Access Statistics for Christian Matthias Hafner

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series 0 0 0 161 1 3 19 422
A generalized dynamic conditional correlation model for many asset returns 6 21 74 575 14 49 180 1,152
Analytical quasi maximum likelihood inference in multivariate volatility models 1 5 27 203 1 12 55 465
Discrete Time Option Pricing with Flexible Volatility Estimation 0 0 0 28 2 4 10 179
Durations, Volume and the Prediction of Financial Returns in Transaction Time 0 3 18 387 1 9 46 638
Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models 0 0 0 114 0 2 15 403
Flexible Stochastic Volatility Structures for High Frequency Financial Data 0 0 0 43 0 3 8 199
Foreign Exchange Rates Have Surprising Volatility 0 0 0 141 3 7 36 475
Fourth moments of multivariate GARCH processes 0 0 0 151 4 7 29 811
Multivariate mixed normal conditional heteroskedasticity 2 5 23 87 4 17 60 258
Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis 0 0 0 117 3 7 33 544
Simple approximations for option pricing under mean reversion and stochastic volatility 5 15 90 573 6 37 190 1,179
Temporal aggregation of multivariate GARCH processes 0 6 36 205 5 18 71 426
Testing for Causality in Variance using Multivariate GARCH Models 4 11 45 98 7 18 95 222
Testing for Linear Autoregressive Dynamics under Heteroskedasticity 0 0 0 0 0 0 2 77
Testing for vector autoregressive dynamics under heteroskedasticity 2 4 12 195 3 11 48 602
The Euro Introduction and Non-Euro Currencies 2 8 28 137 7 32 107 564
Time-Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications 0 0 0 155 2 10 42 824
Volatility Impulse Response Functions for Multivariate Garch Models 0 0 0 3 6 20 81 968
Total Working Papers 22 78 353 3,373 69 266 1,127 10,408

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Lagrange multiplier test for causality in variance 3 3 11 23 3 3 22 63
Analytical quasi maximum likelihood inference in multivariate volatility models 1 2 7 7 3 4 13 13
Comment 0 0 2 2 0 1 7 11
Discrete time option pricing with flexible volatility estimation 2 4 14 415 5 13 42 1,376
Fourth Moment Structure of Multivariate GARCH Models 0 0 0 0 2 5 37 96
Multivariate mixed normal conditional heteroskedasticity 1 1 6 10 1 4 17 43
Nonparametric multistep-ahead prediction in time series analysis 4 7 25 28 7 15 61 71
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis 0 3 10 58 0 5 28 172
Ridge regression revisited 1 1 8 13 1 3 25 42
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS 0 0 9 24 1 4 29 62
Temporal aggregation of multivariate GARCH processes 1 4 7 7 2 12 30 30
Testing for linear autoregressive dynamics under heteroskedasticity 0 0 0 10 1 7 26 383
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration 0 3 14 25 0 7 28 60
Total Journal Articles 13 28 113 622 26 83 365 2,422

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Statistics updated 2008-10-02