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Publications

by alumni of

Institut für Statistik und Ökonometrie (ISÖ)
Wirtschaftswissenschaftliche Fakultät
Humboldt-Universität Berlin
Berlin, Germany

(Institute for Statistics and Econometrics, Faculty of Economics, Humboldt University Berlin)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters | Software components |

Working papers

2024

  1. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024. "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series 11556, CESifo.
  2. Matthias R. Fengler & Minh Tri Phan, 2024. "Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective," Swiss Finance Institute Research Paper Series 24-106, Swiss Finance Institute.
  3. Matthias R. Fengler & Jeannine Polivka, 2024. "Proxy-identification of a structural MGARCH model for asset returns," Swiss Finance Institute Research Paper Series 24-55, Swiss Finance Institute.
  4. Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.

2023

  1. Brown, Martin & Fengler, Matthias & Huwyler, Jonas & Koeniger, Winfried & Lalive, Rafael & Rohrkemper, Robert, 2023. "Monitoring Consumption Switzerland: Data, Background, and Use Cases," Economics Working Paper Series 2301, University of St. Gallen, School of Economics and Political Science.
  2. Fengler, Matthias & Phan, Minh Tri, 2023. "A Topic Model for 10-K Management Disclosures," Economics Working Paper Series 2307, University of St. Gallen, School of Economics and Political Science.
  3. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023. "Beta-Sorted Portfolios," Staff Reports 1068, Federal Reserve Bank of New York.

2022

  1. Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
  2. Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2022. "Time-Varying Mixture Copula Models with Copula Selection," LIDAM Reprints ISBA 2022008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. El Mehdi, Rachida & Hafner, Christian M., 2022. "Panel stochastic frontier analysis with dependent error terms," LIDAM Reprints ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei, 2022. "Semiparametric estimation and variable selection for single-index copula models," LIDAM Reprints ISBA 2022011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Hafner, Christian M. & Wang, Linqi, 2022. "A dynamic conditional score model for the log correlation matrix," LIDAM Reprints ISBA 2022012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Kyriakopoulou, Dimitra & Hafner, Christian M., 2022. "Reconciling negative return skewness with positive time-varying risk premia," LIDAM Reprints ISBA 2022031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Bocart, Fabian Y.R.P. & Hafner, Christian M. & Kasperskaya, Yulia & Sagarra, Marti, 2022. "Investing in superheroes? Comic art as a new alternative investment," LIDAM Reprints ISBA 2022032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. Hafner, Christian M. & Majeri , Sabrine, 2022. "Analysis of cryptocurrency connectedness based on network to transaction volume ratios," LIDAM Reprints ISBA 2022033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  10. Katja Hanewald & Hazel Bateman & Hanming Fang & Tin Long Ho, 2022. "Long-Term Care Insurance Financing Using Home Equity Release: Evidence from an Online Experimental Survey," NBER Working Papers 29689, National Bureau of Economic Research, Inc.

2021

  1. Hafner, Christian, 2021. "Teaching statistical inference without normality," LIDAM Discussion Papers ISBA 2021027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  2. Yuanyuan Deng & Hanming Fang & Katja Hanewald & Shang Wu, 2021. "Delay the Pension Age or Adjust the Pension Benefit? Implications for Labor Supply and Individual Welfare in China," NBER Working Papers 28897, National Bureau of Economic Research, Inc.

2020

  1. Hafner, Christian & Herwartz, Helmut, 2020. "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  2. Hafner, Christian & Wang, Linqi, 2020. "Dynamic portfolio selection with sector-specific regularization," LIDAM Discussion Papers ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Hafner, Christian & Kyriakopoulou, Dimitra, 2020. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," LIDAM Reprints ISBA 2020029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Bocart, Fabian & Ghysels, Eric & Hafner, Christian, 2020. "Monthly Art Market Returns," LIDAM Reprints ISBA 2020030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Hafner, Christian, 2020. "The Spread of the Covid-19 Pandemic in Time and Space," LIDAM Reprints ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020. "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2020. "How useful is listings data for research?," FORLand Working Papers 19 (2020), Humboldt University Berlin, DFG Research Unit 2569 FORLand "Agricultural Land Markets – Efficiency and Regulation".
  9. Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle, 2020. "Pricing Cryptocurrency Options," Papers 2009.11007, arXiv.org.
  10. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020. "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers 2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  11. Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  12. Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  13. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2020. "The common and speci fic components of inflation expectation across European countries," IRTG 1792 Discussion Papers 2020-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  14. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  15. Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  16. Ben Zhe Wang & Jeffrey Sheen & Stefan Truck & Shih-Kang Chao & Wolfgang Karl Hardle, 2020. "A note on the impact of news on US household inflation expectations," Papers 2009.11557, arXiv.org.
  17. Chen, Ying, 2020. "Pollution Regulations, Air Quality, and the Local Economy," MPRA Paper 98535, University Library of Munich, Germany.

2019

  1. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2019. "Media-expressed tone, Option Characteristics, and Stock Return Predictability," IRTG 1792 Discussion Papers 2019-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  2. Chen, Cathy Yi-Hsuan & Hafner, Christian, 2019. "Sentiment-Induced Bubbles in the Cryptocurrency Market," LIDAM Reprints ISBA 2019053, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Gao, Zhengyuan & Hafner, Christian, 2019. "Looking Backward and Looking Forward," LIDAM Reprints ISBA 2019057, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Katja Hanewald & Hazel Bateman & Hanming Fang & Shang Wu, 2019. "Is There a Demand for Reverse Mortgages in China? Evidence from Two Online Surveys," Working Papers id:12997, eSocialSciences.
  5. Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2019. "Land value appraisal using statistical methods," FORLand Working Papers 07 (2019), Humboldt University Berlin, DFG Research Unit 2569 FORLand "Agricultural Land Markets – Efficiency and Regulation".
  6. Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019. "LASSO-Driven Inference in Time and Space," CeMMAP working papers CWP20/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2019. "Inference of Break-Points in High-Dimensional Time Series," IRTG 1792 Discussion Papers 2019-013, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  8. Keilbar, Georg & Wang, Weining, 2019. "Modelling Systemic Risk Using Neural Network Quantile Regression," IRTG 1792 Discussion Papers 2019-019, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  9. Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019. "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers 2019-030, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  10. Lejour, Arjan & Mohlmann, Jan & van't Riet, Maarten & Benschop, Thijs, 2019. "Dutch Shell Companies and International Tax Planning," Discussion Paper 2019-024, Tilburg University, Center for Economic Research.

2018

  1. Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series 1808, University of St. Gallen, School of Economics and Political Science.
  2. Wang, Cindy Shin-Huei & Hafner, Christian, 2018. "A simple solution of the spurious regression problem," LIDAM Reprints ISBA 2018044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Hafner, Christian, 2018. "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," LIDAM Reprints ISBA 2018045, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu, 2018. "Trending Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201809, University of Kansas, Department of Economics, revised Sep 2018.
  5. Jeon, Bang Nam & Wu, Ji & Guo, Mengmeng & Chen, Minghua, 2018. "Market power and the risk-taking of banks: Some semiparametric evidence from emerging economies," School of Economics Working Paper Series 2018-1, LeBow College of Business, Drexel University.
  6. Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018. "Using generalized estimating equations to estimate nonlinear models with spatial data," Papers 1810.05855, arXiv.org.
  7. Stefan Richter & Weining Wang & Wei Biao Wu, 2018. "A supreme test for periodic explosive GARCH," Papers 1812.03475, arXiv.org.
  8. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining, 2018. "Pricing Cryptocurrency options: the case of CRIX and Bitcoin," IRTG 1792 Discussion Papers 2018-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

2017

  1. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
  2. Dare, Wale & Fengler, Matthias, 2017. "Global estimation of realized spot volatility in the presence of price jumps," Economics Working Paper Series 1715, University of St. Gallen, School of Economics and Political Science.
  3. Hafner, Christian & Preminger, Arie, 2017. "On asymptotic theory for ARCH(infinite) models," LIDAM Discussion Papers ISBA 2017009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Daniel, Betty & Hafner, Christian & Manner, Hans & Simar, Leopold, 2017. "Asymmetries in Business Cycles and the Role of Oil Prices," LIDAM Discussion Papers ISBA 2017010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Hafner, Christian & Lauwers, Alexandre, 2017. "An augmented Taylor rule for the Federal Reserve's response to asset prices," LIDAM Reprints ISBA 2017008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
  7. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Yu, Lining & Härdle, Wolfgang Karl & Borke, Lukas & Benschop, Thijs, 2017. "FRM: A financial risk meter based on penalizing tail events occurrence," SFB 649 Discussion Papers 2017-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Benschop, Thijs & López Cabrera, Brenda, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers 2017-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Borke, Lukas, 2017. "RiskAnalytics: An R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods," SFB 649 Discussion Papers 2017-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Borke, Lukas & Härdle, Wolfgang Karl, 2017. "GitHub API based QuantNet Mining infrastructure in R," SFB 649 Discussion Papers 2017-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Burdejová, Petra & Härdle, Wolfgang Karl, 2017. "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers 2017-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Chao, Shih-Kang & Härdle, Wolfgang Karl & Sheen, Jeffrey R. & Trück, Stefan & Wang, Ben Zhe, 2017. "The impact of news on US household inflation expectations," SFB 649 Discussion Papers 2017-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2016

  1. Hafner, C. & Linton, O., 2016. "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA 2016036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  2. Hafner, Christian & Walders, Fabian, 2016. "Heterogeneous Liquidity Effects in Corporate Bond Spreads," LIDAM Discussion Papers ISBA 2016050, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Hafner, C. M. & Linton, O., 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1664, Faculty of Economics, University of Cambridge.
  4. Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a Multiplicative Covariance Structure," CeMMAP working papers CWP23/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Zharova, Alona & Mihoci, Andrija & Härdle, Wolfgang Karl, 2016. "Academic ranking scales in economics: Prediction and imputation," SFB 649 Discussion Papers 2016-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Zbonakova, Lenka & Härdle, Wolfgang Karl & Wang, Weining, 2016. "Time varying quantile Lasso," SFB 649 Discussion Papers 2016-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Zhu, Xuening & Wang, Weining & Wang, Hangsheng & Härdle, Wolfgang Karl, 2016. "Network quantile autoregression," SFB 649 Discussion Papers 2016-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Borke, Lukas & Härdle, Wolfgang Karl, 2016. "Q3-D3-Lsa," SFB 649 Discussion Papers 2016-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Tran, Ngoc Mai & Burdejová, Petra & Osipenko, Maria & Härdle, Wolfgang Karl, 2016. "Principal component analysis in an asymmetric norm," SFB 649 Discussion Papers 2016-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Härdle, Wolfgang Karl & Huang, Chen & Chao, Shih-Kang, 2016. "Factorisable sparse tail event curves with expectiles," SFB 649 Discussion Papers 2016-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Kim, Kun Ho & Chao, Shih-Kang & Härdle, Wolfgang Karl, 2016. "Simultaneous inference for the partially linear model with a multivariate unknown function when the covariates are measured with errors," SFB 649 Discussion Papers 2016-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Chao, Shih-Kang & Härdle, Wolfgang Karl & Huang, Chen, 2016. "Multivariate factorisable sparse asymmetric least squares regression," SFB 649 Discussion Papers 2016-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2015

  1. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
  2. Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015. "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers 2015-03, Department of Economics and Business Economics, Aarhus University.
  3. Hafner, Christian & Preminger, Arie, 2015. "The effect of additive outliers on a fractional unit root test," LIDAM Discussion Papers ISBA 2015027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Hafner, Christian & Lauwers, Alexandre, 2015. "An augmented Taylor rule for the Federal Reserve’s response to asset prices," LIDAM Discussion Papers ISBA 2015028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Hafner, Christian & Preminger, Arie, 2015. "An ARCH model without intercept," LIDAM Reprints ISBA 2015039, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Bocart, Fabian & Hafner, Christian, 2015. "Volatility of price indices for heterogenous goods with applications to the fine art market," LIDAM Reprints ISBA 2015041, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Hafner, Christian & Manner, H. & Simar, L., 2015. "The “wrong skewness” problem in stochastic frontier models: a new approach," LIDAM Discussion Papers CORE 2015014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Gschöpf, Philipp & Härdle, Wolfgang Karl & Mihoci, Andrija, 2015. "TERES: Tail event risk expectile based shortfall," SFB 649 Discussion Papers 2015-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2015. "lCARE: Localizing conditional autoregressive expectiles," SFB 649 Discussion Papers 2015-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Schulz, Rainer & Wersing, Martin, 2015. "Forecasting the oil price using house prices," SFB 649 Discussion Papers 2015-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Cui, Wei & Härdle, Wolfgang Karl & Wang, Weining, 2015. "Estimation of NAIRU with inflation expectation data," SFB 649 Discussion Papers 2015-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2015. "Inflation co-movement across countries in multi-maturity term structure: An arbitrage-free approach," SFB 649 Discussion Papers 2015-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Chen, Ying & Härdle, Wolfgang Karl & Qiang, He & Majer, Piotr, 2015. "Risk related brain regions detected with 3D image FPCA," SFB 649 Discussion Papers 2015-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. Burdejova, Petra & Härdle, Wolfgang Karl & Kokoszka, Piotr & Xiong, Q., 2015. "Change point and trend analyses of annual expectile curves of tropical storms," SFB 649 Discussion Papers 2015-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2015. "Factorisable sparse tail event curves," SFB 649 Discussion Papers 2015-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2014

  1. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
  2. Fengler, Matthias R. & Hin, Lin-Yee, 2014. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series 1423, University of St. Gallen, School of Economics and Political Science.
  3. Hafner, Christian & Preminger, Arie, 2014. "A note on the Tobit model in the presence of a duration variable," LIDAM Discussion Papers ISBA 2014010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Breitung, J. & Hafner, C., 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2014046, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. HÃ≠rdle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2014. "Support Vector Machines with Evolutionary Model Selection for Default Prediction," LIDAM Reprints ISBA 2014016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. McAleer, Michael & Hafner, Christian, 2014. "A One Line Derivation of EGARCH," LIDAM Reprints ISBA 2014030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Gao, Renfei & Wang, Cindy & Hafner, Christian, 2014. "The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case," LIDAM Reprints ISBA 2014031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
  9. Härdle, Wolfgang Karl & Mihoci, Andrija & Ting, Christopher Hian-Ann, 2014. "Adaptive order flow forecasting with multiplicative error models," SFB 649 Discussion Papers 2014-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2014. "Identifying Berlin's land value map using adaptive weights smoothing," SFB 649 Discussion Papers 2015-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Franke, Jürgen & Mwita, Peter & Wang, Weining, 2014. "Nonparametric estimates for conditional quantiles of time series," SFB 649 Discussion Papers 2014-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Härdle, Wolfgang Karl & Sirotko-Sibirskaya, Natalia & Wang, Weining, 2014. "TENET: Tail-Event driven NETwork risk," SFB 649 Discussion Papers 2014-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2014. "Portfolio decisions and brain reactions via the CEAD method," SFB 649 Discussion Papers 2014-036, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. Chao, Shih-kang & Proksch, Katharina & Dette, Holger & Härdle, Wolfgang Karl, 2014. "Confidence corridors for multivariate generalized quantile regression," SFB 649 Discussion Papers 2014-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2013

  1. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
  2. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
  3. El Mehdi, Rachida & Hafner, Christian, 2013. "Local government efficiency: The case of Moroccan municipalities," LIDAM Discussion Papers ISBA 2013001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Bocart, F. & Hafner, C., 2013. "Fair re-valuation of wine as an investment," LIDAM Discussion Papers ISBA 2013003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Hafner C. & Linton, O., 2013. "An Almost Closed Form Estimator for the EGARCH," LIDAM Discussion Papers ISBA 2013010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Hardle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2013. "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," LIDAM Discussion Papers ISBA 2013040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Hafner, Christian & Manner, Hans & Simar, Leopold, 2013. "The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach," LIDAM Discussion Papers ISBA 2013046, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Ben Omrane, Walid & Hafner, Christian, 2013. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," LIDAM Discussion Papers ISBA 2013059, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. Bauwens, Luc & Hafner, Christian & Pierret, Diane, 2013. "Modelling multivariate volatility of electricity futures," LIDAM Reprints ISBA 2013030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  10. Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2013. "Automated valuation modelling: A specification exercise," SFB 649 Discussion Papers 2013-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Guo, Mengmeng & Zhou, Lhan & Huang, Jianhua Z. & Härdle, Wolfgang Karl, 2013. "Functional data analysis of generalized quantile regressions," SFB 649 Discussion Papers 2013-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Fan, Yan & Härdle, Wolfgang Karl & Wang, Weining & Zhu, Lixing, 2013. "Composite quantile regression for the single-index model," SFB 649 Discussion Papers 2013-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Härdle, Wolfgang Karl & Ritov, Ya'acov & Wang, Weining, 2013. "Tie the straps: Uniform bootstrap con fidence bands for bounded influence curve estimators," SFB 649 Discussion Papers 2013-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "CDO surfaces dynamics," SFB 649 Discussion Papers 2013-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2012

  1. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Bocart, Fabian & Hafner, Christian, 2012. "Volatility of price indices for heterogeneous goods," LIDAM Discussion Papers ISBA 2012019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. El Mehdi, Rachida & Hafner, Christian, 2012. "Inference in stochastic frontier analysis with dependent error terms," LIDAM Discussion Papers ISBA 2012038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. Hafner, Christian & Manner H., 2012. "Dynamic stochastic copula models: Estimation, inference and applications," LIDAM Reprints ISBA 2012022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Hafner, Christian, 2012. "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," LIDAM Reprints ISBA 2012027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Härdle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2012. "Support vector machines with evolutionary feature selection for default prediction," SFB 649 Discussion Papers 2012-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2012. "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers 2012-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Maathumai Nirmalendran & Michael Sherris & Katja Hanewald, 2012. "Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers," Working Papers 201213, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  9. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers 2012-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2012. "Location, Location, Location: Extracting Location Value from House Prices," Discussion Papers of DIW Berlin 1216, DIW Berlin, German Institute for Economic Research.
  11. Schulz, Rainer & Wersing, Martin, 2012. "A slab in the face: Building quality and neighborhood effects," SFB 649 Discussion Papers 2012-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2012. "Location, location, location: Extracting location value from house prices," SFB 649 Discussion Papers 2012-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Härdle, Wolfgang Karl & Silyakova, Elena, 2012. "Implied basket correlation dynamics," SFB 649 Discussion Papers 2012-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers 2012-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012. "Quantile regression in risk calibration," SFB 649 Discussion Papers 2012-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  16. Härdle, Wolfgang Karl & Majer, Piotr, 2012. "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers 2012-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012. "Copula dynamics in CDOs," SFB 649 Discussion Papers 2012-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2011

  1. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  2. Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Bertrand, Aurelie & Hafner, Christian, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA 2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. BOCART, F. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers ISBA 2011029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Daniel , Betty C & Hafner, Christian & Manner, Hans & Simar, Leopold, 2011. "Asymmetries in Business Cycles and the Role of Oil Production," LIDAM Discussion Papers ISBA 2011032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Hafner, Christian & Wang, Shin-Huei, 2011. "Estimating autocorrelations in the presence of deterministic trends," LIDAM Reprints ISBA 2011051, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011. "The Euro-introduction and non-Euro currencies," LIDAM Reprints ISBA 2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. Hafner, Christian & Manner, Hans, 2011. "Multivariate Time Series Models for Asset Prices," LIDAM Reprints ISBA 2011053, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  10. Bertrand, Aurélie & Hafner, Christian M., 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," SFB 649 Discussion Papers 2011-062, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Thomas Post & Katja Hanewald, 2011. "Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior," Working Papers 201111, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  13. Katja Hanewald & John Piggott & Michael Sherris, 2011. "Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk," Working Papers 201113, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  14. Katja Hanewald & Michael Sherris, 2011. "House Price Risk Models for Banking and Insurance Applications," Working Papers 201118, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  15. Song Song & Peter J. Bickel, 2011. "Large Vector Auto Regressions," Papers 1106.3915, arXiv.org.
  16. Song, Song & Bickel, Peter J., 2011. "Large vector auto regressions," SFB 649 Discussion Papers 2011-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  18. Wang, Weining & Bobojonov, Ihtiyor & Härdle, Wolfgang Karl & Odening, Martin, 2011. "Increasing weather risk: Fact of fiction?," SFB 649 Discussion Papers 2011-077, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2010

  1. Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Matthias Fengler, 2010. "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010 2010-32, Department of Economics, University of St. Gallen.
  3. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
  4. Hafner, C. & Reznikova, O., 2010. "On the estimation of dynamic conditional correlation models," LIDAM Discussion Papers ISBA 2010006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Motta, Giovanni & Hafner, Christian & von Sachs, Rainer, 2010. "Locally Stationary Factor Models: Identification And Nonparametric Estimation," LIDAM Reprints ISBA 2010009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Hafner, C. & Preminger, A., 2010. "Deciding between GARCH and Stochastic Volatility via Strong Decision Rules," LIDAM Reprints ISBA 2010032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Hafner, Christian & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA 2010033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Post, Thomas & Hanewald, Katja, 2010. "Stochastic mortality, subjective survival expectations, and individual saving behavior," SFB 649 Discussion Papers 2010-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Hecht, Carolin & Hanewald, Katja, 2010. "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers 2010-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Song, Song & Härdle, Wolfgang Karl & Ritov, Ya'acov, 2010. "High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model," SFB 649 Discussion Papers 2010-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Härdle, Wolfgang Karl & Ritov, Ya'acov & Song, Song, 2010. "Partial linear quantile regression and bootstrap confidence bands," SFB 649 Discussion Papers 2010-002, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Härdle, Wolfgang Karl & Silyakova, Elena, 2010. "Volatility investing with variance swaps," SFB 649 Discussion Papers 2010-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Guo, Mengmeng & Härdle, Wolfgang Karl, 2010. "Adaptive interest rate modelling," SFB 649 Discussion Papers 2010-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. Duran, Esra Akdeniz & Guo, Mengmeng & Härdle, Wolfgang Karl, 2010. "A confidence corridor for expectile functions," SFB 649 Discussion Papers 2011-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. Härdle, Wolfgang Karl & Okhrin, Yarema & Wang, Weining, 2010. "Uniform confidence bands for pricing kernels," SFB 649 Discussion Papers 2010-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  16. Härdle, Wolfgang Karl & Schulz, Rainer & Wang, Weining, 2010. "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers 2010-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Härdle, Wolfgang Karl & López Cabrera, Brenda & Okhrin, Ostap & Wang, Weining, 2010. "Localising temperature risk," SFB 649 Discussion Papers 2011-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  18. Härdle, Wolfgang Karl & Spokoiny, Vladimir & Wang, Weining, 2010. "Local quantile regression," SFB 649 Discussion Papers 2011-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2009

  1. Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Hanewald, Katja, 2009. "Lee-Carter and the macroeconomy," SFB 649 Discussion Papers 2009-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Hanewald, Katja & Post, Thomas & Gründl, Helmut, 2009. "Stochastic mortality, macroeconomic risks, and life insurer solvency," SFB 649 Discussion Papers 2009-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," SFB 649 Discussion Papers 2009-044, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  5. Cao, Ji & Härdle, Wolfgang Karl & Mungo, Julius, 2009. "A joint analysis of the KOSPI 200 option and ODAX option markets dynamics," SFB 649 Discussion Papers 2009-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2009. "Renting versus owning and the role of income risk: The case of Germany," SFB 649 Discussion Papers 2009-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO pricing with copulae," SFB 649 Discussion Papers 2009-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2008

  1. Ahmad, Taleb & Härdle, Wolfgang Karl & Klinke, Sigbert & Awadhi, Shafeeqah Al, 2008. "Using R, LaTeX and Wiki for an Arabic e-learning platform," SFB 649 Discussion Papers 2008-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Ahmad, Taleb & Härdle, Wolfgang Karl, 2008. "Statistics e-learning platforms evaluation: Case study," SFB 649 Discussion Papers 2008-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Andriyashin, Anton & Härdle, Wolfgang Karl & Timofeev, Roman, 2008. "Recursive portfolio selection with decision trees," SFB 649 Discussion Papers 2008-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Andriyashin, Anton, 2008. "Stock picking via nonsymmetrically pruned binary decision trees," SFB 649 Discussion Papers 2008-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  5. Borak, Szymon & Weron, Rafał, 2008. "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers 2008-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Giacomini, Enzo & Härdle, Wolfgang Karl & Krätschmer, Volker, 2008. "Dynamic semiparametric factor models in risk neutral density estimation," SFB 649 Discussion Papers 2008-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Hanewald, Katja, 2008. "Beyond the business cycle: Factors driving aggregate mortality rates," SFB 649 Discussion Papers 2008-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Härdle, Wolfgang Karl & Mungo, Julius, 2008. "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers 2008-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Golubev, Yuri & Härdle, Wolfgang Karl & Timofeev, Roman, 2008. "Testing monotonicity of pricing Kernels," SFB 649 Discussion Papers 2008-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Rainer Schulz & Martin Wersing & Axel Werwatz, 2008. "Renting Versus Owning And The Role Of Income Risk: The Case Of Germany," ERES eres2008_248, European Real Estate Society (ERES).
  11. Schulz, Rainer & Staiber, Markus & Wersing, Martin & Werwatz, Axel, 2008. "The accuracy of long-term real estate valuations," SFB 649 Discussion Papers 2008-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Härdle, Wolfgang Karl & Song, Song, 2008. "The stochastic fluctuation of the quantile regression curve," SFB 649 Discussion Papers 2008-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2007

  1. Ahmad, Taleb & Härdle, Wolfgang Karl & Klinke, Sigbert, 2007. "Using Wiki to build an e-learning system in statistics in Arabic language," SFB 649 Discussion Papers 2007-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Andriyashin, Anton & Härdle, Wolfgang Karl, 2007. "QuantNet: A database-driven online repository of scientific information," SFB 649 Discussion Papers 2007-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Fengler, Matthias R. & Winter, Joachim, 2007. "Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets," Munich Reprints in Economics 20338, University of Munich, Department of Economics.
  5. Giacomini, Enzo & Härdle, Wolfgang Karl, 2007. "Statistics of risk aversion," SFB 649 Discussion Papers 2007-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Härdle, Wolfgang Karl & Klinke, Sigbert & Ziegenhagen, Uwe, 2007. "Yxilon: A client-server based statistical environment," SFB 649 Discussion Papers 2007-036, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Härdle, Wolfgang Karl & Klinke, Sigbert & Ziegenhagen, Uwe, 2007. "On the utility of e-learning in statistics," SFB 649 Discussion Papers 2007-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2006

  1. Ahmad, Taleb & Härdle, Wolfgang Karl & Mungo, Julius, 2006. "On the difficulty to design Arabic e-learning system in statistics," SFB 649 Discussion Papers 2006-062, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Andriyashin, Anton & Benko, Michal & Härdle, Wolfgang Karl & Timofeev, Roman & Ziegenhagen, Uwe, 2006. "Color harmonization in car manufacturing process," SFB 649 Discussion Papers 2006-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006. "Convenience yields for CO2 emission allowance futures contracts," SFB 649 Discussion Papers 2006-076, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Giacomini, Enzo & Härdle, Wolfgang Karl & Ignatieva, Ekaterina & Spokoiny, Vladimir, 2006. "Inhomogeneous dependency modelling with time varying copulae," SFB 649 Discussion Papers 2006-075, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  5. Giacomini, Enzo & Handel, Michael & Härdle, Wolfgang Karl, 2006. "Time dependent relative risk aversion," SFB 649 Discussion Papers 2006-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006. "Multivariate mixed normal conditional heteroskedasticity," LIDAM Discussion Papers CORE 2006012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. HAFNER, Christian & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006. "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers 2006-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Härdle, Wolfgang Karl & Klinke, Sigbert & Ziegenhagen, Uwe, 2006. "E-learning statistics: A selective review," SFB 649 Discussion Papers 2006-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2005

  1. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Borak, Szymon & Detlefsen, Kai & Härdle, Wolfgang Karl, 2005. "FFT based option pricing," SFB 649 Discussion Papers 2005-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005. "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers 2005-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005. "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers 2005-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  5. Fengler, Matthias R., 2005. "Arbitrage-free smoothing of the implied volatility surface," SFB 649 Discussion Papers 2005-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Giacomini, Enzo & Härdle, Wolfgang Karl, 2005. "Value-at-risk calculations with time varying copulae," SFB 649 Discussion Papers 2005-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. HAFNER, Christian H., 2005. "Durations, volume and the prediction of financial returns in transaction time," LIDAM Reprints CORE 1784, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005. "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers EI 2005-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. de Boer, P.M.C. & Hafner, C.M., 2005. "Ridge regression revisited," Econometric Institute Research Papers EI 2005-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Klinke, Sigbert & Ziegenhagen, Uwe & Guri, Yuval, 2005. "Yxilon: A modular open-source statistical programming language," SFB 649 Discussion Papers 2005-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Härdle, Wolfgang Karl & Klinke, Sigbert & Ziegenhagen, Uwe, 2005. "Integrable e-lements for statistics education," SFB 649 Discussion Papers 2005-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2004

  1. CHEN, Rong & YANG, Lijian & HAFNER, Christian, 2004. "Nonparametric multistep-ahead prediction in time series analysis," LIDAM Reprints CORE 1783, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
  3. Hafner, C.M. & Herwartz, H., 2004. "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers EI 2004-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

2003

  1. Christophe Villa & M.R. Fengler & W.K. Hardle, 2003. "The dynamics of implied volatilities : a common principal components approach," Post-Print halshs-00069509, HAL.
  2. Fengler, Matthias R. & Schwendner, Peter, 2003. "Correlation Risk Premia for Multi-Asset Equity Options," SFB 373 Discussion Papers 2003,10, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Fengler, Matthias R. & Wang, Qihua, 2003. "Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface," SFB 373 Discussion Papers 2003,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  5. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Estimation of temporally aggregated multivariate GARCH models," LIDAM Discussion Papers CORE 2003073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Hafner, C.M. & Franses, Ph.H.B.F., 2003. "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Research Papers EI 2003-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  8. Hafner, C.M., 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Research Papers EI 2003-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. Hafner, C.M. & Herwartz, H., 2003. "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers EI 2003-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

2002

  1. Hafner, C.M. & Herwartz, H., 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Research Papers EI 2002-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Aydinli, Gökhan & Härdle, Wolfgang & Kleinow, Torsten & Sofyan, Hizir, 2002. "MD*ReX: Linking XploRe to standard spread-sheet applications," SFB 373 Discussion Papers 2002,10, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

2001

  1. Fengler, Matthias R. & Härdle, Wolfgang & Schmidt, Peter, 2001. "The analysis of implied volatilities," SFB 373 Discussion Papers 2001,73, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Fengler, Matthias R. & Herwartz, Helmut, 2001. "Multivariate volatility models," SFB 373 Discussion Papers 2001,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. HAFNER, Christian, 2001. "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2000

  1. Sofyan, Hizir & Werwatz, Axel, 2000. "Analyzing XploRe download profiles with intelligent miner," SFB 373 Discussion Papers 2000,100, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Klemelä, Jussi & Klinke, Sigbert & Sofyan, Hizir, 2000. "Classification and regression trees," SFB 373 Discussion Papers 2000,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Mucha, Hans-Joachim & Sofyan, Hizir, 2000. "Cluster analysis," SFB 373 Discussion Papers 2000,49, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

1999

  1. Hafner, Christian M. & Herwartz, Helmut, 1999. "Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications," SFB 373 Discussion Papers 1999,22, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Hafner, Christian M. & Herwartz, Helmut, 1999. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers 1999,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

1998

  1. HAFNER, Christian & HERWARTZ, Helmut, 1998. "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE 1998047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Feldmann, David & Härdle, Wolfgang Karl & Hafner, Christian M. & Hoffmann, Marc & Lepskii, Oleg V. & Tsybakov, Alexandre B., 1998. "Flexible stochastic volatility structures for high frequency financial data," SFB 373 Discussion Papers 1998,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Hafner, Christian M. & Herwartz, Helmut, 1998. "Testing for linear autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers 1999,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

1997

  1. HÄRDLE, Wolfgang & HAFNER, Christian, 1997. "Discrete time option pricing with flexible volatility estimation," LIDAM Discussion Papers CORE 1997047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Hafner, C., 1997. "Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models," SFB 373 Discussion Papers 1997,18, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

1996

  1. Bossaerts, P. & Hafner, C. & Härdle, Wolfgang, 1996. "Foreign Exchange Rates Have Surprising Volatility," SFB 373 Discussion Papers 1996,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

1995

  1. Bossaerts, P. & Härdle, Wolfgang & Hafner, C., 1995. "A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series," SFB 373 Discussion Papers 1995,45, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

Journal articles

Undated material is listed at the end

2025

  1. Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.

2023

  1. Martin Brown & Matthias R. Fengler & Jonas Huwyler & Winfried Koeniger & Rafael Lalive & Robert Rohrkemper, 2023. "Monitoring consumption Switzerland: data, background, and use cases," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-16, December.
  2. Zheng, Wei & Lyu, Youji & Jia, Ruo & Hanewald, Katja, 2023. "The impact of expected pensions on consumption: evidence from China," Journal of Pension Economics and Finance, Cambridge University Press, vol. 22(1), pages 69-87, January.
  3. Deng, Yuanyuan & Fang, Hanming & Hanewald, Katja & Wu, Shang, 2023. "Delay the Pension Age or Adjust the Pension Benefit? Implications for Labor Supply and Individual Welfare in China," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1192-1215.
  4. Si, Yafei & Bateman, Hazel & Chen, Shu & Hanewald, Katja & Li, Bingqin & Su, Min & Zhou, Zhongliang, 2023. "Quantifying the financial impact of overuse in primary care in China: A standardised patient study," Social Science & Medicine, Elsevier, vol. 320(C).
  5. Schulz, Rainer & Watson, Verity & Wersing, Martin, 2023. "Teleworking and housing demand," Regional Science and Urban Economics, Elsevier, vol. 101(C).

2022

  1. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2022. "Media-expressed tone, option characteristics, and stock return predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  2. Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022. "Identification of structural multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 212-227.
  3. Christian M. Hafner & Sabrine Majeri, 2022. "Analysis of cryptocurrency connectedness based on network to transaction volume ratios," Digital Finance, Springer, vol. 4(2), pages 187-216, September.
  4. Dimitra Kyriakopoulou & Christian M. Hafner, 2022. "Reconciling negative return skewness with positive time-varying risk premia," Econometric Reviews, Taylor & Francis Journals, vol. 41(8), pages 877-894, September.
  5. Qiqi Wang & Katja Hanewald & Xiaojun Wang, 2022. "Multistate health transition modeling using neural networks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 475-504, June.
  6. Sisi Yang & Katja Hanewald, 2022. "Life Satisfaction of Middle-Aged and Older Chinese: The Role of Health and Health Insurance," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 160(2), pages 601-624, April.

2021

  1. Rachida El Mehdi & Christian M. Hafner, 2021. "A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms," International Econometric Review (IER), Econometric Research Association, vol. 13(2), pages 24-40, June.
  2. Christian M. Hafner & Dimitra Kyriakopoulou, 2021. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 589-603, March.
  3. Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long, 2021. "Semiparametric estimation and variable selection for single‐index copula models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 962-988, November.
  4. Li, Han & Hanewald, Katja & Wu, Shang, 2021. "Healthy life expectancy in China: Modelling and implications for public and private insurance," Annals of Actuarial Science, Cambridge University Press, vol. 15(1), pages 40-56, March.
  5. Hanewald, Katja & Jia, Ruo & Liu, Zining, 2021. "Why is inequality higher among the old? Evidence from China," China Economic Review, Elsevier, vol. 66(C).
  6. Eling, Martin & Ghavibazoo, Omid & Hanewald, Katja, 2021. "Willingness to take financial risks and insurance holdings: A European survey," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 95(C).
  7. Qian Lu & Katja Hanewald & Xiaojun Wang, 2021. "Subnational Mortality Modelling: A Bayesian Hierarchical Model with Common Factors," Risks, MDPI, vol. 9(11), pages 1-21, November.
  8. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2021. "Real estate listings and their usefulness for hedonic regressions," Empirical Economics, Springer, vol. 61(6), pages 3239-3269, December.
  9. Rainer Schulz & Martin Wersing, 2021. "Automated Valuation Services: A case study for Aberdeen in Scotland," Journal of Property Research, Taylor & Francis Journals, vol. 38(2), pages 154-172, April.

2020

  1. Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
  2. Christian M. Hafner, 2020. "The Spread of the Covid-19 Pandemic in Time and Space," IJERPH, MDPI, vol. 17(11), pages 1-13, May.
  3. Christian M. Hafner, 2020. "Alternative Assets and Cryptocurrencies," JRFM, MDPI, vol. 13(1), pages 1-3, January.
  4. Fabian Y.R.P. Bocart & Eric Ghysels & Christian M. Hafner, 2020. "Monthly Art Market Returns," JRFM, MDPI, vol. 13(5), pages 1-22, May.
  5. Christian M Hafner, 2020. "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 233-249.
  6. Hanewald, Katja & Bateman, Hazel & Fang, Hanming & Wu, Shang, 2020. "Is there a demand for reverse mortgages in China? Evidence from two online surveys," Journal of Economic Behavior & Organization, Elsevier, vol. 169(C), pages 19-37.
  7. Usman, M. & Hamid, M. & Zubair, T. & Haq, R.U. & Wang, W. & Liu, M.B., 2020. "Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials," Applied Mathematics and Computation, Elsevier, vol. 372(C).
  8. Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020. "Pricing Cryptocurrency Options," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 250-279.

2019

  1. Daniel, Betty C. & Hafner, Christian M. & Simar, Léopold & Manner, Hans, 2019. "Asymmetries In Business Cycles And The Role Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 23(4), pages 1622-1648, June.
  2. Zhengyuan Gao & Christian M. Hafner, 2019. "Looking Backward and Looking Forward," Econometrics, MDPI, vol. 7(2), pages 1-24, June.
  3. Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019. "Sentiment-Induced Bubbles in the Cryptocurrency Market," JRFM, MDPI, vol. 12(2), pages 1-12, April.
  4. Hanewald, Katja & Li, Han & Shao, Adam W., 2019. "Modelling multi-state health transitions in China: a generalised linear model with time trends," Annals of Actuarial Science, Cambridge University Press, vol. 13(1), pages 145-165, March.
  5. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2019. "Bodenwertermittlung mit statistischen Methoden [Land value appraisal using statistical methods]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 5(1), pages 131-154, November.
  6. Hizir Sofyan & M. Shabri Abd. Majid & Moh. Rizky Rahmanda, 2019. "Modeling Dynamic Causalities between the Indonesian Rupiah and Forex Markets of ASEAN, Japan and Europe," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 13(1), March.
  7. Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl, 2019. "Network quantile autoregression," Journal of Econometrics, Elsevier, vol. 212(1), pages 345-358.
  8. Tran, Ngoc M. & Burdejová, Petra & Ospienko, Maria & Härdle, Wolfgang K., 2019. "Principal component analysis in an asymmetric norm," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 1-21.
  9. Petra Burdejová & Wolfgang K. Härdle, 2019. "Dynamic semi-parametric factor model for functional expectiles," Computational Statistics, Springer, vol. 34(2), pages 489-502, June.

2018

  1. Matthias R. Fengler & Helmut Herwartz, 2018. "Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(1), pages 135-159, February.
  2. Matthias R. Fengler & Alexander Melnikov, 2018. "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
  3. Wang Cindy Shin-Huei & Hafner Christian M., 2018. "A simple solution of the spurious regression problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(3), pages 1-14, June.
  4. Christian M. Hafner & Hans Manner & Léopold Simar, 2018. "The “wrong skewness” problem in stochastic frontier models: A new approach," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 380-400, April.
  5. Shao Adam W. & Hanewald Katja & Michael Sherris and, 2018. "House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 12(1), pages 1-26, January.
  6. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
  7. Schulz, Rainer & Wersing, Martin, 2018. "The revival of East Berlin’s land market after the German reunification," Journal of Housing Economics, Elsevier, vol. 42(C), pages 19-29.
  8. Em Yusuf Iis* & Mukhlis Yunus & Muhammad Adam & Hizir Sofyan, 2018. "Antecedent Model of Empowerment and Performance of Aceh Government With Motivation as the Intervening Variable," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 743-747:2.
  9. Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu, 2018. "Single-Index-Based CoVaR With Very High-Dimensional Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 212-226, April.

2017

  1. Christian M. Hafner & Arie Preminger, 2017. "On Asymptotic Theory for ARCH (∞) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 865-879, November.
  2. Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017. "Weak Diffusion Limits Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, vol. 33(3), pages 691-716, June.
  3. Hafner, Christian M. & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The Egarch Model," Econometric Theory, Cambridge University Press, vol. 33(4), pages 1013-1038, August.
  4. Christian M. Hafner & Alexandre R. Lauwers, 2017. "An augmented Taylor rule for the Federal Reserve's response to asset prices," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 115-151.
  5. Blackburn, Craig & Hanewald, Katja & Olivieri, Annamaria & Sherris, Michael, 2017. "Longevity Risk Management And Shareholder Value For A Life Annuity Business," ASTIN Bulletin, Cambridge University Press, vol. 47(1), pages 43-77, January.
  6. Hanewald, Katja, 2017. "King William's Tontine: Why the Retirement Annuity of the Future Should Resemble its Past. Moshe A. Milevsky . Cambridge University Press, 2015, ISBN 9781107076129, 257 pages. doi: 10.1017/CBO97811398," Journal of Pension Economics and Finance, Cambridge University Press, vol. 16(2), pages 267-269, April.
  7. IKRAMUDDIN & Muhammad ADAM & Hizir SOFYAN & FAISAL, 2017. "The Relationship of Perceived Value, Service Quality, Brand Trust, and Brand Loyalty. A Literature Review," Expert Journal of Marketing, Sprint Investify, vol. 5(2), pages 72-77.
  8. Burdejova, P. & Härdle, W. & Kokoszka, P. & Xiong, Q., 2017. "Change point and trend analyses of annual expectile curves of tropical storms," Econometrics and Statistics, Elsevier, vol. 1(C), pages 101-117.
  9. Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Karl Härdle, 2017. "Confidence Corridors for Multivariate Generalized Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 70-85, January.
  10. Chen, Ying & Henderson, J. Vernon & Cai, Wei, 2017. "Political favoritism in China’s capital markets and its effect on city sizes," Journal of Urban Economics, Elsevier, vol. 98(C), pages 69-87.

2016

  1. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
  2. Breitung, Jörg & Hafner, Christian M., 2016. "A simple model for now-casting volatility series," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1247-1255.
  3. Christian M. Hafner & Arie Preminger, 2016. "The effect of additive outliers on a fractional unit root test," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 401-420, October.
  4. Katja Hanewald & Thomas Post & Michael Sherris, 2016. "Portfolio Choice in Retirement—What is The Optimal Home Equity Release Product?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 421-446, June.
  5. Song, Song & Zhu, Lixing, 2016. "Group-wise semiparametric modeling: A SCSE approach," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 1-14.
  6. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
  7. Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2016. "Localizing Temperature Risk," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1491-1508, October.

2015

  1. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
  2. Fengler, M.R. & Mammen, E. & Vogt, M., 2015. "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, vol. 188(1), pages 196-218.
  3. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
  4. Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  5. Fengler, Matthias R. & Gisler, Katja I.M., 2015. "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 174-195.
  6. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015. "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, vol. 10(2), pages 190-203, November.
  7. Hafner, Christian M. & Preminger, Arie, 2015. "A note on the Tobit model in the presence of a duration variable," Economics Letters, Elsevier, vol. 126(C), pages 47-50.
  8. Hafner, Christian M. & Preminger, Arie, 2015. "An ARCH model without intercept," Economics Letters, Elsevier, vol. 129(C), pages 13-17.
  9. Walid Ben Omrane & Christian Hafner, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, vol. 48(2), pages 577-607, March.
  10. Fabian Y. R. P. Bocart & Christian M. Hafner, 2015. "Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 291-312, March.
  11. Cho Daniel & Hanewald Katja & Sherris Michael, 2015. "Risk Analysis for Reverse Mortgages with Different Payout Designs," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 9(1), pages 77-105, January.
  12. Shao, Adam W. & Hanewald, Katja & Sherris, Michael, 2015. "Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 76-90.
  13. Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015. "Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 529-550, June.
  14. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2015. "Identifying Berlin’s land value map using adaptive weights smoothing," Computational Statistics, Springer, vol. 30(3), pages 767-790, September.
  15. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2015. "Hidden Markov Structures For Dynamic Copulae," Econometric Theory, Cambridge University Press, vol. 31(5), pages 981-1015, October.
  16. Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining, 2015. "Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 129-145.
  17. Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2015. "Uniform Confidence Bands for Pricing Kernels," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 376-413.
  18. Jürgen Franke & Peter Mwita & Weining Wang, 2015. "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(1), pages 107-130, January.

2014

  1. Rachida El Mehdi & Christian M. Hafner, 2014. "Local Government Efficiency: The Case of Moroccan Municipalities," African Development Review, African Development Bank, vol. 26(1), pages (88-101.
  2. El Mehdi, Rachida & Hafner, Christian M., 2014. "Inference in stochastic frontier analysis with dependent error terms," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 102(C), pages 104-116.
  3. Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, vol. 2(2), pages 1-6, June.
  4. Aurélie Bertrand & Christian Hafner, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," Computational Statistics, Springer, vol. 29(1), pages 307-330, February.
  5. Renfei Gao & Cindy S. H. Wang & Christian M. Hafner, 2014. "The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-23.
  6. Nirmalendran, Maathumai & Sherris, Michael & Hanewald, Katja, 2014. "Pricing And Solvency Of Value-Maximizing Life Annuity Providers," ASTIN Bulletin, Cambridge University Press, vol. 44(1), pages 39-61, January.
  7. Daniel Alai & Hua Chen & Daniel Cho & Katja Hanewald & Michael Sherris, 2014. "Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 217-241.
  8. Rainer Schulz & Martin Wersing & Axel Werwatz, 2014. "Renting versus Owning and the Role of Human Capital: Evidence from Germany," The Journal of Real Estate Finance and Economics, Springer, vol. 48(4), pages 754-788, May.
  9. Rainer Schulz & Martin Wersing & Axel Werwatz, 2014. "Automated valuation modelling: a specification exercise," Journal of Property Research, Taylor & Francis Journals, vol. 31(2), pages 131-153, June.
  10. Alena Bömmel & Song Song & Piotr Majer & Peter Mohr & Hauke Heekeren & Wolfgang Härdle, 2014. "Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study," Psychometrika, Springer;The Psychometric Society, vol. 79(3), pages 489-514, July.
  11. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014. "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 101-131, June.
  12. Wolfgang Karl Härdle & Weining Wang, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 173-174, April.
  13. Barbara Choroś-Tomczyk & Wolfgang Karl H�rdle & Ludger Overbeck, 2014. "Copula dynamics in CDOs," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1573-1585, September.

2013

  1. Taleb Ahmad & Wolfgang Härdle & Sigbert Klinke & Shafiqah Alawadhi, 2013. "Using wiki to build an e-learning system in statistics in the Arabic language," Computational Statistics, Springer, vol. 28(2), pages 481-491, April.
  2. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  3. Katja Hanewald & Michael Sherris, 2013. "Postcode-Level House Price Models for Banking and Insurance Applications," The Economic Record, The Economic Society of Australia, vol. 89(286), pages 411-425, September.
  4. Hanewald, Katja & Piggott, John & Sherris, Michael, 2013. "Individual post-retirement longevity risk management under systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 87-97.
  5. Post, Thomas & Hanewald, Katja, 2013. "Longevity risk, subjective survival expectations, and individual saving behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 86(C), pages 200-220.
  6. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.

2012

  1. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 457-493, June.
  2. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012. "Econometric analysis of volatile art markets," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
  3. Hafner, Christian M. & Reznikova, Olga, 2012. "On the estimation of dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3533-3545.
  4. Christian M. Hafner, 2012. "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(6), pages 1363-1379, December.
  5. Christian M. Hafner & Hans Manner, 2012. "Dynamic stochastic copula models: estimation, inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 269-295, March.
  6. Carolin Hecht & Katja Hanewald, 2012. "Who Responds to Tax Reforms? Evidence from the Life Insurance Market," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 37(1), pages 5-26, January.
  7. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 610-625.
  8. Jeong, Kiho & Härdle, Wolfgang K. & Song, Song, 2012. "A Consistent Nonparametric Test For Causality In Quantile," Econometric Theory, Cambridge University Press, vol. 28(4), pages 861-887, August.
  9. Mengmeng Guo & Wolfgang Härdle, 2012. "Simultaneous confidence bands for expectile functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(4), pages 517-541, October.

2011

  1. Jan Maruhn & Morten Nalholm & Matthias Fengler, 2011. "Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 711-727.
  2. Wang Shin-Huei & Hafner Christian, 2011. "Estimating Autocorrelations in the Presence of Deterministic Trends," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-25, April.
  3. Motta, Giovanni & Hafner, Christian M. & von Sachs, Rainer, 2011. "Locally Stationary Factor Models: Identification And Nonparametric Estimation," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1279-1319, December.
  4. Dick van Dijk & Haris Munandar & Christian Hafner, 2011. "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 95-116.
  5. Katja Hanewald & Thomas Post & Helmut Gründl, 2011. "Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(3), pages 458-475, July.
  6. Katja Hanewald, 2011. "Explaining Mortality Dynamics," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 290-314.

2010

  1. Hafner, Christian M. & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2609-2627, November.
  2. Hafner, Christian M. & Linton, Oliver, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.

2009

  1. Matthias Fengler, 2009. "Arbitrage-free smoothing of the implied volatility surface," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 417-428.
  2. Giacomini, Enzo & Härdle, Wolfgang & Spokoiny, Vladimir, 2009. "Inhomogeneous Dependence Modeling with Time-Varying Copulae," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 224-234.
  3. Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009. "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(4), pages 387-402, December.
  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, August.
  5. Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(2), pages 336-363, April.
  6. Christian M. Hafner, 2009. "Causality and forecasting in temporally aggregated multivariate GARCH processes," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 127-146, March.
  7. 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.
  8. Walid Ben Omrane & Christian M. Hafner, 2009. "Information Spillover, Volatility and the Currency Markets for the Binary Choice Model," International Econometric Review (IER), Econometric Research Association, vol. 1(1), pages 50-62, April.
  9. Christian Hafner & Philip Hans Franses, 2009. "A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 612-631.

2008

  1. Christian M. Hafner & Helmut Herwartz, 2008. "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 89, pages 215-241.
  2. Paul Embrechts, 2008. "Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner," International Statistical Review, International Statistical Institute, vol. 76(2), pages 313-314, August.
  3. Hafner, Christian M., 2008. "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 142(1), pages 467-483, January.
  4. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(2), pages 219-239, March.
  5. Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler, 2008. "VAR Modeling for Dynamic Loadings Driving Volatility Strings," Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 361-381, Summer.

2007

  1. M. Benko & M. Fengler & W. Härdle & M. Kopa, 2007. "On extracting information implied in options," Computational Statistics, Springer, vol. 22(4), pages 543-553, December.
  2. Matthias R. Fengler & Joachim K. Winter, 2007. "Price variability and price dispersion in a stable monetary environment: evidence from German retail markets," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 28(7), pages 789-801.
  3. Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
  4. 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.
  5. Wolfgang Härdle & Sigbert Klinke & Uwe Ziegenhagen, 2007. "On the Utility of E‐Learning in Statistics," International Statistical Review, International Statistical Institute, vol. 75(3), pages 355-364, December.

2006

  1. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
  2. Hafner, Christian M. & Linton, Oliver B., 2006. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 998-1001, September.
  3. Hafner, Christian M. & Herwartz, Helmut, 2006. "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, vol. 93(1), pages 137-141, October.
  4. 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.

2005

  1. Paul M. C. de Boer & Christian M. Hafner, 2005. "Ridge regression revisited," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(4), pages 498-505, November.
  2. Christian Hafner, 2005. "Durations, volume and the prediction of financial returns in transaction time," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 145-152.

2004

  1. 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, August.

2003

  1. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
  2. Christian M. Hafner, 2003. "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 26-54.
  3. Christian Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, vol. 18(3), pages 339-353, September.
  4. Rainer Schulz & Hizir Sofyan & Axel Werwatz & Rodrigo Witzel, 2003. "Online Prediction of Berlin Single-Family House Prices," Computational Statistics, Springer, vol. 18(3), pages 449-462, September.

2001

  1. 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.
  2. Hizir Sofyan & Axel Werwatz, 2001. "Analyzing XploRe Download Profiles with Intelligent Miner," Computational Statistics, Springer, vol. 16(3), pages 465-479, September.

2000

  1. Christian M. Hafner & Helmut Herwartz, 2000. "Testing for linear autoregressive dynamics under heteroskedasticity," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 177-197.
  2. Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, vol. 4(2), pages 189-207.

1998

  1. C. M. Hafner & H. Herwartz, 1998. "Structural analysis of portfolio risk using beta impulse response functions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(3), pages 336-355, November.

Undated

  1. Matthias R. Fengler & Wolfgang K. Härdle & Enno Mammen, 0. "A semiparametric factor model for implied volatility surface dynamics," Journal of Financial Econometrics, Oxford University Press, vol. 5(2), pages 189-218.
  2. Bernd Engelmann & Matthias R. Fengler & Peter Schwendner, . "Hedging under alternative stickiness assumptions: an empirical analysis for barrier options," Journal of Risk, Journal of Risk.

Chapters

2017

  1. Andrija Mihoci, 2017. "Modelling Limit Order Book Volume Covariance Structures," Chapters, in: Tsukasa Hokimoto (ed.), Advances in Statistical Methodologies and Their Application to Real Problems, IntechOpen.

Software components

2010

  1. Szymon Borak & Rafal Weron, 2010. "STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis," Statistical Software Components M429005, Boston College Department of Economics.
  2. Szymon Borak & Rafal Weron, 2010. "STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch," Statistical Software Components M429004, Boston College Department of Economics.
  3. Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.

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