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