ISBA
Voie du Roman Pays 20/L1.04.01
1348 Louvain-la-Neuve
- Accueil
- Répertoire
- Christian Hafner
Christian Hafner
Professeur ordinaire
SSH/ESPO -- Faculté des sciences économiques, sociales, politiques et de communication
SSH/ESPO/ECON -- Ecole des Sciences économiques/Economics School of Louvain
SSH/IDAM -- Louvain Institute of Data Analysis and Modeling in economics and statistics (IDAM)
SSH/IDAM/ISBA -- Institut de Statistique, Biostatistique et Sciences Actuarielles
- Diplômes
Année Label Institution 1992 Maître en économie Jury d'Etat de l'Enseignement Universitaire 1996 Docteur en statistique Jury d'Etat de l'Enseignement Universitaire
2024
Fülle, Markus J. ; Hafner, Christian ; Herwartz, Helmut ; Lange, Alexander. BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series. In: Journal of Statistical Software, (2024) (Accepté/Sous presse).
2024
Hafner, Christian ; Linton, Oliver B. ; Wang, Linqi. Dynamic Autoregressive Liquidity (DArLiQ). In: Journal of Business and Economic Statistics, Vol. 42, no. 2, p. 774-785 (2024). doi:10.1080/07350015.2023.2238790.
2024
Hafner, Christian ; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2024). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse).
2024
Hafner, Christian. Explanatory factors of French retail wine prices. In: Applied Economics Letters, (2024). doi:10.1080/13504851.2023.2266565 (Accepté/Sous presse).
2024
El Mehdi, Rachida ; Hafner, Christian. Panel Stochastic Frontier Analysis with Positive Skewness. In: Computational Economics, (2024). doi:10.1007/s10614-024-10646-w (Accepté/Sous presse).
2023
Hafner, Christian ; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, Vol. 237, no. 2, part B, p. 105176 (2023). doi:10.1016/j.jeconom.2021.09.004.
2023
Hafner, Christian ; Herwartz, Helmut. Asymmetric volatility impulse response functions. In: Economics Letters, Vol. 222, p. 110968 (2023). doi:10.1016/j.econlet.2022.110968.
2023
Hafner, Christian ; Herwartz, Helmut. Correlation impulse response functions. In: Finance Research Letters, Vol. 57, p. 104176 (2023). doi:10.1016/j.frl.2023.104176.
2023
Hafner, Christian ; Herwartz, Helmut. Dynamic score driven independent component analysis. In: Journal of Business and Economic Statistics, Vol. 41, no. 2, p. 298-308 (2023). doi:10.1080/07350015.2021.2013244.
2023
Bocart, Fabian Y.R.P. ; Hafner, Christian ; Kasperskaya, Yulia ; Sagarra, Marti. Investing in superheroes? Comic art as a new alternative investment. In: The Journal of Alternative Investments, Vol. 25, no. 3, p. 9-27 (2023). doi:10.3905/jai.2022.1.174.
2022
Hafner, Christian ; Majeri, Sabrine. Analysis of cryptocurrency connectedness based on network to transaction volume ratios. In: Digital Finance, Vol. 4, p. 187-216 (2022). doi:10.1007/s42521-022-00054-w.
2022
Hafner, Christian ; Herwartz, Helmut ; Maxand, Simone. Identification of structural multivariate GARCH models. In: Journal of Econometrics, Vol. 227, no. 1, p. 212-227 (2022). doi:10.1016/j.jeconom.2020.07.019.
2022
Kyriakopoulou, Dimitra ; Hafner, Christian. Reconciling negative return skewness with positive time-varying risk premia. In: Econometric Reviews, Vol. 41, no.8, p. 877-894 (2022). doi:10.1080/07474938.2022.2072323.
2022
Yang, Bingduo ; Cai, Zongwu ; Hafner, Christian ; Liu, Guannan. Time-Varying Mixture Copula Models with Copula Selection. In: Statistica Sinica, Vol. 32, p. 1049-1077 (2022).
2021
Hafner, Christian ; Kyriakopoulou, Dimitra. Exponential-Type GARCH Models With Linear-in-Variance Risk Premium. In: Journal of Business & Economic Statistics, Vol. 39, no. 2, p. 589-603 (2021). doi:10.1080/07350015.2019.1691564.
2021
El Mehdi, Rachida ; Hafner, Christian. Panel stochastic frontier analysis with dependent error terms. In: International Econometric Review, Vol. 13, no.2, p. 24-40 (2021). doi:10.33818/ier.1033722.
2021
Yang, Bingduo ; Hafner, Christian ; Liu, Guannan ; Long, Wei. Semiparametric estimation and variable selection for single-index copula models. In: Journal of Applied Econometrics, Vol. 36, no.7, p. 962-988 (2021). doi:10.1002/jae.2812.
2020
Hafner, Christian ; Linton, Oliver ; Tang, Haihan. Estimation of a multiplicative correlation structure in the large dimensional case. In: Journal of Econometrics, Vol. 217, no.2, p. 431-470 (2020). doi:10.1016/j.jeconom.2019.12.012.
2020
Bocart, Fabian ; Ghysels, Eric ; Hafner, Christian. Monthly Art Market Returns. In: Journal of Risk and Financial Management, Vol. 13, no.5, p. 100 (2020). doi:10.3390/jrfm13050100.
2020
Hafner, Christian. Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility. In: Journal of Financial Econometrics, Vol. 18, no. 2, p. 233–249 (2020). doi:10.1093/jjfinec/nby023.
2020
Hafner, Christian. The Spread of the Covid-19 Pandemic in Time and Space. In: International Journal of Environmental Research and Public Health, Vol. 17, no.11, p. 3827 (2020). doi:10.3390/ijerph17113827.
2019
Daniel, Betty ; Hafner, Christian ; Manner, Hans ; Simar, Léopold. Asymmetries in Business Cycles and the Role of Oil Prices. In: Macroeconomic Dynamics, Vol. 23, p. 1622-1648 (2019). doi:10.1017/S1365100517000360.
2019
Gao, Zhengyuan ; Hafner, Christian. Looking Backward and Looking Forward. In: Econometrics, Vol. 7, no.2, p. article 27 (2019). doi:10.3390/econometrics7020027.
2019
Chen, Cathy Yi-Hsuan ; Hafner, Christian. Sentiment-Induced Bubbles in the Cryptocurrency Market. In: Journal of Risk and Financial Management, Vol. 12, no. 2, p. 1-12 (2019). doi:10.3390/jrfm12020053.
2018
Wang, Cindy Shin-Huei ; Hafner, Christian. A simple solution of the spurious regression problem. In: Studies in Nonlinear Dynamics & Econometrics, Vol. 22, no. 3, p. 1-14 (2018). doi:10.1515/snde-2015-0040.
2018
Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach. In: Econometric Reviews, Vol. 37, no. 4, p. 380-400 (2018). doi:10.1080/07474938.2016.1140284.
2017
Hafner, Christian ; Linton, Oliver. An Almost Closed Form Estimator For The EGARCH Model. In: Econometric Theory, Vol. 33, no. 4, p. 1013-1038 (2017). doi:10.1017/S0266466616000256.
2017
Hafner, Christian ; Lauwers, Alexandre. An augmented Taylor rule for the Federal Reserve's response to asset prices. In: International Journal of Computational Economics and Econometrics, Vol. 7, no. 1/2, p. 115-151 (2017). doi:10.1504/IJCEE.2017.10000628.
2017
Hafner, Christian ; Walders, Fabian. Heterogeneous Liquidity Effects in Corporate Bond Spreads. In: The Journal of Fixed Income, Vol. 26, p. 73-91 (2017). doi:10.3905/jfi.2017.26.4.073.
2017
Hafner, Christian ; Preminger, Arie. On Asymptotic Theory for ARCH (∞) Models. In: Journal of Time Series Analysis, Vol. 38, p. 865-879 (2017). doi:10.1111/jtsa.12239.
2017
Hafner, Christian ; Laurent, Sebastien ; Violante, Francesco. Weak Diffusion Limits of Dynamic Conditional Correlation Models. In: Econometric Theory, Vol. 33, p. 691-716 (2017). doi:10.1017/S0266466616000128.
2016
Breitung, Jörg ; Hafner, Christian. A simple model for now-casting volatility series. In: International Journal of Forecasting, Vol. 32, no.4, p. 1247-1255 (2016). doi:10.1016/j.ijforecast.2016.04.007.
2016
Hafner, Christian ; Premiger, Arie. The effect of additive outliers on a fractional unit root test. In: A St A - Advances in Statistical Analysis, Vol. 100, no. 4, p. 401-420 (2016). doi:10.1007/s10182-015-0265-5.
2015
Hafner, Christian ; Preminger, Arie. A note on the Tobit model in the presence of a duration variable. In: Economics Letters, Vol. 126, p. 47-50 (2015). doi:10.1016/j.econlet.2014.11.010.
2015
Hafner, Christian ; Preminger, Arie. An ARCH model without intercept. In: Economics Letters, Vol. 129, p. 13-17 (2015). doi:10.1016/j.econlet.2015.01.029.
2015
Bocart, Fabian Y.R.P. ; Hafner, Christian. Fair Revaluation of Wine as an Investment. In: Journal of Wine Economics, Vol. 10, no.2, p. 190-203 (2015). doi:10.1017/jwe.2015.20.
2015
Ben Omrane, Walid ; Hafner, Christian. Macroeconomic news surprises and volatility spillover in foreign exchange markets. In: Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna, Vol. 48, no. 2, p. 577-607 (2015). doi:10.1007/s00181-013-0792-4.
2015
Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogenous goods with applications to the fine art market. In: Journal of Applied Econometrics, Vol. 30, no. 2, p. 291-312 (2015). doi:10.1002/jae.2355.
2014
McAleer, Michael ; Hafner, Christian. A One Line Derivation of EGARCH. In: Econometrics, Vol. 2, no.2, p. 92-97 (2014). doi:10.3390/econometrics2020092.
2014
El Mehdi, Rachida ; Hafner, Christian. Inference in stochastic frontier analysis with dependent error terms. In: Mathematics and Computers in Simulation, Vol. 102, p. 104-116 (2014). doi:10.1016/j.matcom.2013.09.008.
2014
El Mehdi, Rachida ; Hafner, Christian. Local Government Efficiency: The Case of Moroccan Municipalities. In: African Development Review, Vol. 26, no.1, p. 88-101 (2014).
2014
Bertrand, Aurélie ; Hafner, Christian. On heterogeneous latent class models with applications to the analysis of rating scores. In: Computational Statistics, Vol. 29, no. 1-2, p. 307-330 (2014). doi:10.1007/s00180-013-0450-5.
2014
Gao, Renfei ; Wang, Cindy ; Hafner, Christian. The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case. In: Annals of Financial Economics, Vol. 9, no. 2, p. 3-35 (2014). doi:10.1142/S2010495214400028.
2013
Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures, collab. Bauwens, Luc. In: Journal of Applied Econometrics, Vol. 28, no.5, p. 743-761 (2013). doi:10.1002/jae.2280.
2012
Hafner, Christian. Cross-correlating wavelet coefficients with applications to high-frequency financial time series. In: Journal of Applied Statistics, Vol. 39, no.6, p. 1363-1379 (2012). doi:10.1080/02664763.2011.649716.
2012
Hafner, Christian ; Manner, Hans. Dynamic stochastic copula models: estimation, inference and applications. In: Journal of Applied Econometrics, Vol. 27, no. 2, p. 269-295 (March 2012). doi:10.1002/jae.1197.
2012
Bocart, Fabian ; Hafner, Christian. Econometric analysis of volatile art markets. In: Computational Statistics & Data Analysis, Vol. 56, no. 11, p. 3091-3104 (2012). doi:10.1016/j.csda.2011.10.019.
2012
Hafner, Christian ; Reznikova, Olga. On the estimation of dynamic conditional correlation models. In: Computational Statistics & Data Analysis, Vol. 56, no. 11, p. 3533-3545 (2012). doi:10.1016/j.csda.2010.09.022.
2011
Hafner, Christian ; Wang, Shin-Huei. Estimating Autocorrelations in the Presence of Deterministic Trends. In: Journal of Time Series Econometrics, Vol. 3, no. 2, p. 1-23 (April 2011). doi:10.2202/1941-1928.1022.
2011
Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally Stationary Factor Models: Identification And Nonparametric Estimation. In: Econometric Theory, Vol. 27, no. 6, p. 1279-1319 (2011). doi:10.1017/S0266466611000053.
2011
Van Dijk, Dick ; Munandar, Haris ; Hafner, Christian. The Euro-introduction and non-Euro currencies. In: Applied Financial Economics, Vol. 21, no. 1/2, p. 95-116 (2011). doi:10.1080/09603107.2011.523197.
2010
Hafner, Christian ; Preminger, Arie. Deciding between GARCH and stochastic volatility via strong decision rules. In: Journal of Statistical Planning and Inference, Vol. 140, no. 3, p. 791-805 (March 2010). doi:10.1016/j.jspi.2009.09.008. doi:http://dx.doi.org/10.1016/j.jspi.2009.09.008.
2010
Hafner, Christian ; Linton, Oliver. Efficient estimation of a multivariate multiplicative volatility model. In: Journal of Econometrics, Vol. 159, no. 1, p. 55-73 (November 2010). doi:10.1016/j.jeconom.2010.04.007. doi:http://dx.doi.org/10.1016/j.jeconom.2010.04.007.
2010
Hafner, Christian ; Reznikova, Olga. Efficient estimation of a semiparametric dynamic copula model. In: Computational Statistics & Data Analysis, Vol. 54, no. 11, p. 2609-2627 (2010). doi:10.1016/j.csda.2010.01.013.
2009
Hafner, Christian ; Franses, Philip Hans. A Generalized Dynamic Conditional Correlation Model: Simulation and Application To Many Assets. In: Econometric Reviews, Vol. 28, no. 6, p. 612-631 (2009). doi:10.1080/07474930903038834.
2009
Hafner, Christian ; Preminger, Arie. Asymptotic theory for a factor GARCH model. In: Econometric Theory, Vol. 25, no. 2, p. 336-363 (2009). doi:10.1017/S0266466608090117.
2009
Hafner, Christian. Causality and forecasting in temporally aggregated multivariate GARCH processes. In: The Econometrics Journal, Vol. 12, no. 1, p. 127-146 (2009). doi:10.1111/j.1368-423X.2008.00276.x.
2009
Ben Omrane, Walid ; Hafner, Christian. Information Spillover, Volatility and the Currency Markets. In: International Econometric Review, Vol. 1, no.1, p. 47-59 (April 2009).
2009
Hafner, Christian ; Preminger, Arie. On asymptotic theory for multivariate GARCH models. In: Journal of Multivariate Analysis, Vol. 100, no. 9, p. 2044-2054 (2009). doi:10.1016/j.jmva.2009.03.011.
2009
Hafner, Christian ; Herwartz, Helmut. Testing causality in variance using multivariate GARCH models. In: Annales d'économie et de statistique, no. 89, p. 215-241 (2009).
2009
Hafner, Christian ; Herwartz, Helmut. Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity. In: Statistica Neerlandica, Vol. 63, no. 3, p. 294-323 (2009). doi:10.1111/j.1467-9574.2009.00424.x.
2008
Hafner, Christian ; Herwartz, Helmut. Analytical quasi maximum likelihood inference in multivariate volatility models. In: Metrika : international journal for theoretical and applied statistics, Vol. 67, no. 2, p. 219-239 (Mars 2008). doi:10.1007/s00184-007-0130-y.
2008
Hafner, Christian. Temporal aggregation of multivariate GARCH models. In: Journal of Econometrics, Vol. 142, no. 1, p. 467-483 (Janvier 2008). doi:10.1016/j.jeconom.2007.08.001.
2007
Hafner, Christian ; Rombouts, Jeroen. Estimation of temporally aggregated multivariate GARCH models. In: Journal of Statistical Computation and Simulation, Vol. 77, no. 8, p. 629-650 (Janvier 2007). doi:10.1080/10629360600616252.
2007
Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity. In: Computational Statistics & Data Analysis, Vol. 51, no. 7, p. 3551-3566 (Avril 2007). doi:10.1016/j.csda.2006.10.012.
2007
Hafner, Christian ; Rombouts, Jeroen. Semiparametric multivariate volatility models. In: Econometric Theory, Vol. 23, no. 2, p. 251-280 (Avril 2007). doi:10.1017/S0266466607070119.
2006
Hafner, Christian ; Herwartz, Helmut. A Lagrange multiplier test for causality in variance. In: Economics Letters, Vol. 93, no. 1, p. 137-141 (Octobre 2006). doi:10.1016/j.econlet.2006.04.008.
2006
Hafner, Christian ; Linton, Olivier. Discussion of quantile autoregression by Koenker and Xiao. In: Journal of the American Statistical Association, Vol. 101, no. 475, p. 998-1001 (Mars 2006). doi:10.1198/016214506000000717.
2006
van Dijk, Dick ; Munandar, Harris ; Hafner, Christian. The Euro Introduction and Non-Euro Currencies. In: Medium econometrische toepassing, Vol. 14, no.1, p. 30-36 (2006).
2006
Hafner, Christian ; Herwartz, Helmut. Volatility impulse response functions for multivariate GARCH models: an exchange rate illustration. In: Journal of International Money and Finance : theoretical and empirical research in international economics and finance, Vol. 25, no. 5, p. 719-740 (Août 2006). doi:10.1016/j.jimonfin.2006.04.006.
2005
Hafner, Christian. Durations, volume and the prediction of financial returns in transaction time. In: Quantitative Finance, Vol. 5, no. 2, p. 145-152 (Avril 2005). doi:10.1080/14697680500040033.
2005
de Boer, Paul M. C. ; Hafner, Christian. Ridge regression revisited. In: Statistica Neerlandica, Vol. 59, no. 4, p. 498-505 (2005). doi:10.1111/j.1467-9574.2005.00304.x.
2004
Chen, Rong ; Yang, Lijan ; Hafner, Christian. Nonparametric multistep-ahead prediction in time series analysis. In: Journal of the Royal Statistical Society. Series B, statistical methodology, Vol. 66, no. 3, p. 669-686 (Juillet 2004). doi:10.1111/j.1467-9868.2004.04664.x.
2003
Hafner, Christian. Fourth Moment Structure of Multivariate GARCH Models. In: Journal of Financial Econometrics, Vol. 1, no. 1, p. 26-54 (March 2003). doi:10.1093/jjfinec/nbg00.
2003
Hafner, Christian. On forecasting Exchange Rate Volatility. In: Medium econometrische toepassingen, Vol. 11, no.2, p. 14-16 (2003).
2003
Hafner, Christian. Simple approximations for option pricing under mean reversion and stochastic volatility. In: Computational Statistics, Vol. 18, no. 3, p. 339-353 (2003). doi:10.1007/BF03354602.
2003
Feldmann, D. ; Härdle, Wolfgang ; Hafner, Christian ; Hoffmann, M. ; Lepski, O. ; Tsybakov, A.. Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility. In: Applicationes Mathematicae, Vol. 30, no.4, p. 389-412 (2003). doi:10.4064/am30-4-3.
2001
Hafner, Christian ; Herwartz, Helmut. Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis. In: Journal of Empirical Finance, Vol. 8, no. 1, p. 1-34 (March 2001). doi:10.1016/S0927-5398(00)00024-4. doi:http://dx.doi.org/10.1016/S0927-5398(00)00024-4.
2000
Hardle, Wolfgang ; Hafner, Christian. Discrete time option pricing with flexible volatility estimation. In: Finance and Stochastics, Vol. 4, no. 2, p. 189-207 (Février 2000). doi:10.1007/s007800050011.
2000
Hafner, Christian ; Herwartz, Helmut. Testing for linear autoregressive dynamics under heteroskedasticity. In: The Econometrics Journal, Vol. 3, no. 1, p. 177-197 (December 2000). doi:10.1111/1368-423X.00045.
1998
Hafner, Christian. Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models. In: Journal of Statistical Planning and Inference, Vol. 68, no. 2, p. 247-269 (15 May 1998). doi:10.1016/S0378-3758(97)00144-4. doi:http://dx.doi.org/10.1016/S0378-3758(97)00144-4.
1998
Hafner, Christian ; Herwartz, H.. Structural analysis of portfolio risk using beta impulse response functions. In: Statistica Neerlandica, Vol. 52, no. 3, p. 336-355 (1998). doi:10.1111/1467-9574.00088.
2012
Handbook of Volatility Models and Their Applications, éd. Bauwens, Luc ; Hafner, Christian ; laurent, Sébastien, John Wiley & Sons, Inc., 2012. 9780470872512. 568 p. doi:10.1002/9781118272039.
2008
Statistics of Financial Markets, An Introduction, éd. Franke, Jürgen ; Härdle, Wolfgang ; Hafner, Christian, 2nd (Universitext), Springer: Berlin, 2008. 978-3-5407-6269-0. 501 p.
1997
Hafner, Christian. Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility (Contributions to Economics), Physica-Verlag, 1997. 978-3790810417. 222 p.
2014
Härdle, Wolfgang Karl ; Prastyo, Dedy Dwi ; Hafner, Christian. Support Vector Machines with Evolutionary Model Selection for Default Prediction. In: Jeffrey S. Racine, Liangjun Su, and Aman Ullah, The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics, Oxford University Press, 2014, 346-373. 978-0-19-985794-4.
2012
Hafner, Christian ; Manner, Hans. Multivariate Time Series Models for Asset Prices. In: Duan, Jin Chuan Härdle, Wolfgang Karl Gentle, James E., Handbook of Computational Finance, Springer: London, 2012, p. 89-115. 978-3-642-17253-3. doi:10.1007/978-3-642-17254-0_5.
2012
Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility Models. In: Bauwens, L., Hafner, C. and S. Laurent, Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc.: Hoboken, NJ, USA, 2012, p. 1-45. 978-0-470-87251-2. doi:10.1002/9781118272039.ch1.
2009
Hafner, Christian. GARCH Modelling. In: Robert A., Meyers, Encyclopedia of Complexity and Systems Science, Springer, 2009, p. 4114-4133. 978-0-387-75888-6.
2006
Hafner, Christian ; Van Dijk, Dick ; Franses, Philip-Hans. Semiparametric modelling of correlation dynamics. In: Thomas B. Fomby, Dek Terrell, Econometric Analysis of Financial and Economic Time Series (Advances in Econometrics; 20(A)), Elsevier: Amsterdam, 2006, 59-103. 978-0-7623-1274-0.
1996
Bossaerts, Peter ; Hafner, Christian ; Härdle, Wolfgang. A new method of volatility estimation and applications to foreign exchange rate in series. In: Georg Bol, Gholamreza Nakhaeizadeh, Karl-Heinz Vollmer, Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren (Wirtschaftswissenschaftliche Beiträge Series; 125), Physica-Verlag : Heidelberg, 1996, p. 71-83. 3-7908-0925-X.
1996
Hafner, Christian. Kernel estimation of financial time series. In: Michael Schröder, Quantitative Verfahren im Finanzmarktbereich (ZEW Wirtschaftsanalysen – Schriftenreihe des ZEW; 5), Nomos Verlag: Baden-Baden, 1996, p. 223-239. 978-3-7890-4449-6.
1996
Härdle, Wolfgang ; Hafner, Christian. Zinsprognose mit univariater nichtparametrischer zeitreihenanalyse. In: Georg Bol, Gholamreza Nakhaeizadeh, Karl-Heinz Vollmer, Finanzmarktanalyse und- prognose mit innovativen quantitativen Verfahren (Wirtschaftswissenschaftliche Beiträge Series; 125), Physica Verlag: Heidelberg, 1996, p. 329-333. 379080925X.
1995
Chen, Rong ; Hafner, Christian. Nonlinear time series analysis. In: Wolfgang Härdle, Sigbert klinke, Berwin A. Turlach, Xplore : An interactive statistical computing environment (Statistics and Computing), Spinger-Verlag: New York, 1995, p. 287-309. 0-387-94429-X.
2005
van Dijk, Dick ; Hans Franses, Philip ; Hafner, Christian. SPARC: A New Semiparametric Correlation Model. 55th ISI Session (Sydney, du 6/04/2005 au 12/04/2012). In: Proceedings of the 55th ISI World Statistics Congresses, International Statistical Institute: Sydney, 2005. 90-73592-23-2 .
1996
Bossaerts, Peter ; Hafner, Christian ; H�rdle, Wolfgang. Foreign exchange rates have surprising volatility. Athens Conference on Applied Probability and Time Series Analysis (Athens, du 22/03/1995 au 26/03/1995). In: Athens Conference on Applied Probability and Time Series Analysis: Time series analysis, in memory of E.J. Hannan (Lecture Notes in Statistics; 114), Springer: New York, 1996. 0387947876 , p. 55-72.
2024
Bauwens, Luc ; Dzuverovic, Emilija ; Hafner, Christian. Asymmetric Models for Realized Covariances (LIDAM Discussion Paper CORE LIDAM Discussion Paper ISBA; 2024/24 2024/22), 2024. 57 p.
2024
Hafner, Christian ; Linton, Oliver ; Wang, Linqi. The effect of stock splits on liquidity in a dynamic model (LIDAM Discussion Paper ISBA; 2024/07), 2024. 50 p.
2023
Hafner, Christian ; Herwartz, Helmut ; Wang, Shu. Causal inference with (partially) independent shocks and structural signals on the global crude oil market (LIDAM Discussion Paper ISBA; 2023/04), 2023. 48 p.
2023
Teng, Huei-Wen ; Härdle, Wolfgang Karl ; Hafner, Christian. Mitigating Digital Asset Risks (LIDAM Discussion Paper ISBA; 2023/30), 2023. 58 p.
2022
Hafner, Christian ; Herwartz, Helmut. Asymmetric volatility impulse response functions (LIDAM Discussion Paper ISBA; 2022/37), 2022. 16 p.
2022
Lin, Min-Bin ; Wang, Bingling ; Bocart, Fabian Y.R.P. ; Hafner, Christian ; Härdle, Wolfgang K.. DAI Digital Art Index : a robust price index for heterogeneous digital assets (LIDAM Discussion Paper ISBA; 2022/36), 2022. 58 p.
2022
Hafner, Christian ; Linton, Oliver ; Wang, Linqi. Dynamic Autoregressive Liquidity (DArLiQ) (LIDAM Discussion Paper ISBA LIDAM Discussion Paper LFIN; 2022/09 2022/02), 2022. 80 p.
2021
Hafner, Christian. Teaching statistical inference without normality (LIDAM Discussion Paper ISBA; 2021/27), 2021. 22 p.
2020
Hafner, Christian ; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization (ISBA Discussion Paper; 2020/32), 2020. 33 p.
2020
Hafner, Christian ; Herwartz, Helmut. Dynamic score driven independent component analysis (ISBA Discussion Paper; 2020/31), 2020. 48 p.
2019
Hafner, Christian ; Wang, Linqi. A dynamic conditional score model for the log correlation matrix (CORE Discussion Papers; 2019/31), 2019. 45 p.
2019
Hafner, Christian ; Kyriakopoulou, Dimitra. Exponential-type GARCH models with linear-in-variance risk premium (CORE Discussion Papers; 2019/13), 2019. 51 p.
2019
Bocart, Fabian ; Hafner, Christian ; Kasperskaya, Yulia ; Sagarra, Marti. Investing in superheroes? Comic art as a new alternative investment (CORE Discussion Papers; 2019/16), 2019. 37 p.
2018
Hafner, Christian ; Herwartz, Helmut ; Maxand, Simone. Identification of structural multivariatie GARCH models (CORE Discussion Paper; 2018/20), 2018. 48 p.
2018
Bocart, Fabian ; Ghysels, Eric ; Hafner, Christian. Monthly art market returns (CORE Discussion Papers; 2018/28), 2018. 28 p.
2018
Hafner, Christian. Testing for bubbles in cryptocurrencies with time-varying volatility (CORE Discussion Paper; 2018/19), 2018. 30 p.
2017
Daniel, Betty ; Hafner, Christian ; Manner, Hans ; Simar, Léopold. Asymmetries in Business Cycles and the Role of Oil Prices (ISBA Discussion Paper; 2017/10), 2017. 32 p.
2017
Hafner, Christian ; Preminger, Arie. On asymptotic theory for ARCH(∞) models (ISBA Discussion Paper; 2017/09), 2017. 22 p.
2016
Breitung, Jörg ; Hafner, Christian. A simple model for now-casting volatility series (ISBA Discussion Paper; 2016/35), 2016. 22 p.
2016
Hafner, Christian ; Linton, Olivier. An Almost Closed Form Estimator for the EGARCH model (ISBA Discussion Paper; 2016/36), 2016. 29 p.
2016
Hafner, Christian ; Linton, Oliver ; Tang, Haihan. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case (CORE Discussion Paper; 2016/44), 2016. 72 p.
2016
Hafner, Christian ; Walders, Fabian. Heterogeneous Liquidity Effects in Corporate Bond Spreads (ISBA Discussion Paper; 2016/50), 2016. 29 p.
2016
Gao, Zhengyuan ; Hafner, Christian. Looking Backward and Looking Forward (CORE Discussion Paper; 2016/14), 2016. 35 p.
2016
Hafner, Christian ; Preminger, Arie. On asymptotic theory for ARCH(∞) models (CORE Discussion Paper; 2016/30), 2016.
2016
Hafner, Christian ; Laurent, Sébastien ; Violante, Francesco. Weak Diffusion Limits of Dynamic Conditional Correlation Models (CORE Discussion paper ISBA Discussion Paper; 2016/09 2016/34), 2016. 34 p.
2015
Breitung, Jörg ; Hafner, Christian. A simple model for now-casting volatility series (ISBA Discussion Paper CORE Discussion Paper; 2015/21 2016/04), 2015. 22 p.
2015
Hafner, Christian ; Lauwers, Alexandre. An augmented Taylor rule for the Federal Reserve’s response to asset prices (ISBA Discussion Paper; 2015/28), 2015. 36 p.
2015
Hafner, Christian ; Preminger, Arie. The effect of additive outliers on a fractional unit root test (ISBA Discussion Paper; 2015/27), 2015. 26 p.
2015
Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach (ISBA Discussion Paper; 2015/06), 2015. 33 p.
2014
Hafner, Christian ; Preminger, Arie. A note on the Tobit model in the presence of a duration variable (ISBA Discussion Paper CORE Discussion Paper; 2014/10 2014/13), 2014. 10 p.
2014
Breitung, Jorg ; Hafner, Christian. A simple model for now-casting volatility series (CORE Discussion Papers ISBA Discussion Paper; 2014/60 2014/46), 2014. 19 p.
2013
Hafner, Christian ; Linton, Oliver. An almost closed form estimator for the EGARCH model (CORE Discussion Paper ISBA Discussion Paper; 2013/22 2013/10), 2013. 18 p.
2013
Bocart, Fabian ; Hafner, Christian. Fair re-valuation of wine as an investment (ISBA Discussion Paper CORE Discussion Paper; 2013/03 2013/25), 2013. 15 p.
2013
El Mehdi, Rachida ; Hafner, Christian. Local government efficiency: The case of Moroccan municipalities (ISBA Discussion Paper; 2013/01), 2013. 22 p.
2013
Ben Omrane, Walid ; Hafner, Christian. Macroeconomic news surprises and volatility spillover in foreign exchange markets (ISBA Discussion Papers; 2013/59), 2013. 31 p.
2013
Härdle, Wolfgang Karl ; Prastyo, Dedy Dwi ; Hafner, Christian. Support Vector Machines with Evolutionary Feature Selection for Default Prediction (ISBA Discussion Paper; 2013/40), 2013. 24 p.
2013
Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach (ISBA Discussion Paper; 2013/46), 2013. 27 p.
2012
El Mehdi, Rachida ; Hafner, Christian. Inference in stochastic frontier analysis with dependent error terms (ISBA Discussion Paper; 2012/38), 2012. 23 p.
2012
Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogeneous goods (ISBA Discussion Paper; 2012/19), 2012.
2011
Daniel , Betty C ; Hafner, Christian ; Manner, Hans ; Simar, Léopold. Asymmetries in Business Cycles and the Role of Oil Production (ISBA Discussion Paper; 2011/32), 2011. 23 p.
2011
Bocart, Fabian ; Hafner, Christian. Econometric analysis of volatile art markets (ISBA Discussion Paper CORE Discussion Paper; 2011/29 2011/52), 2011. 27 p.
2011
Bauwens, Luc ; Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures (CORE Discussion Paper ISBA Discussion Paper; 2011/11 2011/13), 2011. 27 p.
2011
Bertrand, Aurélie ; Hafner, Christian. On heterogeneous latent class models with applications to the analysis of rating scores (ISBA Discussion Paper; 2011/28), 2011. 29 p.
2011
Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility models (CORE Discussion Paper; 2011/58), 2011.
2009
Hafner, Christian ; Manner, Hans. Dynamic stochastic copula models: Estimation, inference and applications (ISBA Discussion Papers; 0936), 2009. 38 p.
2009
Hafner, Christian ; Linton, Oliver. Efficient estimation of a multivariate multiplicative volatility model (ISBA Discussion Paper; 2009/05), 2009. 50 p.
2008
Wang, Shin-Huei ; Hafner, Christian. Estimating autocorrelations in the presence of deterministic trends (CORE Discussion Papers; 2008/73), 2008. 20 p.
2006
Hafner, Christian ; Preminger, Arie. Asymptotic theory for a factor GARCH model (CORE Discussion Papers; 2006/71), 2006.
2006
Preminger, Arie ; Hafner, Christian. Deciding between GARCH and stochastic volatility via strong decision rules (CORE Discussion Papers; 2006/42), 2006.
2006
Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally stationary factor models : identification and nonparametric estimation (STAT Discussion Paper; 0624), 2006. 30 p.
2006
Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity (ECON Discussion Papers CORE Discussion Papers; 2006/07 2006/12), 2006.
2003
Hafner, Christian ; Rombouts, Jeroen. Estimation of temporally aggregated multivariate GARCH models (ECON Discussion Papers CORE Discussion Papers; 2003/76 2003/73), 2003.
2003
Hafner, Christian ; Rombouts, Jeroen. Semiparametric multivariate GARCH models (ECON Discussion Papers CORE Discussion Papers; 2003/04 2003/3), 2003.
2001
Hafner, Christian. Fourth moments of multivariate GARCH processes (CORE Discussion Papers; 2001/46), 2001.
2001
Hafner, Christian ; Herwatz, Helmut. Volatility impulse response functions for multivariate GARCH models (CORE Discussion Papers; 2001/39), 2001.
1998
Hafner, Christian ; Herwartz, Helmut. Volatility impulse response functions for multivariate GARCH models. (CORE Discussion Papers; 1998/47), 1998.