2003-07-16 2004-12-02 2006-03-25 2008-12-14 2009-04-05 Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2002-10-18 2003-07-13 2003-07-13 2004-12-02 2006-03-25 2008-12-14 2009-04-05 Author is listed
  4. NEP-FIN: Finance (3) 2003-07-13 2003-07-13 2004-12-02 Author is listed
  5. NEP-ORE: Operations Research (1) 2008-12-14 Author is listed
  6. NEP-RMG: Risk Management (2) 2002-10-18 2003-07-13 Author is listed
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This page was last updated on 2009-11-8.

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