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All Publications

Displaying 1 - 25 of 143 results.

Pages

    • WorkingPaper
    Locally stationary factor models : identification and nonparametric estimation
    Motta, Giovanni[UCL] Hafner, Christian[UCL] von Sachs, Rainer[UCL] (2006)
    • WorkingPaper
    Estimating autocorrelations in the presence of deterministic trends
    Wang, Shin-Huei Hafner, Christian (2008)
    • WorkingPaper
    Efficient estimation of a multivariate multiplicative volatility model
    Hafner, Christian[UCL] Linton, Oliver (2009)
    • WorkingPaper
    Dynamic stochastic copula models: Estimation, inference and applications
    Hafner, Christian[UCL] Manner, Hans (2009)
    • WorkingPaper
    Volatility impulse response functions for multivariate GARCH models
    Hafner, Christian[UCL] Herwatz, Helmut (2001)
    • 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)
    • WorkingPaper
    Deciding between GARCH and stochastic volatility via strong decision rules
    Preminger, Arie[UCL] Hafner, Christian[UCL] (2006)
    • Journal article
    Semiparametric multivariate volatility models
    Hafner, Christian[UCL] Rombouts, Jeroen (2007) Econometric Theory — Vol. 23, no. 2, p. 251-280 (Avril 2007)
    • WorkingPaper
    Estimation of temporally aggregated multivariate GARCH models
    Hafner, Christian[UCL] Rombouts, Jeroen (2003)
    • BookChapter
    Semiparametric modelling of correlation dynamics
    Hafner, Christian[UCL] Van Dijk, Dick Franses, Philip-Hans (2006) Econometric Analysis of Financial and Economic Time Series — [ISBN : 978-0-7623-1274-0]
    • 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
    Ridge regression revisited
    de Boer, Paul M. C. Hafner, Christian (2005) Statistica Neerlandica — Vol. 59, no. 4, p. 498-505 (2005)
    • Journal article
    Information Spillover, Volatility and the Currency Markets
    Ben Omrane, Walid Hafner, Christian[UCL] (2009) International Econometric Review — Vol. 1, no.1, p. 47-59 (April 2009)
    • WorkingPaper
    A simple model for now-casting volatility series
    Breitung, Jorg Hafner, Christian[UCL] (2014)
    • WorkingPaper
    An almost closed form estimator for the EGARCH model
    Hafner, Christian[UCL] Linton, Oliver (2013)
    • WorkingPaper
    On asymptotic theory for ARCH(∞) models
    Hafner, Christian[UCL] Preminger, Arie (2016)
    • 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
    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
    Estimating Autocorrelations in the Presence of Deterministic Trends
    Hafner, Christian[UCL] Wang, Shin-Huei (2011) Journal of Time Series Econometrics — Vol. 3, no. 2, p. 1-23 (April 2011)
    • 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)
    • WorkingPaper
    Fair re-valuation of wine as an investment
    Bocart, Fabian[UCL] Hafner, Christian[UCL] (2013)
    • Journal article
    Dynamic stochastic copula models: estimation, inference and applications
    Hafner, Christian[UCL] Manner, Hans (2012) Journal of Applied Econometrics — Vol. 27, no. 2, p. 269-295 (March 2012)
    • WorkingPaper
    Looking Backward and Looking Forward
    Gao, Zhengyuan[UCL] Hafner, Christian[UCL] (2016)
    • WorkingPaper
    Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case
    Hafner, Christian[UCL] Linton, Oliver Tang, Haihan (2016)
    • 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)

Pages