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 93 0 1 1 314
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process 0 1 1 7 1 4 9 51
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process 0 0 0 38 0 1 4 97
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process 0 0 0 19 0 1 8 75
A One Line Derivation of EGARCH 0 0 0 0 0 0 4 4
A One Line Derivation of EGARCH 0 0 0 25 1 5 11 88
A One Line Derivation of EGARCH 0 0 0 13 0 0 5 56
A One Line Derivation of EGARCH 0 0 0 49 0 1 11 86
A One Line Derivation of EGARCH 0 0 0 28 0 2 11 67
A Simple Model for Now-Casting Volatility Series 0 0 0 48 0 1 4 55
A dynamic conditional score model for the log correlation matrix 1 1 7 36 5 7 30 48
A generalized dynamic conditional correlation model for many asset returns 0 0 2 66 0 1 6 160
A note on the Tobit model in the presence of a duration variable 0 0 0 0 0 0 3 3
A note on the Tobit model in the presence of a duration variable 0 0 0 0 0 0 3 3
A note on the Tobit model in the presence of a duration variable 0 0 0 0 0 0 6 9
A note on the Tobit model in the presence of a duration variable 0 0 0 15 0 1 8 53
A simple model for now-casting volatility series 0 0 0 0 0 0 2 15
A simple model for now-casting volatility series 0 0 0 46 0 0 2 96
A simple model for now-casting volatility series 0 0 1 1 0 0 3 3
A simple model for now-casting volatility series 0 0 0 0 0 0 5 5
A simple model for now-casting volatility series 0 0 0 0 0 0 2 2
A simple model for now-casting volatility series 0 0 0 0 1 2 8 8
A simple solution of the spurious regression problem 0 0 0 0 1 1 4 4
An ARCH Model Without Intercept 0 0 0 0 0 0 1 14
An ARCH model without intercept 0 0 0 0 0 0 2 2
An Almost Closed Form Estimator For The EGARCH Model 0 0 0 0 0 0 2 2
An Almost Closed Form Estimator for the EGARCH 0 0 0 0 0 1 7 7
An Almost Closed Form Estimator for the EGARCH model 0 0 0 0 0 1 3 3
An almost closed form estimator for the EGARCH model 0 0 0 0 0 3 5 16
An almost closed form estimator for the EGARCH model 0 0 0 74 0 1 1 105
An augmented Taylor rule for the Federal Reserve's response to asset prices 0 0 0 0 0 1 9 35
An augmented Taylor rule for the Federal Reserve's response to asset prices 0 0 0 0 0 0 3 3
An augmented Taylor rule for the Federal Reserve’s response to asset prices 0 0 0 0 1 1 1 1
Analytical quasi maximum likelihood inference in multivariate volatility models 0 0 0 43 0 1 4 131
Asymmetries in Business Cycles and the Role of Oil Prices 0 0 0 0 0 0 2 2
Asymmetries in Business Cycles and the Role of Oil Prices 0 0 0 0 0 1 5 5
Asymmetries in Business Cycles and the Role of Oil Production 0 0 0 0 0 0 1 1
Asymptotic theory for a factor GARCH model 0 0 0 57 0 0 0 149
Cross-correlating wavelet coefficients with applications to high-frequency financial time series 0 0 0 0 0 0 1 1
Deciding between GARCH and Stochastic Volatility via Strong Decision Rules 0 0 0 0 0 1 31 31
Deciding between GARCH and stochastic volatility via strong decision rules 0 0 0 101 0 0 2 265
Discrete time option pricing with flexible volatility estimation 0 0 0 11 0 0 1 87
Discrete time option pricing with flexible volatility estimation 0 0 0 9 0 0 5 190
Discrete time option pricing with flexible volatility estimation 0 0 0 1 0 0 2 13
Durations, Volume and the Prediction of Financial Returns in Transaction Time 0 0 0 418 0 0 0 730
Durations, volume and the prediction of financial returns in transaction time 0 0 0 3 0 0 3 19
Dynamic portfolio selection with sector-specific regularization 1 1 23 23 5 12 99 99
Dynamic score driven independent component analysis 0 0 20 20 0 3 58 58
Dynamic stochastic copula models: Estimation, inference and applications 0 0 0 0 0 2 3 3
Dynamic stochastic copula models: estimation, inference and applications 0 1 1 283 3 8 30 664
Econometric analysis of volatile art markets 0 0 0 0 0 1 10 10
Econometric analysis of volatile art markets 0 0 2 35 0 1 10 169
Econometric analysis of volatile art markets 0 0 0 0 0 0 11 11
Econometric analysis of volatile art markets 1 1 2 89 1 1 9 290
Efficient Estimation of a Multivariate Multiplicative Volatility Model 0 0 0 0 0 0 3 32
Efficient estimation of a multivariate multiplicative volatility model 0 0 0 5 0 0 0 36
Efficient estimation of a semiparametric dynamic copula model 0 0 0 0 1 2 3 3
Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models 0 0 0 0 0 0 2 238
Estimating autocorrelations in the presence of deterministic trends 0 0 0 0 0 0 1 1
Estimating autocorrelations in the presence of deterministic trends 0 0 0 73 0 0 4 190
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case 0 0 3 23 0 1 22 56
Estimation of a Multiplicative Covariance Structure 0 0 0 26 0 0 2 27
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 1 1 11 0 3 14 62
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 22 0 0 0 31
Estimation of a multiplicative correlation structure in the large dimensional case 0 0 0 0 0 1 1 1
Estimation of a multiplicative covariance structure in the large dimensional case 0 0 0 2 0 0 1 17
Estimation of temporally aggregated multivariate GARCH models 0 0 0 23 1 1 5 104
Estimation of temporally aggregated multivariate GARCH models 0 0 0 21 1 1 5 84
Exponential-Type GARCH Models With Linear-in-Variance Risk Premium 0 0 0 0 0 2 4 4
Exponential-type GARCH models with linear-in-variance risk premium 1 3 4 38 1 5 18 48
Fair Revaluation of Wine as an Investment 0 0 0 0 0 0 2 2
Fair re-valuation of wine as an investment 0 0 0 15 0 0 7 97
Fair re-valuation of wine as an investment 0 0 0 0 0 1 4 4
Fair re-valuation of wine as an investment 0 0 1 23 0 0 3 83
Flexible stochastic volatility structures for high frequency financial data 0 0 1 1 0 0 3 156
Foreign Exchange Rates Have Surprising Volatility 0 0 0 93 0 2 7 440
Fourth moments of multivariate GARCH processes 0 0 0 60 0 0 1 177
Fourth moments of multivariate GARCH processes 0 0 0 155 0 0 0 446
Heterogeneous Liquidity Effects in Corporate Bond Spreads 0 0 0 0 0 2 2 2
Heterogeneous Liquidity Effects in Corporate Bond Spreads 0 0 0 0 0 2 4 4
Identification of structural multivariate GARCH models 0 0 5 62 1 3 20 104
Identification of structural multivariate GARCH models 0 0 0 0 0 5 6 6
Inference in stochastic frontier analysis with dependent error terms 0 0 0 0 0 1 3 3
Inference in stochastic frontier analysis with dependent error terms 0 0 0 0 0 0 3 3
Investing in superheroes? Comic art as a new alternative investment 1 3 7 25 4 13 38 72
Local Government Efficiency: The Case of Moroccan Municipalities 0 0 0 0 0 0 3 3
Local government efficiency: The case of Moroccan municipalities 0 0 0 0 0 0 4 4
Locally Stationary Factor Models: Identification And Nonparametric Estimation 0 0 0 0 0 1 2 2
Locally Stationary Factor Models: Identification And Nonparametric Estimation 0 0 0 0 0 0 2 2
Looking Backward and Looking Forward 0 0 0 16 0 0 13 49
Looking Backward and Looking Forward 0 0 0 0 0 0 6 6
Looking backward and looking forward 0 0 0 0 0 0 3 7
Macroeconomic news surprises and volatility spillover in foreign exchange markets 0 0 0 0 0 0 0 0
Macroeconomic news surprises and volatility spillover in foreign exchange markets 0 0 0 0 0 0 0 0
Modelling multivariate volatility of electricity futures 0 0 0 0 0 1 2 2
Monthly Art Market Returns 0 0 0 0 0 3 3 3
Monthly art market returns 0 0 2 28 0 1 9 37
Multivariate Time Series Models for Asset Prices 0 0 0 0 0 0 1 1
Multivariate Volatility Modeling of Electricity Futures 0 0 0 65 1 1 5 202
Multivariate mixed normal conditional heteroskedasticity 0 0 0 149 2 2 3 471
Multivariate mixed normal conditional heteroskedasticity 0 0 0 21 0 0 3 101
Multivariate mixed normal conditional heteroskedasticity 0 0 0 3 0 0 0 14
Multivariate volatility modeling of electricity futures 0 0 0 20 0 0 4 109
Multivariate volatility modeling of electricity futures 0 0 0 0 0 0 6 6
Nonparametric multistep-ahead prediction in time series analysis 0 0 0 2 1 2 9 32
On Asymptotic Theory for ARCH (infinity) Models 0 0 0 0 0 1 5 5
On Asymptotic Theory for ARCH(infinite) Models 0 0 0 9 0 0 1 52
On asymptotic theory for ARCH([infinite]) models 0 0 0 0 0 0 2 15
On asymptotic theory for ARCH(infinite) models 0 0 2 2 0 1 6 6
On heterogeneous latent class models with applications to the analysis of rating scores 0 0 0 0 0 1 4 4
On heterogeneous latent class models with applications to the analysis of rating scores 0 0 0 0 0 2 7 7
On heterogeneous latent class models with applications to the analysis of rating scores 0 0 1 12 0 2 6 90
On the estimation of dynamic conditional correlation models 0 0 0 0 0 1 3 3
On the estimation of dynamic conditional correlation models 0 0 0 0 0 1 2 2
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis 0 0 0 127 0 0 0 661
Ridge regression revisited 0 0 2 55 0 3 8 161
Semi-Parametric Modelling of Correlation Dynamics 0 0 1 57 1 2 5 132
Semiparametric Estimation and Variable Selection for Single-index Copula Models 0 2 2 2 0 4 4 4
Semiparametric Estimation and Variable Selection for Single-index Copula Models 0 0 0 0 1 7 19 37
Semiparametric multivariate GARCH models 0 0 1 74 0 0 3 160
Semiparametric multivariate volatility models 0 0 0 15 0 1 4 90
Semiparametric multivariate volatility models 0 0 0 33 0 0 2 91
Sentiment-Induced Bubbles in the Cryptocurrency Market 0 0 0 0 3 4 12 12
Simple approximations for option pricing under mean reversion and stochastic volatility 0 0 0 24 1 1 3 96
Support Vector Machines with Evolutionary Feature Selection for Default Prediction 0 0 4 86 2 3 17 206
Support Vector Machines with Evolutionary Feature Selection for Default Prediction 0 0 0 0 0 0 7 7
Support Vector Machines with Evolutionary Model Selection for Default Prediction 0 0 0 0 0 0 3 3
Temporal aggregation of multivariate GARCH processes 0 0 0 15 0 1 6 69
Temporal aggregation of multivariate GARCH processes 0 0 0 269 0 1 2 634
Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility 0 0 0 0 1 4 8 8
Testing for Causality in Variance using Multivariate GARCH Models 0 0 1 604 0 1 13 1,535
Testing for bubbles in cryptocurrencies with time-varying volatility 0 1 1 1 0 3 3 3
Testing for bubbles in cryptocurrencies with time-varying volatility 0 0 0 0 3 3 11 23
Testing for bubbles in cryptocurrencies with time-varying volatility 0 0 6 80 4 5 18 106
Testing for causality in variance using multivariate GARCH models 0 0 0 47 0 1 4 131
Testing for linear autoregressive dynamics under heteroskedasticity 0 0 0 4 0 1 1 142
Testing for vector autoregressive dynamics under heteroskedasticity 0 0 0 6 0 0 1 35
Testing for vector autoregressive dynamics under heteroskedasticity 0 0 0 19 0 0 5 69
The "wrong skewness" problem in stochastic frontier models: A new approach 0 0 0 0 0 0 6 38
The Effect of Additive Outliers on Fractional Unit Root Tests 0 0 0 0 0 0 3 20
The Euro Introduction and Non-Euro Currencies 0 0 0 214 0 4 11 886
The Euro-introduction and non-Euro currencies 0 0 0 0 0 0 6 6
The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case 0 0 0 0 0 0 2 2
The Spread of the Covid-19 Pandemic in Time and Space 0 0 0 0 4 11 17 17
The effect of additive outliers on a fractional unit root test 0 0 0 0 0 0 1 1
The effect of additive outliers on a fractional unit root test 0 0 0 0 0 1 3 3
The wrong skewness problem in stochastic frontier models: A new approach 0 0 1 45 2 2 10 73
The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach 0 0 1 1 0 0 2 2
The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach 0 0 0 0 0 0 1 1
The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach 0 0 0 0 1 1 5 5
The “wrong skewness” problem in stochastic frontier models: a new approach 0 0 0 9 0 1 3 51
Time-Varying Mixture Copula Models with Copula Selection 0 0 0 0 4 10 44 69
Time-Varying Mixture Copula Models with Copula Selection 1 4 23 23 6 14 24 24
Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications 0 1 5 24 0 2 15 779
Trending Mixture Copula Models with Copula Selection 0 0 0 0 1 2 2 2
Trending Mixture Copula Models with Copula Selection 0 0 3 57 4 5 20 114
Volatility Models 0 0 0 0 0 2 9 9
Volatility Models 0 0 0 0 0 2 12 12
Volatility impulse response functions for multivariate GARCH models 0 3 4 80 0 3 27 1,258
Volatility impulse response functions for multivariate GARCH models 0 1 6 188 18 42 72 555
Volatility models 0 1 5 302 1 4 29 610
Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market 0 0 0 0 0 0 7 11
Volatility of price indices for heterogeneous goods 0 0 0 0 0 0 1 1
Volatility of price indices for heterogeneous goods 0 0 0 30 0 1 1 125
Volatility of price indices for heterogenous goods with applications to the fine art market 0 0 0 0 0 0 2 2
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 1 14
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 0 0 2 32
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 2 2
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 1 1 2 2
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 0 1 2 16
Weak diffusion limits of dynamic conditional correlation models 0 0 1 65 0 2 10 91
Total Working Papers 6 25 153 5,214 90 288 1,286 17,434


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 1 2 3 91 2 3 7 227
A Lagrange multiplier test for causality in variance 3 3 11 187 4 6 19 390
A One Line Derivation of EGARCH 1 1 1 30 1 3 15 123
A note on the Tobit model in the presence of a duration variable 0 1 2 7 1 5 13 52
A simple model for now-casting volatility series 0 0 0 11 0 0 2 41
A simple solution of the spurious regression problem 1 3 5 24 7 14 35 117
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL 0 0 1 3 0 2 6 21
ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES 0 0 0 3 0 0 7 18
ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL 0 0 0 43 0 1 3 105
Alternative Assets and Cryptocurrencies 0 2 8 16 0 6 30 59
An ARCH model without intercept 0 0 0 14 1 1 1 65
An augmented Taylor rule for the Federal Reserve's response to asset prices 1 1 3 13 1 2 15 70
Analytical quasi maximum likelihood inference in multivariate volatility models 0 0 1 70 0 1 4 147
Causality and forecasting in temporally aggregated multivariate GARCH processes 0 0 0 48 0 0 2 183
Comment 0 0 0 5 1 1 5 29
Cross-correlating wavelet coefficients with applications to high-frequency financial time series 1 1 1 42 3 4 7 99
Discrete time option pricing with flexible volatility estimation 0 0 0 482 0 0 1 1,584
Durations, volume and the prediction of financial returns in transaction time 0 0 2 6 0 0 3 31
Dynamic stochastic copula models: estimation, inference and applications 0 0 0 0 10 26 37 192
Econometric analysis of volatile art markets 1 1 2 19 1 2 12 109
Efficient estimation of a multivariate multiplicative volatility model 0 0 2 83 1 1 8 196
Efficient estimation of a semiparametric dynamic copula model 0 0 1 75 0 1 2 162
Estimating Autocorrelations in the Presence of Deterministic Trends 0 0 0 42 1 1 4 147
Estimation of a multiplicative correlation structure in the large dimensional case 0 0 0 0 0 0 10 10
Fair Revaluation of Wine as an Investment* 0 0 0 8 1 3 7 36
Fourth Moment Structure of Multivariate GARCH Models 0 0 0 0 0 2 6 277
Inference in stochastic frontier analysis with dependent error terms 0 0 0 7 0 1 2 32
Inference in stochastic frontier analysis with dependent error terms 0 0 0 6 0 0 1 30
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model 0 0 0 27 0 1 6 148
LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION 0 0 1 13 1 2 5 55
Local Government Efficiency: The Case of Moroccan Municipalities 0 0 1 5 0 1 6 46
Local Government Efficiency: The Case of Moroccan Municipalities 0 0 0 0 0 2 9 109
Looking Backward and Looking Forward 0 0 2 5 0 2 13 28
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES 0 0 1 36 1 1 6 107
Macroeconomic news surprises and volatility spillover in foreign exchange markets 0 0 0 22 0 2 4 83
Monthly Art Market Returns 0 1 1 1 0 4 17 17
Multivariate mixed normal conditional heteroskedasticity 0 0 0 50 1 4 5 134
Nonparametric multistep‐ahead prediction in time series analysis 0 0 0 89 0 0 0 332
On Asymptotic Theory for ARCH (∞) Models 1 1 1 4 1 1 1 17
On asymptotic theory for multivariate GARCH models 0 1 3 51 1 4 10 141
On heterogeneous latent class models with applications to the analysis of rating scores 0 0 0 4 0 1 5 55
On the estimation of dynamic conditional correlation models 0 0 3 47 0 2 18 121
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis 0 0 0 91 0 1 3 267
Ridge regression revisited 0 0 0 34 0 1 2 99
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS 0 0 0 30 0 0 1 109
Sentiment-Induced Bubbles in the Cryptocurrency Market 2 2 7 12 5 7 24 59
Simple approximations for option pricing under mean reversion and stochastic volatility 0 0 0 2 0 0 1 15
Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner 0 0 2 83 0 1 6 221
Structural analysis of portfolio risk using beta impulse response functions 0 1 1 1 0 1 2 2
THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE 0 1 1 8 3 6 16 43
Temporal aggregation of multivariate GARCH processes 0 0 0 70 0 0 0 192
Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility 0 0 7 7 5 11 29 29
Testing for Causality in Variance Usinf Multivariate GARCH Models 0 0 2 8 1 5 10 42
Testing for linear autoregressive dynamics under heteroskedasticity 0 0 0 10 0 0 1 486
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity 0 1 5 58 0 4 11 128
The effect of additive outliers on a fractional unit root test 0 0 0 2 0 0 6 38
The euro introduction and noneuro currencies 0 0 2 38 0 0 10 194
The “wrong skewness” problem in stochastic frontier models: A new approach 0 0 1 7 0 0 4 26
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration 1 8 38 355 2 17 84 795
Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market 0 0 1 10 0 0 2 49
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 0 2 19
Total Journal Articles 13 31 123 2,517 56 167 583 8,758


Statistics updated 2021-06-03