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 0 1 313
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process 0 0 1 19 1 4 9 73
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process 0 0 0 6 3 4 6 47
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process 0 0 1 38 1 3 7 96
A One Line Derivation of EGARCH 0 0 0 13 0 2 7 56
A One Line Derivation of EGARCH 0 0 0 25 1 4 9 83
A One Line Derivation of EGARCH 0 0 0 28 0 4 15 63
A One Line Derivation of EGARCH 0 0 0 0 0 3 4 4
A One Line Derivation of EGARCH 0 0 0 49 1 6 16 84
A Simple Model for Now-Casting Volatility Series 0 0 0 48 0 1 4 54
A dynamic conditional score model for the log correlation matrix 0 1 32 34 3 4 34 37
A generalized dynamic conditional correlation model for many asset returns 1 2 2 66 3 4 7 159
A note on the Tobit model in the presence of a duration variable 0 0 0 15 2 2 4 49
A note on the Tobit model in the presence of a duration variable 0 0 0 0 1 1 3 3
A note on the Tobit model in the presence of a duration variable 0 0 0 0 1 1 2 2
A note on the Tobit model in the presence of a duration variable 0 0 0 0 2 2 7 9
A simple model for now-casting volatility series 0 0 0 0 1 3 6 6
A simple model for now-casting volatility series 0 0 0 0 0 1 5 5
A simple model for now-casting volatility series 0 0 0 0 0 1 5 15
A simple model for now-casting volatility series 0 0 0 46 0 0 2 95
A simple model for now-casting volatility series 0 0 0 0 0 0 2 2
A simple model for now-casting volatility series 1 1 1 1 1 1 3 3
A simple solution of the spurious regression problem 0 0 0 0 0 2 3 3
An ARCH Model Without Intercept 0 0 0 0 0 1 6 14
An ARCH model without intercept 0 0 0 0 0 1 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 0 6 6
An Almost Closed Form Estimator for the EGARCH model 0 0 0 0 1 1 2 2
An almost closed form estimator for the EGARCH model 0 0 0 74 0 0 1 104
An almost closed form estimator for the EGARCH model 0 0 0 0 0 0 1 11
An augmented Taylor rule for the Federal Reserve's response to asset prices 0 0 0 0 0 1 3 3
An augmented Taylor rule for the Federal Reserve's response to asset prices 0 0 0 0 1 2 13 34
An augmented Taylor rule for the Federal Reserve’s response to asset prices 0 0 0 0 0 0 0 0
Analytical quasi maximum likelihood inference in multivariate volatility models 0 0 2 43 1 1 8 130
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 1 3 4 4
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 1 57 0 0 2 149
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 2 30 30
Deciding between GARCH and stochastic volatility via strong decision rules 0 0 0 101 0 1 3 265
Discrete time option pricing with flexible volatility estimation 0 0 0 11 0 1 4 87
Discrete time option pricing with flexible volatility estimation 0 0 0 1 0 0 4 13
Discrete time option pricing with flexible volatility estimation 0 0 0 9 4 5 7 190
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 4 19
Dynamic portfolio selection with sector-specific regularization 9 9 9 9 68 68 68 68
Dynamic score driven independent component analysis 4 4 4 4 32 32 32 32
Dynamic stochastic copula models: Estimation, inference and applications 0 0 0 0 0 0 1 1
Dynamic stochastic copula models: estimation, inference and applications 0 0 4 282 1 4 24 653
Econometric analysis of volatile art markets 0 0 2 35 0 1 17 168
Econometric analysis of volatile art markets 0 1 2 88 0 2 10 286
Econometric analysis of volatile art markets 0 0 0 0 0 2 10 10
Econometric analysis of volatile art markets 0 0 0 0 0 2 9 9
Efficient Estimation of a Multivariate Multiplicative Volatility Model 0 0 0 0 0 0 5 32
Efficient estimation of a multivariate multiplicative volatility model 0 0 1 5 0 0 2 36
Efficient estimation of a semiparametric dynamic copula model 0 0 0 0 0 0 1 1
Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models 0 0 0 0 0 0 0 236
Estimating autocorrelations in the presence of deterministic trends 0 0 0 73 0 1 5 190
Estimating autocorrelations in the presence of deterministic trends 0 0 0 0 0 0 1 1
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case 1 1 5 23 6 8 27 52
Estimation of a Multiplicative Covariance Structure 0 0 0 26 1 1 3 27
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 10 3 3 16 58
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 22 0 0 1 31
Estimation of a multiplicative covariance structure in the large dimensional case 0 0 0 2 1 1 3 17
Estimation of temporally aggregated multivariate GARCH models 0 0 0 23 0 2 5 102
Estimation of temporally aggregated multivariate GARCH models 0 0 2 21 0 1 13 83
Exponential-type GARCH models with linear-in-variance risk premium 0 0 7 35 3 4 24 38
Fair Revaluation of Wine as an Investment 0 0 0 0 1 1 2 2
Fair re-valuation of wine as an investment 0 0 3 22 1 1 6 82
Fair re-valuation of wine as an investment 0 0 1 15 1 1 12 97
Fair re-valuation of wine as an investment 0 0 0 0 1 1 3 3
Flexible stochastic volatility structures for high frequency financial data 0 1 1 1 0 3 4 156
Foreign Exchange Rates Have Surprising Volatility 0 0 0 93 1 1 4 436
Fourth moments of multivariate GARCH processes 0 0 0 155 0 0 3 446
Fourth moments of multivariate GARCH processes 0 0 0 60 0 0 2 177
Heterogeneous Liquidity Effects in Corporate Bond Spreads 0 0 0 0 0 0 2 2
Heterogeneous Liquidity Effects in Corporate Bond Spreads 0 0 0 0 0 0 0 0
Identification of structural multivariate GARCH models 0 0 10 61 2 4 27 100
Inference in stochastic frontier analysis with dependent error terms 0 0 0 0 1 1 2 2
Inference in stochastic frontier analysis with dependent error terms 0 0 0 0 0 0 1 1
Investing in superheroes? Comic art as a new alternative investment 0 2 11 22 4 9 38 51
Local Government Efficiency: The Case of Moroccan Municipalities 0 0 0 0 1 1 3 3
Local government efficiency: The case of Moroccan municipalities 0 0 0 0 1 2 4 4
Locally Stationary Factor Models: Identification And Nonparametric Estimation 0 0 0 0 0 0 0 0
Locally Stationary Factor Models: Identification And Nonparametric Estimation 0 0 0 0 0 1 2 2
Looking Backward and Looking Forward 0 0 0 0 2 3 5 5
Looking Backward and Looking Forward 0 0 0 16 1 3 12 47
Looking backward and looking forward 0 0 0 0 1 2 7 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 0 0 0
Monthly art market returns 0 0 5 28 1 3 16 35
Multivariate Time Series Models for Asset Prices 0 0 0 0 0 0 0 0
Multivariate Volatility Modeling of Electricity Futures 0 0 0 65 1 2 6 200
Multivariate mixed normal conditional heteroskedasticity 0 0 0 149 0 1 4 469
Multivariate mixed normal conditional heteroskedasticity 0 0 0 21 0 0 5 101
Multivariate mixed normal conditional heteroskedasticity 0 0 0 3 0 0 1 14
Multivariate volatility modeling of electricity futures 0 0 0 0 0 2 5 5
Multivariate volatility modeling of electricity futures 0 0 0 20 0 2 8 109
Nonparametric multistep-ahead prediction in time series analysis 0 0 0 2 0 1 7 27
On Asymptotic Theory for ARCH (infinity) Models 0 0 0 0 1 1 4 4
On Asymptotic Theory for ARCH(infinite) Models 0 0 3 9 0 0 8 52
On asymptotic theory for ARCH([infinite]) models 0 0 0 0 0 1 6 15
On asymptotic theory for ARCH(infinite) models 0 0 2 2 0 1 5 5
On heterogeneous latent class models with applications to the analysis of rating scores 0 0 0 0 0 2 3 3
On heterogeneous latent class models with applications to the analysis of rating scores 0 0 0 0 0 2 4 4
On heterogeneous latent class models with applications to the analysis of rating scores 0 1 1 12 0 2 8 88
On the estimation of dynamic conditional correlation models 0 0 0 0 0 0 1 1
On the estimation of dynamic conditional correlation models 0 0 0 0 0 0 1 1
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis 0 0 0 127 0 0 1 661
Ridge regression revisited 0 0 2 55 2 2 7 158
Semi-Parametric Modelling of Correlation Dynamics 1 1 3 57 1 1 8 129
Semiparametric Estimation and Variable Selection for Single-index Copula Models 0 0 0 0 2 3 13 25
Semiparametric multivariate GARCH models 0 0 1 74 0 0 6 159
Semiparametric multivariate volatility models 0 0 0 15 0 2 6 88
Semiparametric multivariate volatility models 0 0 0 33 0 0 1 90
Sentiment-Induced Bubbles in the Cryptocurrency Market 0 0 0 0 2 4 7 7
Simple approximations for option pricing under mean reversion and stochastic volatility 0 0 0 24 0 1 5 94
Support Vector Machines with Evolutionary Feature Selection for Default Prediction 0 1 5 86 1 4 15 199
Support Vector Machines with Evolutionary Feature Selection for Default Prediction 0 0 0 0 2 2 5 5
Support Vector Machines with Evolutionary Model Selection for Default Prediction 0 0 0 0 0 1 2 2
Temporal aggregation of multivariate GARCH processes 0 0 0 269 1 1 4 633
Temporal aggregation of multivariate GARCH processes 0 0 0 15 1 2 7 67
Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility 0 0 0 0 0 2 4 4
Testing for Causality in Variance using Multivariate GARCH Models 0 0 2 604 2 3 23 1,533
Testing for bubbles in cryptocurrencies with time-varying volatility 0 0 0 0 0 2 17 17
Testing for bubbles in cryptocurrencies with time-varying volatility 2 2 11 80 5 6 28 101
Testing for causality in variance using multivariate GARCH models 0 0 0 47 1 2 5 129
Testing for linear autoregressive dynamics under heteroskedasticity 0 0 0 4 0 0 1 141
Testing for vector autoregressive dynamics under heteroskedasticity 0 0 0 19 1 1 5 68
Testing for vector autoregressive dynamics under heteroskedasticity 0 0 0 6 0 0 1 35
The "wrong skewness" problem in stochastic frontier models: A new approach 0 0 0 0 1 1 10 37
The Effect of Additive Outliers on Fractional Unit Root Tests 0 0 0 0 0 1 9 20
The Euro Introduction and Non-Euro Currencies 0 0 3 214 1 1 12 880
The Euro-introduction and non-Euro currencies 0 0 0 0 1 4 5 5
The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case 0 0 0 0 0 0 1 1
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 0 2 2
The wrong skewness problem in stochastic frontier models: A new approach 0 0 1 45 0 0 14 70
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 0 2 4 4
The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach 0 0 1 1 0 0 2 2
The “wrong skewness” problem in stochastic frontier models: a new approach 0 0 1 9 1 1 7 49
Time-Varying Mixture Copula Models with Copula Selection 0 0 0 0 5 13 37 51
Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications 0 1 5 23 0 1 19 774
Trending Mixture Copula Models with Copula Selection 0 0 5 57 2 5 28 107
Volatility Models 0 0 0 0 0 2 4 4
Volatility Models 0 0 0 0 0 3 8 8
Volatility impulse response functions for multivariate GARCH models 0 0 2 77 4 6 21 1,249
Volatility impulse response functions for multivariate GARCH models 0 1 5 187 6 9 45 511
Volatility models 0 0 8 300 2 10 35 602
Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market 0 0 0 0 0 0 7 9
Volatility of price indices for heterogeneous goods 0 0 0 30 0 0 3 124
Volatility of price indices for heterogeneous goods 0 0 0 0 0 0 1 1
Volatility of price indices for heterogenous goods with applications to the fine art market 0 0 0 0 0 0 1 1
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 1 1
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 0 0 3 32
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 4 14
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 1 2 2
Weak diffusion limits of dynamic conditional correlation models 0 0 0 64 3 3 12 88
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 0 0 8 15
Total Working Papers 19 29 168 5,136 212 360 1,253 16,957


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 1 1 89 2 3 5 224
A Lagrange multiplier test for causality in variance 0 1 12 183 1 4 22 382
A One Line Derivation of EGARCH 0 0 0 29 0 7 16 119
A note on the Tobit model in the presence of a duration variable 0 0 1 6 1 2 8 45
A simple model for now-casting volatility series 0 0 0 11 0 1 2 41
A simple solution of the spurious regression problem 0 0 7 21 3 10 41 102
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL 0 0 1 3 0 2 4 19
ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES 0 0 0 3 0 2 8 17
ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL 0 0 0 43 0 1 3 104
Alternative Assets and Cryptocurrencies 0 1 13 13 2 7 50 50
An ARCH model without intercept 0 0 1 14 0 0 5 64
An augmented Taylor rule for the Federal Reserve's response to asset prices 1 1 5 12 2 4 20 68
Analytical quasi maximum likelihood inference in multivariate volatility models 0 0 2 70 1 2 4 146
Causality and forecasting in temporally aggregated multivariate GARCH processes 0 0 0 48 0 0 5 183
Comment 0 0 0 5 1 2 3 27
Cross-correlating wavelet coefficients with applications to high-frequency financial time series 0 0 0 41 0 2 4 95
Discrete time option pricing with flexible volatility estimation 0 0 0 482 0 1 2 1,584
Durations, volume and the prediction of financial returns in transaction time 0 0 1 5 0 0 1 29
Dynamic stochastic copula models: estimation, inference and applications 0 0 0 0 1 2 7 160
Econometric analysis of volatile art markets 0 0 2 18 0 3 16 107
Efficient estimation of a multivariate multiplicative volatility model 0 0 6 82 1 2 13 194
Efficient estimation of a semiparametric dynamic copula model 0 0 2 75 0 0 7 161
Estimating Autocorrelations in the Presence of Deterministic Trends 0 0 0 42 1 1 4 146
Estimation of a multiplicative correlation structure in the large dimensional case 0 0 0 0 1 5 9 9
Fair Revaluation of Wine as an Investment* 0 0 0 8 1 1 4 33
Fourth Moment Structure of Multivariate GARCH Models 0 0 0 0 0 2 8 274
Inference in stochastic frontier analysis with dependent error terms 0 0 0 6 0 0 0 29
Inference in stochastic frontier analysis with dependent error terms 0 0 0 7 0 0 2 31
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model 0 0 0 27 1 3 5 147
LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION 0 0 0 12 0 2 2 52
Local Government Efficiency: The Case of Moroccan Municipalities 0 0 0 0 1 2 10 104
Local Government Efficiency: The Case of Moroccan Municipalities 0 0 1 5 1 2 7 45
Looking Backward and Looking Forward 0 0 1 3 2 5 15 22
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES 0 0 1 36 0 1 7 106
Macroeconomic news surprises and volatility spillover in foreign exchange markets 0 0 0 22 0 0 4 80
Monthly Art Market Returns 0 0 0 0 1 5 12 12
Multivariate mixed normal conditional heteroskedasticity 0 0 0 50 0 0 1 129
Nonparametric multistep‐ahead prediction in time series analysis 0 0 0 89 0 0 1 332
On Asymptotic Theory for ARCH (∞) Models 0 0 0 3 0 0 2 16
On asymptotic theory for multivariate GARCH models 1 2 6 50 3 4 14 137
On heterogeneous latent class models with applications to the analysis of rating scores 0 0 0 4 0 2 6 53
On the estimation of dynamic conditional correlation models 0 1 6 47 1 4 18 118
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis 0 0 0 91 1 1 4 266
Ridge regression revisited 0 0 0 34 0 0 2 98
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS 0 0 0 30 0 1 3 109
Sentiment-Induced Bubbles in the Cryptocurrency Market 0 0 0 5 0 3 20 42
Simple approximations for option pricing under mean reversion and stochastic volatility 0 0 0 2 0 1 3 15
Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner 0 2 2 83 0 3 4 218
Structural analysis of portfolio risk using beta impulse response functions 0 0 0 0 1 1 1 1
THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE 0 0 2 7 1 3 17 36
Temporal aggregation of multivariate GARCH processes 0 0 0 70 0 0 0 192
Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility 2 3 5 5 6 9 14 14
Testing for Causality in Variance Usinf Multivariate GARCH Models 0 1 3 8 1 2 6 37
Testing for linear autoregressive dynamics under heteroskedasticity 0 0 0 10 0 1 2 486
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity 0 1 5 56 0 4 9 123
The effect of additive outliers on a fractional unit root test 0 0 0 2 0 1 9 36
The euro introduction and noneuro currencies 0 1 2 38 1 4 10 190
The “wrong skewness” problem in stochastic frontier models: A new approach 0 0 1 7 0 0 3 24
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration 4 10 43 345 9 20 93 771
Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market 0 0 0 9 0 0 0 47
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 1 5 19
Total Journal Articles 9 25 132 2,468 48 151 582 8,520


Statistics updated 2021-01-03