Econometrics

Journal Articles

1. Bauwens, Luc; Otranto, Edoardo. Nonlinearities and regimes in conditional correlations with different dynamics. In: Journal of Econometrics, Vol. 217, no.2, p. 496-522 (2020). doi:10.1016/j.jeconom.2019.12.014. http://hdl.handle.net/2078.1/230903

2. 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. http://hdl.handle.net/2078.1/238815

3. 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. http://hdl.handle.net/2078.1/238812

4. Hafner, Christian; Herwartz, Helmut; Maxand, Simone. Identification of structural multivariate GARCH models. In: Journal of Econometrics, Vol. To appear (2020). doi:10.1016/j.jeconom.2020.07.019 (Accepté/Sous presse). http://hdl.handle.net/2078.1/238805

5. 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. http://hdl.handle.net/2078.1/238816

6. Naceur, Sami Ben; Candelon, Bertrand; Lajaunie, Quentin. Taming financial development to reduce crises. In: Emerging Markets Review, Vol. 40, p. 100618 (2019). doi:10.1016/j.ememar.2019.05.003. http://hdl.handle.net/2078.1/225229

7. Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model. In: Journal of Business & Economic Statistics, Vol. 37, no.4, p. 696-709 (2019). doi:10.1080/07350015.2017.1415910. http://hdl.handle.net/2078.1/223277

8. Gao, Zhengyuan; Hafner, Christian. Looking Backward and Looking Forward. In: Econometrics, Vol. 7, no.2, p. article 27 (2019). doi:10.3390/econometrics7020027. http://hdl.handle.net/2078.1/218030

9. Sorgho, Zakaria; Tharakan, Joe. Assessing the impact of unilateral trade policies EBA and AGOA on African beneficiaries' exports using matching econometrics. In: The World Economy, Vol. 42, no.10, p. 3086-3118 (2019). doi:10.1111/twec.12842. http://hdl.handle.net/2078.1/230383

10. Brigo, Damiano; Jeanblanc, Monique; Vrins, Frédéric. SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions. In: Stochastic Processes and Their Applications, Vol. 130, no. 7, p. 3895-3919 (2020). doi:10.1016/j.spa.2019.11.003 (Accepté/Sous presse). http://hdl.handle.net/2078.1/223398

11. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-Type GARCH Models With Linear-in-Variance Risk Premium. In: Journal of Business & Economic Statistics, Vol. To appear. doi:10.1080/07350015.2019.1691564 (Accepté/Sous presse). http://hdl.handle.net/2078.1/238811