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Publications

by members of

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

(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

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).

2020

  1. 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).
  2. 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).
  3. 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).

2019

  1. Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu, 2019. "Time-Varying Mixture Copula Models with Copula Selection," Working Papers 2019-07-05, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  2. Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long, 2019. "Semiparametric Estimation and Variable Selection for Single-index Copula Models," Working Papers 2019-07-05, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  3. HAFNER Christian, & KYRIAKOPOULOU Dimitra,, 2019. "Exponential-type GARCH models with linear-in-variance risk premium," LIDAM Discussion Papers CORE 2019013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. BOCART Fabian, & HAFNER Christian, & KASPERSHAYA YUlia, & SAGARRA Marti,, 2019. "Investing in superheroes? Comic art as a new alternative investment," LIDAM Discussion Papers CORE 2019016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. HAFNER Christian M., & WANG Linqi,, 2019. "A dynamic conditional score model for the log correlation matrix," LIDAM Discussion Papers CORE 2019031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. 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).
  7. Daniel, Betty & Hafner, Christian & Manner, Hans & Simar, Leopold, 2019. "Asymmetries in Business Cycles and the Role of Oil Prices," LIDAM Reprints ISBA 2019015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

2018

  1. HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,, 2018. "Identification of structural multivariate GARCH models," LIDAM Discussion Papers CORE 2018020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. HAFNER Christian,, 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," LIDAM Discussion Papers CORE 2018019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  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 201809, University of Kansas, Department of Economics, revised Sep 2018.
  4. Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
  5. BOCART Fabian Y.R.P., & GHYSELS Eric, & HAFNER Christian,, 2018. "Monthly art market returns," LIDAM Discussion Papers CORE 2018028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Hafner, Christian & Manner, Hans & Simar, Leopold, 2018. "The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach," LIDAM Reprints ISBA 2018009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. 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).

2017

  1. Christian M. HAFNER & Alexandre LAUWERS, 2017. "An augmented Taylor rule for the Federal Reserve's response to asset prices," LIDAM Reprints CORE 2882, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Hafner, Christian & Walders, Fabian, 2017. "Heterogeneous Liquidity Effects in Corporate Bond Spreads," LIDAM Reprints ISBA 2017037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

2016

  1. 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.
  2. GAO, Zhengyuan & HAFNER, Christian, 2016. "Looking Backward and Looking Forward," LIDAM Discussion Papers CORE 2016014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  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. HAFNER, Christian & PREMINGER, Arie, 2016. "On Asymptotic Theory for ARCH(infinite) Models," LIDAM Discussion Papers CORE 2016030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Christian M. HAFNER & Arie PREMINGER, 2016. "The Effect of Additive Outliers on Fractional Unit Root Tests," LIDAM Reprints CORE 2762, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2015

  1. 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.
  2. 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).
  3. Christian M. HAFNER & Arie PREMINGER, 2015. "An ARCH Model Without Intercept," LIDAM Reprints CORE 2770, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Fabian Y.R.P. BOCART & Christian M. HAFNER, 2015. "Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market," LIDAM Reprints CORE 2771, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Ben Omrane, Walid & Hafner, Christian, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," LIDAM Reprints ISBA 2015028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. 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).

2014

  1. Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. 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.
  3. HAFNER, Christian & PREMINGER, Arie, 2014. "A note on the Tobit model in the presence of a duration variable," LIDAM Discussion Papers CORE 2014013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Hafner, Christian & Breitung, Jörg, 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers CORE 2014060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. El Mehdi, Rachida & Hafner, Christian, 2014. "Inference in stochastic frontier analysis with dependent error terms," LIDAM Reprints ISBA 2014028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. 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).
  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).

2013

  1. Fabian Y.R.P. Bocart & Christian M. Hafner, 2013. "Fair re-valuation of wine as an investment," SFB 649 Discussion Papers SFB649DP2013-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. HAFNER, Christian & LINTON, Oliver, 2013. "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE 2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  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. 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).
  5. 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).

2012

  1. Wolfgang Karl Härdle & Dedy Dwi Prastyo & Christian Hafner, 2012. "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," SFB 649 Discussion Papers SFB649DP2012-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Fabian Y.R.P. Bocart & Christian M. Hafner, 2012. "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers SFB649DP2012-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Hafner, Christian & Reznikova, O., 2012. "On the estimation of dynamic conditional correlation models," LIDAM Reprints ISBA 2012021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. 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).

2011

  1. BOCART, Fabian Y. R. P. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers CORE 2011052, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Aurélie Bertrand & Christian M. Hafner, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," SFB 649 Discussion Papers SFB649DP2011-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. 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).
    • 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).
  5. Motta, Giovanni & Hafner, Christian & von Sachs, Rainer, 2011. "Locally Stationary Factor Models: Identification And Nonparametric Estimation," LIDAM Reprints ISBA 2011007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. 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).
  7. 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).

2010

  1. Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
  2. 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).

2008

  1. Wang, Shin-Huei & Hafner, Christian, 2008. "Estimating autocorrelations in the presence of deterministic trends," LIDAM Discussion Papers CORE 2008073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Hafner, C.M. & Manner, H., 2008. "Dynamic stochastic copula models: estimation, inference and applications," Research Memorandum 043, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

2006

  1. Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006. "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques) 2006007, Université catholique de Louvain, Département des Sciences Economiques.
  2. 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).
  3. PREMINGER, Arie & HAFNER, Christian, 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2005

  1. 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.
  2. 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.
  3. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.

2004

  1. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004-03, Christian-Albrechts-University of Kiel, Department of Economics.
  2. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
  3. Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
  4. 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).

2003

  1. 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).
  2. 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).
  3. 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.
  4. 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.
  5. 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, Christian M. & Herwartz, Helmut, 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers 2003,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

2001

  1. 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. Christian M. Hafner, 2000. "Durations, Volume and the Prediction of Financial Returns in Transaction Time," Econometric Society World Congress 2000 Contributed Papers 0599, Econometric Society.

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. 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.
  3. 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.

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

2021

  1. 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.

2020

  1. Christian M. Hafner, 2020. "Alternative Assets and Cryptocurrencies," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(1), pages 1-3, January.
  2. Christian M Hafner, 2020. "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(2), pages 233-249.
  3. Fabian Y.R.P. Bocart & Eric Ghysels & Christian M. Hafner, 2020. "Monthly Art Market Returns," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(5), pages 1-22, May.
  4. 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.

2019

  1. Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019. "Sentiment-Induced Bubbles in the Cryptocurrency Market," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-12, April.
  2. Zhengyuan Gao & Christian M. Hafner, 2019. "Looking Backward and Looking Forward," Econometrics, MDPI, Open Access Journal, vol. 7(2), pages 1-24, June.
  3. 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.

2018

  1. 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.
  2. 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.

2017

  1. 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.
  2. 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.
  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 & Arie Preminger, 2017. "On Asymptotic Theory for ARCH (∞) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 865-879, November.

2016

  1. 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.
  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.

2015

  1. 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.
  2. 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.
  3. 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.
  4. Hafner, Christian M. & Preminger, Arie, 2015. "An ARCH model without intercept," Economics Letters, Elsevier, vol. 129(C), pages 13-17.
  5. 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.

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. 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.
  3. Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, Open Access Journal, vol. 2(2), pages 1-6, June.
  4. 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.
  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.

2013

  1. 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.

2012

  1. 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.
  2. 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.
  3. 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.
  4. 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.

2011

  1. 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.
  2. 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.
  3. 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.

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. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.

2008

  1. Hafner, Christian M., 2008. "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 142(1), pages 467-483, January.
  2. 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.
  3. 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.
  4. 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.

2007

  1. 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.
  2. Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.

2006

  1. 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.
  2. Hafner, Christian M. & Herwartz, Helmut, 2006. "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, vol. 93(1), pages 137-141, October.
  3. Hafner, Christian M. & Linton, Oliver B., 2006. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 998-1001, September.

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. Christian M. Hafner, 2003. "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 26-54.
  2. Christian Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, vol. 18(3), pages 339-353, 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.

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.

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