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Publications

by members of

Université Catholique de Louvain → Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM) → Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Catholic University of Louvain-la-Neuve

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2022

  1. Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022, "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022009, Feb.
  2. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2022, "Time-Varying Mixture Copula Models with Copula Selection," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022008, Feb.
  3. El Mehdi, Rachida & Hafner, Christian M., 2022, "Panel stochastic frontier analysis with dependent error terms," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022009, Jan, DOI: https://doi.org/10.33818/ier.103372.
  4. Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei, 2022, "Semiparametric estimation and variable selection for single-index copula models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022011, Feb, DOI: https://doi.org/10.1002/jae.2812.
  5. Hafner, Christian M. & Wang, Linqi, 2022, "A dynamic conditional score model for the log correlation matrix," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022012, Feb, DOI: https://doi.org/10.1016/j.jeconom.2.
  6. Kyriakopoulou, Dimitra & Hafner, Christian M., 2022, "Reconciling negative return skewness with positive time-varying risk premia," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022031, May, DOI: https://doi.org/10.1080/07474938.20.
  7. 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, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022032, Jun, DOI: https://doi.org/10.3905/jai.2022.1..
  8. Hafner, Christian M. & Majeri , Sabrine, 2022, "Analysis of cryptocurrency connectedness based on network to transaction volume ratios," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022033, Oct, DOI: https://doi.org/10.1007/s42521-022-.

2021

  1. Hafner, Christian, 2021, "Teaching statistical inference without normality," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021027, Jan.

2020

  1. Hafner, Christian & Herwartz, Helmut, 2020, "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020031, Jan.
  2. Hafner, Christian & Wang, Linqi, 2020, "Dynamic portfolio selection with sector-specific regularization," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020032, Jan.
  3. Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020, "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020028, Jan, DOI: https://doi.org/10.1016/j.jeconom.2.
  4. Hafner, Christian & Kyriakopoulou, Dimitra, 2020, "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020029, Jan, DOI: https://doi.org/10.1080/07350015.20.
  5. Bocart, Fabian & Ghysels, Eric & Hafner, Christian, 2020, "Monthly Art Market Returns," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020030, May, DOI: https://doi.org/10.3390/jrfm1305010.
  6. Hafner, Christian, 2020, "The Spread of the Covid-19 Pandemic in Time and Space," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020031, May, DOI: https://doi.org/10.3390/ijerph17113.
  7. Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020, "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020032, Jul, DOI: https://doi.org/10.1016/j.jeconom.2.

2019

  1. Chen, Cathy Yi-Hsuan & Hafner, Christian, 2019, "Sentiment-Induced Bubbles in the Cryptocurrency Market," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019053, Jan.
  2. Gao, Zhengyuan & Hafner, Christian, 2019, "Looking Backward and Looking Forward," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019057, Jan.

2018

  1. Wang, Cindy Shin-Huei & Hafner, Christian, 2018, "A simple solution of the spurious regression problem," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018044, Jan.
  2. Hafner, Christian, 2018, "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018045, Jan.
  3. 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, University of Kansas, Department of Economics, number 201809, Sep, revised Sep 2018.

2017

  1. Hafner, Christian & Preminger, Arie, 2017, "On asymptotic theory for ARCH(infinite) models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2017009, Jan.
  2. Daniel, Betty & Hafner, Christian & Manner, Hans & Simar, Leopold, 2017, "Asymmetries in Business Cycles and the Role of Oil Prices," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2017010, Jan.
  3. Hafner, Christian & Lauwers, Alexandre, 2017, "An augmented Taylor rule for the Federal Reserve's response to asset prices," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2017008, Jan.

2016

  1. Hafner, C. & Linton, O., 2016, "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2016036, Jan.
  2. Hafner, Christian & Walders, Fabian, 2016, "Heterogeneous Liquidity Effects in Corporate Bond Spreads," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2016050, Jan.
  3. Hafner, C. M. & Linton, O., 2016, "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1664, Nov.
  4. Christian M. Hafner & Oliver Linton & Haihan Tang, 2016, "Estimation of a Multiplicative Covariance Structure," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP23/16, May.

2015

  1. Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015, "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-03, Jan.
  2. Hafner, Christian & Preminger, Arie, 2015, "The effect of additive outliers on a fractional unit root test," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015027, Jan.
  3. Hafner, Christian & Lauwers, Alexandre, 2015, "An augmented Taylor rule for the Federal Reserve’s response to asset prices," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015028, Jan.
  4. Hafner, Christian & Preminger, Arie, 2015, "An ARCH model without intercept," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015039, Jan.
  5. Bocart, Fabian & Hafner, Christian, 2015, "Volatility of price indices for heterogenous goods with applications to the fine art market," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015041, Jan.
  6. Hafner, Christian & Manner, H. & Simar, L., 2015, "The “wrong skewness” problem in stochastic frontier models: a new approach," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015014, Mar.

2014

  1. Hafner, Christian & Preminger, Arie, 2014, "A note on the Tobit model in the presence of a duration variable," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014010, Jan.
  2. Breitung, J. & Hafner, C., 2014, "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014046, Jan.
  3. HÃ≠rdle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2014, "Support Vector Machines with Evolutionary Model Selection for Default Prediction," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014016, Jan.
  4. McAleer, Michael & Hafner, Christian, 2014, "A One Line Derivation of EGARCH," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014030, Jan.
  5. Gao, Renfei & Wang, Cindy & Hafner, Christian, 2014, "The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014031, Jan.
  6. 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, University of Canterbury, Department of Economics and Finance, number 14/19, Jul.

2013

  1. El Mehdi, Rachida & Hafner, Christian, 2013, "Local government efficiency: The case of Moroccan municipalities," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013001, Jan.
  2. Bocart, F. & Hafner, C., 2013, "Fair re-valuation of wine as an investment," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013003, Jan.
  3. Hafner C. & Linton, O., 2013, "An Almost Closed Form Estimator for the EGARCH," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013010, Jan.
  4. Hardle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2013, "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013040, Jan.
  5. Hafner, Christian & Manner, Hans & Simar, Leopold, 2013, "The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013046, Jan.
  6. Ben Omrane, Walid & Hafner, Christian, 2013, "Macroeconomic news surprises and volatility spillover in foreign exchange markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013059, Jan.
  7. Bauwens, Luc & Hafner, Christian & Pierret, Diane, 2013, "Modelling multivariate volatility of electricity futures," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013030, Jan.

2012

  1. Bocart, Fabian & Hafner, Christian, 2012, "Volatility of price indices for heterogeneous goods," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012019, Jan.
  2. El Mehdi, Rachida & Hafner, Christian, 2012, "Inference in stochastic frontier analysis with dependent error terms," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012038, Jan.
  3. Hafner, Christian & Manner H., 2012, "Dynamic stochastic copula models: Estimation, inference and applications," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012022, Jan.
  4. Hafner, Christian, 2012, "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012027, Jan.

2011

  1. Bauwens, L. & Hafner, C. & Pierret, D., 2011, "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011013, Jan.
  2. Bertrand, Aurelie & Hafner, Christian, 2011, "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011028, Jan.
  3. BOCART, F. & HAFNER, Christian, 2011, "Econometric analysis of volatile art markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011029, Jan.
  4. Daniel , Betty C & Hafner, Christian & Manner, Hans & Simar, Leopold, 2011, "Asymmetries in Business Cycles and the Role of Oil Production," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011032, Jan.
  5. Bauwens, L. & Hafner C. & Laurent, S., 2011, "Volatility Models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011044, Jan.
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012, "Volatility Models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012028, Jan.
    • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011, "Volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011058, Dec.
  6. Hafner, Christian & Wang, Shin-Huei, 2011, "Estimating autocorrelations in the presence of deterministic trends," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011051, Jan.
  7. Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011, "The Euro-introduction and non-Euro currencies," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011052, Jan.
  8. Hafner, Christian & Manner, Hans, 2011, "Multivariate Time Series Models for Asset Prices," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011053, Jan.

2010

  1. Hafner, C. & Reznikova, O., 2010, "On the estimation of dynamic conditional correlation models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010006, Jan.
  2. Motta, Giovanni & Hafner, Christian & von Sachs, Rainer, 2010, "Locally Stationary Factor Models: Identification And Nonparametric Estimation," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010009, Jan.
  3. Hafner, C. & Preminger, A., 2010, "Deciding between GARCH and Stochastic Volatility via Strong Decision Rules," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010032, Jan.
  4. Hafner, Christian & Reznikova, Olga, 2010, "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010033, Jan.

2009

  1. Christian M. Hafner & Oliver Linton, 2009, "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 541, Oct.

2006

  1. BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006012, Feb.
  2. HAFNER, Christian & PREMINGER, Arie, 2006, "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006071, Sep.

2005

  1. HAFNER, Christian H., 2005, "Durations, volume and the prediction of financial returns in transaction time," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1784, Jan, DOI: 10.1080/14697680500040033.
  2. Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005, "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-26, Jul.
  3. de Boer, P.M.C. & Hafner, C.M., 2005, "Ridge regression revisited," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-29, Aug.
    • Paul M. C. de Boer & Christian M. Hafner, 2005, "Ridge regression revisited," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 59, issue 4, pages 498-505, November, DOI: 10.1111/j.1467-9574.2005.00304.x.

2004

  1. CHEN, Rong & YANG, Lijian & HAFNER, Christian, 2004, "Nonparametric multistep-ahead prediction in time series analysis," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1783, Jan, DOI: 10.1111/j.1467-9868.2004.04664.x.
  2. Christian M. Hafner, 2004, "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 538, Aug.
  3. Hafner, C.M. & Herwartz, H., 2004, "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-20, May.
  4. Hafner, C.M. & Rombouts, J.V.K., 2004, "Semiparametric multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-21, May.

2003

  1. HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003003, Jan.
  2. HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Estimation of temporally aggregated multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003073, Oct.
  3. Hafner, C.M. & Franses, Ph.H.B.F., 2003, "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-18, Jul.
  4. Hafner, C.M., 2003, "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-20, Jul.
  5. Hafner, C.M. & Herwartz, H., 2003, "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-21, Aug.

2002

  1. Hafner, C.M. & Herwartz, H., 2002, "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2002-36, Oct.

2001

  1. HAFNER, Christian, 2001, "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001046, Jun.

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, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,22.
  2. Hafner, Christian M. & Herwartz, Helmut, 1999, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,58.

1998

  1. HAFNER, Christian & HERWARTZ, Helmut, 1998, "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1998047, Aug.
  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, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,34.
  3. Hafner, Christian M. & Herwartz, Helmut, 1998, "Testing for linear autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,7.

1997

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

1996

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

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, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1995,45.

Journal articles

2022

  1. Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022, "Identification of structural multivariate GARCH models," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 212-227, DOI: 10.1016/j.jeconom.2020.07.019.
  2. Christian M. Hafner & Sabrine Majeri, 2022, "Analysis of cryptocurrency connectedness based on network to transaction volume ratios," Digital Finance, Springer, volume 4, issue 2, pages 187-216, September, DOI: 10.1007/s42521-022-00054-w.
  3. Dimitra Kyriakopoulou & Christian M. Hafner, 2022, "Reconciling negative return skewness with positive time-varying risk premia," Econometric Reviews, Taylor & Francis Journals, volume 41, issue 8, pages 877-894, September, DOI: 10.1080/07474938.2022.2072323.

2021

  1. Rachida El Mehdi & Christian M. Hafner, 2021, "Panel Stochastic Frontier Analysis with Dependent Error Terms," International Econometric Review (IER), Economic Research Association, volume 13, issue 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, volume 39, issue 2, pages 589-603, March, DOI: 10.1080/07350015.2019.1691564.
  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., volume 36, issue 7, pages 962-988, November, DOI: 10.1002/jae.2812.

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, volume 217, issue 2, pages 431-470, DOI: 10.1016/j.jeconom.2019.12.012.
  2. Christian M. Hafner, 2020, "The Spread of the Covid-19 Pandemic in Time and Space," IJERPH, MDPI, volume 17, issue 11, pages 1-13, May.
  3. Christian M. Hafner, 2020, "Alternative Assets and Cryptocurrencies," JRFM, MDPI, volume 13, issue 1, pages 1-3, January.
  4. Fabian Y.R.P. Bocart & Eric Ghysels & Christian M. Hafner, 2020, "Monthly Art Market Returns," JRFM, MDPI, volume 13, issue 5, pages 1-22, May.
    • Bocart, Fabian & Ghysels, Eric & Hafner, Christian, 2020, "Monthly Art Market Returns," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020030, May, DOI: https://doi.org/10.3390/jrfm1305010.
    • BOCART Fabian Y.R.P., & GHYSELS Eric, & HAFNER Christian,, 2018, "Monthly art market returns," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018028, Sep.
  5. Christian M Hafner, 2020, "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 233-249.

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, volume 23, issue 4, pages 1622-1648, June.
  2. Zhengyuan Gao & Christian M. Hafner, 2019, "Looking Backward and Looking Forward," Econometrics, MDPI, volume 7, issue 2, pages 1-24, June.
  3. Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019, "Sentiment-Induced Bubbles in the Cryptocurrency Market," JRFM, MDPI, volume 12, issue 2, pages 1-12, April.

2018

  1. Wang Cindy Shin-Huei & Hafner Christian M., 2018, "A simple solution of the spurious regression problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 3, pages 1-14, June, DOI: 10.1515/snde-2015-0040.
  2. Christian M. Hafner & Hans Manner & Léopold Simar, 2018, "The “wrong skewness” problem in stochastic frontier models: A new approach," Econometric Reviews, Taylor & Francis Journals, volume 37, issue 4, pages 380-400, April, DOI: 10.1080/07474938.2016.1140284.

2017

  1. Christian M. Hafner & Arie Preminger, 2017, "On Asymptotic Theory for ARCH (∞) Models," Journal of Time Series Analysis, Wiley Blackwell, volume 38, issue 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, volume 33, issue 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, volume 33, issue 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, volume 7, issue 1/2, pages 115-151.

2016

  1. Breitung, Jörg & Hafner, Christian M., 2016, "A simple model for now-casting volatility series," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1247-1255, DOI: 10.1016/j.ijforecast.2016.04.007.
  2. 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, volume 100, issue 4, pages 401-420, October, DOI: 10.1007/s10182-015-0265-5.

2015

  1. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015, "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, volume 10, issue 2, pages 190-203, November.
  2. Hafner, Christian M. & Preminger, Arie, 2015, "A note on the Tobit model in the presence of a duration variable," Economics Letters, Elsevier, volume 126, issue C, pages 47-50, DOI: 10.1016/j.econlet.2014.11.010.
  3. Hafner, Christian M. & Preminger, Arie, 2015, "An ARCH model without intercept," Economics Letters, Elsevier, volume 129, issue C, pages 13-17, DOI: 10.1016/j.econlet.2015.01.029.
  4. Walid Ben Omrane & Christian Hafner, 2015, "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, volume 48, issue 2, pages 577-607, March, DOI: 10.1007/s00181-013-0792-4.
  5. 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., volume 30, issue 2, pages 291-312, March.

2014

  1. Rachida El Mehdi & Christian M. Hafner, 2014, "Local Government Efficiency: The Case of Moroccan Municipalities," African Development Review, African Development Bank, volume 26, issue 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, volume 102, issue C, pages 104-116, DOI: 10.1016/j.matcom.2013.09.008.
  3. Michael McAleer & Christian M. Hafner, 2014, "A One Line Derivation of EGARCH," Econometrics, MDPI, volume 2, issue 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, volume 29, issue 1, pages 307-330, February, DOI: 10.1007/s00180-013-0450-5.
  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., volume 9, issue 02, pages 1-23, DOI: 10.1142/S2010495214400028.

2013

  1. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013, "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 5, pages 743-761, August.

2012

  1. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012, "Econometric analysis of volatile art markets," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3091-3104, DOI: 10.1016/j.csda.2011.10.019.
  2. Hafner, Christian M. & Reznikova, Olga, 2012, "On the estimation of dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3533-3545, DOI: 10.1016/j.csda.2010.09.022.
  3. Christian M. Hafner, 2012, "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," Journal of Applied Statistics, Taylor & Francis Journals, volume 39, issue 6, pages 1363-1379, December, DOI: 10.1080/02664763.2011.649716.
  4. Christian M. Hafner & Hans Manner, 2012, "Dynamic stochastic copula models: estimation, inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 2, pages 269-295, March.

2011

  1. Wang Shin-Huei & Hafner Christian, 2011, "Estimating Autocorrelations in the Presence of Deterministic Trends," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 2, pages 1-25, April, DOI: 10.2202/1941-1928.1022.
  2. Motta, Giovanni & Hafner, Christian M. & von Sachs, Rainer, 2011, "Locally Stationary Factor Models: Identification And Nonparametric Estimation," Econometric Theory, Cambridge University Press, volume 27, issue 6, pages 1279-1319, December.
  3. Dick van Dijk & Haris Munandar & Christian Hafner, 2011, "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 95-116, DOI: 10.1080/09603107.2011.523197.

2010

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

2009

  1. 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, volume 63, issue 3, pages 294-323, August, DOI: 10.1111/j.1467-9574.2009.00424.x.
  2. Hafner, Christian M. & Preminger, Arie, 2009, "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, volume 25, issue 2, pages 336-363, April.
  3. Christian M. Hafner, 2009, "Causality and forecasting in temporally aggregated multivariate GARCH processes," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 127-146, March.
  4. Hafner, Christian M. & Preminger, Arie, 2009, "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, volume 100, issue 9, pages 2044-2054, October.
  5. Walid Ben Omrane & Christian M. Hafner, 2009, "Information Spillover, Volatility and the Currency Markets," International Econometric Review (IER), Economic Research Association, volume 1, issue 1, pages 50-62, April.
  6. Christian Hafner & Philip Hans Franses, 2009, "A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 6, pages 612-631, DOI: 10.1080/07474930903038834.

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, volume 76, issue 2, pages 313-314, August, DOI: 10.1111/j.1751-5823.2008.00054_15.x.
  3. Hafner, Christian M., 2008, "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, volume 142, issue 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, volume 67, issue 2, pages 219-239, March, DOI: 10.1007/s00184-007-0130-y.

2007

  1. Hafner, Christian M. & Rombouts, Jeroen V.K., 2007, "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, volume 23, issue 2, pages 251-280, April.
  2. Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007, "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 7, pages 3551-3566, April.

2006

  1. Hafner, Christian M. & Linton, Oliver B., 2006, "Comment," Journal of the American Statistical Association, American Statistical Association, volume 101, pages 998-1001, September.
  2. Hafner, Christian M. & Herwartz, Helmut, 2006, "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, volume 93, issue 1, pages 137-141, October.
  3. Hafner, Christian M. & Herwartz, Helmut, 2006, "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, volume 25, issue 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, volume 59, issue 4, pages 498-505, November, DOI: 10.1111/j.1467-9574.2005.00304.x.
  2. Christian Hafner, 2005, "Durations, volume and the prediction of financial returns in transaction time," Quantitative Finance, Taylor & Francis Journals, volume 5, issue 2, pages 145-152, DOI: 10.1080/14697680500040033.

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, volume 66, issue 3, pages 669-686, August, DOI: 10.1111/j.1467-9868.2004.04664.x.

2003

  1. Christian M. Hafner, 2003, "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 1, pages 26-54.
  2. Christian Hafner, 2003, "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, volume 18, issue 3, pages 339-353, September, DOI: 10.1007/BF03354602.

2001

  1. Hafner, Christian M. & Herwartz, Helmut, 2001, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 1-34, March.

2000

  1. Christian M. Hafner & Helmut Herwartz, 2000, "Testing for linear autoregressive dynamics under heteroskedasticity," Econometrics Journal, Royal Economic Society, volume 3, issue 2, pages 177-197.
  2. Christian M. Hafner & Wolfgang HÄrdle, 2000, "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, volume 4, issue 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, volume 52, issue 3, pages 336-355, November, DOI: 10.1111/1467-9574.00088.

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