All Publications

Pages

1. • Journal article

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   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

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   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

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   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

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   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

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   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. • WorkingPaper

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   Multivariate mixed normal conditional heteroskedasticity

   Bauwens, Luc[UCL] Hafner, Christian[UCL] Rombouts, Jeroen (2006)
7. • WorkingPaper

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   Asymptotic theory for a factor GARCH model

   Hafner, Christian[UCL] Preminger, Arie[UCL] (2006)
8. • WorkingPaper

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   Volatility impulse response functions for multivariate GARCH models.

   Hafner, Christian[UCL] Herwartz, Helmut (1998)
9. • Journal article

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   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)
10. • Journal article

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    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)
11. • Journal article

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    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)
12. • WorkingPaper

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    Teaching statistical inference without normality

    Hafner, Christian[UCL] (2021)
13. • WorkingPaper

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    Exponential-type GARCH models with linear-in-variance risk premium

    Hafner, Christian[UCL] Kyriakopoulou, Dimitra[UCL] (2019)
14. • Journal article

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    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)
15. • Journal article

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    Looking Backward and Looking Forward

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

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    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)
17. • WorkingPaper

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    A dynamic conditional score model for the log correlation matrix

    Hafner, Christian[UCL] Wang, Linqi[UCL] (2019)
18. • Journal article

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    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)
19. • WorkingPaper

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    Dynamic portfolio selection with sector-specific regularization

    Hafner, Christian[UCL] Wang, Linqi[UCL] (2020)
20. • Journal article

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    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)
21. • Journal article

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    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)
22. • Journal article

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    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)
23. • Journal article

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    Identification of structural multivariate GARCH models

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

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    Dynamic score driven independent component analysis

    Hafner, Christian[UCL] Herwartz, Helmut (2020)
25. • Journal article

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    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)

Pages