Christian M. Hafner

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Sur la base des exigences liées au financement

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Wolfgang Karl HärdleHumboldt-Universität zu Berlin, Ladislaus von Bortkiewicz Professor of StatisticsAdresse e-mail validée de hu-berlin.de
Luc BauwensProfessor of Economics, Université catholique de LouvainAdresse e-mail validée de uclouvain.be
Hans MannerUniversity of GrazAdresse e-mail validée de uni-graz.at
Oliver LintonUNIVERSITY OF CAMBRIDGEAdresse e-mail validée de cam.ac.uk
Jeroen VK RomboutsESSEC Business SchoolAdresse e-mail validée de essec.edu
Philip Hans FransesErasmus School of EconomicsAdresse e-mail validée de ese.eur.nl
Sébastien LaurentAMSE, IAE, Aix-Marseille UniversitéAdresse e-mail validée de iae-aix.com
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamAdresse e-mail validée de ese.eur.nl
Leopold SimarUniversité Catholique de LouvainAdresse e-mail validée de uclouvain.be
Michael McAleerProfessor of Quantitative Finance, Erasmus University RotterdamAdresse e-mail validée de ese.eur.nl
Dedy Dwi PrastyoAssociate Professor at Department of Statistics, Institut Teknologi Sepuluh NopemberAdresse e-mail validée de statistika.its.ac.id
Walid Ben OmraneProfessor of Finance, Goodman School of BusinessAdresse e-mail validée de brocku.ca
Haris MunandarResearch Economist, Bank IndonesiaAdresse e-mail validée de bi.go.id
Diane PierretAssistant Professor, University of LuxembourgAdresse e-mail validée de uni.lu
Linqi WangUniversity of CambridgeAdresse e-mail validée de cam.ac.uk
Peter bossaertsUniversity of CambrideAdresse e-mail validée de rioja.caltech.edu
Rong ChenRong Chen, Professor of Statistics, Rutgers UniversityAdresse e-mail validée de stat.rutgers.edu
Cathy Yi-Hsuan ChenAdam Smith Business School, University of GlasgowAdresse e-mail validée de glasgow.ac.uk
Zongwu CaiDepartment of Economics, University of KansasAdresse e-mail validée de ku.edu
Prof. Dr. Lijian Yang 杨立坚Center for Statistical Science & Department of Industrial Engineering, Tsinghua UniversityAdresse e-mail validée de tsinghua.edu.cn

Suivre

Christian M. Hafner

Professor of econometrics, UCL Louvain-la-Neuve

Adresse e-mail validée de uclouvain.be

financial econometrics


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
Quantile autoregression R Koenker, Z Xiao Journal of the American statistical association 101 (475), 980-990, 2006	718	2006
Statistics of financial markets J Franke, WK Härdle, CM Hafner Springer, 2004	478	2004
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration CM Hafner, H Herwartz Journal of International Money and Finance 25 (5), 719-740, 2006	266*	2006
Handbook of volatility models and their applications L Bauwens, CM Hafner, S Laurent John Wiley & Sons, 2012	225	2012
Dynamic stochastic copula models: Estimation, inference and applications CM Hafner, H Manner Journal of applied econometrics 27 (2), 269-295, 2012	225	2012
A Lagrange multiplier test for causality in variance CM Hafner, H Herwartz Economics letters 93 (1), 137-141, 2006	213	2006
Einführung in die Statistik der Finanzmärkte J Franke, WK Härdle, CM Hafner Springer-Verlag, 2012	191*	2012
A generalized dynamic conditional correlation model: simulation and application to many assets CM Hafner, PH Franses Econometric Reviews 28 (6), 612-631, 2009	184*	2009
Testing for bubbles in cryptocurrencies with time-varying volatility CM Hafner Journal of Financial Econometrics 18 (2), 233-249, 2020	146	2020
On asymptotic theory for multivariate GARCH models CM Hafner, A Preminger Journal of Multivariate Analysis 100 (9), 2044-2054, 2009	127	2009
On the estimation of dynamic conditional correlation models CM Hafner, O Reznikova Computational Statistics & Data Analysis 56 (11), 3533-3545, 2012	124	2012
Testing for causality in variance using multivariate GARCH models CM Hafner, H Herwartz Annales d'Economie et de Statistique, 215-241, 2008	116*	2008
Fourth moment structure of multivariate GARCH models CM Hafner Journal of Financial Econometrics 1 (1), 26-54, 2003	114	2003
Efficient estimation of a multivariate multiplicative volatility model CM Hafner, O Linton Journal of econometrics 159 (1), 55-73, 2010	105	2010
Discrete time option pricing with flexible volatility estimation W Härdle, CM Hafner Finance and Stochastics 4, 189-207, 2000	103	2000
Efficient estimation of a semiparametric dynamic copula model CM Hafner, O Reznikova Computational Statistics & Data Analysis 54 (11), 2609-2627, 2010	99	2010
Sentiment-induced bubbles in the cryptocurrency market CYH Chen, CM Hafner Journal of Risk and Financial Management 12 (2), 53, 2019	93	2019
A one line derivation of EGARCH M McAleer, CM Hafner Econometrics 2 (2), 92-97, 2014	93	2014
Nonlinear time series analysis with applications to foreign exchange rate volatility C Hafner Springer Science & Business Media, 2013	91	2013
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity CM Hafner, H Herwartz Statistica Neerlandica 63 (3), 294-323, 2009	84	2009

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