Search

Pages

1. • Journal article

   • 

   Multivariate mixed normal conditional heteroskedasticity

   Bauwens, Luc[UCL] Hafner, Christian[UCL] Rombouts, Jeroen[UCL] (2007) Computational Statistics & Data Analysis — Vol. 51, no. 7, p. 3551-3566 (Avril 2007)
2. • Journal article

   • 

   Durations, volume and the prediction of financial returns in transaction time

   Hafner, Christian[UCL] (2005) Quantitative Finance — Vol. 5, no. 2, p. 145-152 (Avril 2005)
3. • Journal article

   • 

   Discrete time option pricing with flexible volatility estimation

   Hardle, Wolfgang Hafner, Christian[UCL] (2000) Finance and Stochastics — Vol. 4, no. 2, p. 189-207 (Février 2000)
4. • Journal article

   • 

   Discussion of quantile autoregression by Koenker and Xiao

   Hafner, Christian[UCL] Linton, Olivier (2006) Journal of the American Statistical Association — Vol. 101, no. 475, p. 998-1001 (Mars 2006)
5. • Journal article

   • 

   Analytical quasi maximum likelihood inference in multivariate volatility models

   Hafner, Christian[UCL] Herwartz, Helmut (2008) Metrika : international journal for theoretical and applied statistics — Vol. 67, no. 2, p. 219-239 (Mars 2008)
6. • Journal article

   • 

   Dynamic score driven independent component analysis

   Hafner, Christian[UCL] Herwartz, Helmut (2023) Journal of Business and Economic Statistics — Vol. 41, no. 2, p. 298-308 (2023)
7. • Journal article

   • 

   Time-Varying Mixture Copula Models with Copula Selection

   Yang, Bingduo Cai, Zongwu Hafner, Christian[UCL] Liu, Guannan (2022) Statistica Sinica — Vol. 32, p. 1049-1077 (2022)
8. • Journal article

   • 

   Panel stochastic frontier analysis with dependent error terms

   El Mehdi, Rachida Hafner, Christian[UCL] (2021) International Econometric Review — Vol. 13, no.2, p. 24-40 (2021)
9. • Journal article

   • 

   Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility

   Hafner, Christian[UCL] (2020) Journal of Financial Econometrics — Vol. 18, no. 2, p. 233–249 (2020)
10. • Journal article

    • 

    Looking Backward and Looking Forward

    Gao, Zhengyuan[UCL] Hafner, Christian[UCL] (2019) Econometrics — Vol. 7, no.2, p. article 27 (2019)
11. • Journal article

    • 

    Semiparametric estimation and variable selection for single-index copula models

    Yang, Bingduo Hafner, Christian[UCL] Liu, Guannan Long, Wei (2021) Journal of Applied Econometrics — Vol. 36, no.7, p. 962-988 (2021)
12. • Journal article

    • 

    Sentiment-Induced Bubbles in the Cryptocurrency Market

    Chen, Cathy Yi-Hsuan Hafner, Christian[UCL] (2019) Journal of Risk and Financial Management — Vol. 12, no. 2, p. 1-12 (2019)
13. • Journal article

    • 

    Exponential-Type GARCH Models With Linear-in-Variance Risk Premium

    Hafner, Christian[UCL] Kyriakopoulou, Dimitra[UCL] (2021) Journal of Business & Economic Statistics — Vol. 39, no. 2, p. 589-603 (2021)
14. • Journal article

    • 

    Monthly Art Market Returns

    Bocart, Fabian Ghysels, Eric Hafner, Christian[UCL] (2020) Journal of Risk and Financial Management — Vol. 13, no.5, p. 100 (2020)
15. • Journal article

    • 

    Estimation of a multiplicative correlation structure in the large dimensional case

    Hafner, Christian[UCL] Linton, Oliver Tang, Haihan (2020) Journal of Econometrics — Vol. 217, no.2, p. 431-470 (2020)
16. • Journal article

    • 

    Identification of structural multivariate GARCH models

    Hafner, Christian[UCL] Herwartz, Helmut Maxand, Simone (2020) Journal of Econometrics — (2020)
17. • Journal article

    • 

    The Spread of the Covid-19 Pandemic in Time and Space

    Hafner, Christian[UCL] (2020) International Journal of Environmental Research and Public Health — Vol. 17, no.11, p. 3827 (2020)
18. • Speech

    • 

    SPARC: A New Semiparametric Correlation Model

    van Dijk, Dick Hans Franses, Philip Hafner, Christian (2005) 55th ISI Session — Sydney
19. • Speech

    • 

    Foreign exchange rates have surprising volatility

    Bossaerts, Peter Hafner, Christian H�rdle, Wolfgang (1996) Athens Conference on Applied Probability and Time Series Analysis — Athens
20. • Book

    • 

    Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

    Hafner, Christian[UCL] (1997)
21. • Journal article

    • 

    Testing causality in variance using multivariate GARCH models

    Hafner, Christian[UCL] Herwartz, Helmut (2009) Annales d'économie et de statistique — no. 89, p. 215-241 (2009)
22. • Journal article

    • 

    Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models

    Hafner, Christian (1998) Journal of Statistical Planning and Inference — Vol. 68, no. 2, p. 247-269 (15 May 1998)
23. • BookChapter

    • 

    A new method of volatility estimation and applications to foreign exchange rate in series

    Bossaerts, Peter Hafner, Christian[UCL] Härdle, Wolfgang (1996) Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren — [ISBN : 3-7908-0925-X]
24. • Journal article

    • 

    Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

    Hafner, Christian Herwartz, Helmut (2001) Journal of Empirical Finance — Vol. 8, no. 1, p. 1-34 (March 2001)
25. • Journal article

    • 

    Fourth Moment Structure of Multivariate GARCH Models

    Hafner, Christian (2003) Journal of Financial Econometrics — Vol. 1, no. 1, p. 26-54 (March 2003)

Pages