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Displaying 21 results.
    • Journal article
    Deciding between GARCH and stochastic volatility via strong decision rules
    Hafner, Christian[UCL] Preminger, Arie (2010) Journal of Statistical Planning and Inference — Vol. 140, no. 3, p. 791-805 (March 2010)
    • Journal article
    Semiparametric multivariate volatility models
    Hafner, Christian[UCL] Rombouts, Jeroen (2007) Econometric Theory — Vol. 23, no. 2, p. 251-280 (Avril 2007)
    • Journal article
    On asymptotic theory for multivariate GARCH models
    Hafner, Christian[UCL] Preminger, Arie (2009) Journal of Multivariate Analysis — Vol. 100, no. 9, p. 2044-2054 (2009)
    • Journal article
    A Generalized Dynamic Conditional Correlation Model: Simulation and Application To Many Assets
    Hafner, Christian[UCL] Franses, Philip Hans (2009) Econometric Reviews — Vol. 28, no. 6, p. 612-631 (2009)
    • Journal article
    Efficient estimation of a multivariate multiplicative volatility model
    Hafner, Christian[UCL] Linton, Oliver (2010) Journal of Econometrics — Vol. 159, no. 1, p. 55-73 (November 2010)
    • Journal article
    Temporal aggregation of multivariate GARCH models
    Hafner, Christian[UCL] (2008) Journal of Econometrics — Vol. 142, no. 1, p. 467-483 (Janvier 2008)
    • Journal article
    Efficient estimation of a semiparametric dynamic copula model
    Hafner, Christian[UCL] Reznikova, Olga[UCL] (2010) Computational Statistics & Data Analysis — Vol. 54, no. 11, p. 2609-2627 (2010)
    • Journal article
    Nonparametric multistep-ahead prediction in time series analysis
    Chen, Rong Yang, Lijan Hafner, Christian[UCL] (2004) Journal of the Royal Statistical Society. Series B, statistical methodology — Vol. 66, no. 3, p. 669-686 (Juillet 2004)
    • Journal article
    Asymptotic theory for a factor GARCH model
    Hafner, Christian[UCL] Preminger, Arie (2009) Econometric Theory — Vol. 25, no. 2, p. 336-363 (2009)
    • Journal article
    Heterogeneous Liquidity Effects in Corporate Bond Spreads
    Hafner, Christian[UCL] Walders, Fabian (2017) The Journal of Fixed Income — Vol. 26, p. 73-91 (2017)
    • Journal article
    On Asymptotic Theory for ARCH (∞) Models
    Hafner, Christian[UCL] Preminger, Arie[CORE, UCLouvain] (2017) Journal of Time Series Analysis — Vol. 38, p. 865-879 (2017)
    • Journal article
    Fair Revaluation of Wine as an Investment
    Bocart, Fabian Y.R.P. Hafner, Christian[UCL] (2015) Journal of Wine Economics — Vol. 10, no.2, p. 190-203 (2015)
    • Journal article
    Weak Diffusion Limits of Dynamic Conditional Correlation Models
    Hafner, Christian[UCL] Laurent, Sebastien Violante, Francesco (2017) Econometric Theory — Vol. 33, p. 691-716 (2017)
    • WorkingPaper
    An augmented Taylor rule for the Federal Reserve’s response to asset prices
    Hafner, Christian[UCL] Lauwers, Alexandre (2015)
    • Journal article
    Econometric analysis of volatile art markets
    Bocart, Fabian[UCL] Hafner, Christian[UCL] (2012) Computational Statistics & Data Analysis — Vol. 56, no. 11, p. 3091-3104 (2012)
    • Journal article
    On the estimation of dynamic conditional correlation models
    Hafner, Christian[UCL] Reznikova, Olga[UCL] (2012) Computational Statistics & Data Analysis — Vol. 56, no. 11, p. 3533-3545 (2012)
    • Journal article
    Macroeconomic news surprises and volatility spillover in foreign exchange markets
    Ben Omrane, Walid Hafner, Christian[UCL] (2015) Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna — Vol. 48, no. 2, p. 577-607 (2015)
    • Journal article
    Volatility of price indices for heterogenous goods with applications to the fine art market
    Bocart, Fabian[UCL] Hafner, Christian[UCL] (2015) Journal of Applied Econometrics — Vol. 30, no. 2, p. 291-312 (2015)
    • Journal article
    Cross-correlating wavelet coefficients with applications to high-frequency financial time series
    Hafner, Christian[UCL] (2012) Journal of Applied Statistics — Vol. 39, no.6, p. 1363-1379 (2012)
    • Journal article
    Locally Stationary Factor Models: Identification And Nonparametric Estimation
    Motta, Giovanni Hafner, Christian[UCL] von Sachs, Rainer[UCL] (2011) Econometric Theory — Vol. 27, no. 6, p. 1279-1319 (2011)
    • BookChapter
    Multivariate Time Series Models for Asset Prices
    Hafner, Christian[UCL] Manner, Hans (2012) Handbook of Computational Finance — [ISBN : 978-3-642-17253-3]