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 0 3 11 435
A generalized dynamic conditional correlation model for many asset returns 0 0 0 0 1 1 1 1
A generalized dynamic conditional correlation model for many asset returns 3 11 53 634 9 26 112 1,274
Analytical quasi maximum likelihood inference in multivariate volatility models 2 5 26 231 4 11 49 520
Analytical quasi maximum likelihood inference in multivariate volatility models 0 1 1 1 0 2 2 2
Asymptotic theory for a factor GARCH model 3 7 25 25 4 11 38 38
Deciding between GARCH and stochastic volatility via strong decision rules 3 13 32 32 10 31 67 67
Discrete Time Option Pricing with Flexible Volatility Estimation 0 0 0 28 1 2 9 189
Discrete time option pricing with flexible volatility estimation 0 0 0 0 0 2 8 8
Durations, Volume and the Prediction of Financial Returns in Transaction Time 1 3 13 401 2 7 33 673
Dynamic stochastic copula models: Estimation, inference and applications 6 17 97 97 14 46 141 141
Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models 0 0 0 114 2 4 17 421
Estimating autocorrelations in the presence of deterministic trends 0 2 30 30 2 13 37 37
Estimation of temporally aggregated multivariate GARCH models 1 1 5 5 2 3 9 9
Estimation of temporally aggregated multivariate GARCH models 1 3 10 10 1 4 19 19
Flexible Stochastic Volatility Structures for High Frequency Financial Data 0 0 0 43 0 0 6 206
Foreign Exchange Rates Have Surprising Volatility 0 0 0 141 2 10 33 509
Fourth moments of multivariate GARCH processes 1 3 11 11 3 9 25 25
Fourth moments of multivariate GARCH processes 0 0 0 151 1 2 16 830
Multivariate mixed normal conditional heteroskedasticity 5 10 26 117 7 23 79 346
Multivariate mixed normal conditional heteroskedasticity 0 0 1 1 0 1 6 6
Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis 0 0 0 117 2 4 22 568
Ridge regression revisited 1 7 9 9 6 23 27 27
Semi-Parametric Modelling of Correlation Dynamics 1 1 2 2 2 5 7 7
Semiparametric multivariate GARCH models 3 4 13 13 5 8 20 20
Semiparametric multivariate volatility models 1 1 4 4 1 2 7 7
Simple approximations for option pricing under mean reversion and stochastic volatility 5 12 62 638 10 34 136 1,325
Simple approximations for option pricing under mean reversion and stochastic volatility 0 1 1 1 0 1 1 1
Temporal aggregation of multivariate GARCH processes 0 0 2 2 0 1 3 3
Temporal aggregation of multivariate GARCH processes 3 7 29 235 6 20 79 510
Testing for Causality in Variance using Multivariate GARCH Models 6 15 82 182 8 28 149 375
Testing for Linear Autoregressive Dynamics under Heteroskedasticity 0 0 0 0 1 3 10 88
Testing for causality in variance using multivariate GARCH models 0 1 2 2 1 5 9 9
Testing for vector autoregressive dynamics under heteroskedasticity 0 1 1 1 0 1 1 1
Testing for vector autoregressive dynamics under heteroskedasticity 3 5 25 220 10 17 63 668
The Euro Introduction and Non-Euro Currencies 1 3 22 161 3 8 72 647
Time-Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications 0 0 0 155 2 9 38 863
Volatility impulse response functions for multivariate GARCH models 2 9 11 14 7 17 54 1,027
Volatility impulse response functions for multivariate GARCH models 5 10 23 23 6 15 35 35
Total Working Papers 57 153 618 4,012 135 412 1,451 11,937

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets 0 6 6 6 0 8 8 8
A Lagrange multiplier test for causality in variance 0 4 11 35 2 9 20 84
ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL 5 6 13 13 8 14 29 29
Analytical quasi maximum likelihood inference in multivariate volatility models 0 4 18 26 0 4 28 43
Causality and forecasting in temporally aggregated multivariate GARCH processes 4 7 25 25 5 13 51 51
Comment 0 0 1 3 0 0 2 14
Discrete time option pricing with flexible volatility estimation 3 4 27 443 5 8 62 1,441
Fourth Moment Structure of Multivariate GARCH Models 0 0 0 0 7 12 41 142
Multivariate mixed normal conditional heteroskedasticity 0 1 4 16 1 2 11 56
Nonparametric multistep-ahead prediction in time series analysis 0 3 19 47 1 12 56 128
On asymptotic theory for multivariate GARCH models 1 1 1 1 1 1 1 1
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis 0 0 9 68 3 3 16 191
Ridge regression revisited 0 3 5 18 1 5 8 50
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS 0 0 5 5 0 3 12 12
Temporal aggregation of multivariate GARCH processes 2 4 13 21 2 8 31 63
Testing for linear autoregressive dynamics under heteroskedasticity 0 0 0 10 2 4 18 401
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity 2 5 5 5 3 9 9 9
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration 0 3 15 42 0 6 34 97
Total Journal Articles 17 51 177 784 41 121 437 2,820

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Statistics updated 2009-11-04