Econometrics


Working Papers


1. Mouchart, Michel; Orsi, Renzo; Wunsch, Guillaume. Causality in econometric modeling. From theory to structural causal modeling (xxx), 2020. 38 p. http://hdl.handle.net/2078.1/225552

2. Hafner, Christian; Herwartz, Helmut. Dynamic score driven independent component analysis (xxx), 2020. 48 p. http://hdl.handle.net/2078.1/238943

3. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization (xxx), 2020. 33 p. http://hdl.handle.net/2078.1/238945

4. Bauwens, Luc; Otranto, Edoardo. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models (xxx), 2020. 28 p. http://hdl.handle.net/2078.1/239158

5. Bauwens, Luc; Xu, Yongdeng. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations (xxx), 2019. 54 p. http://hdl.handle.net/2078.1/223938

6. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-type GARCH models with linear-in-variance risk premium (xxx), 2019. 51 p. http://hdl.handle.net/2078.1/219607

7. Bocart, Fabian; Hafner, Christian; Kasperskaya, Yulia; Sagarra, Marti. Investing in superheroes? Comic art as a new alternative investment (xxx), 2019. 37 p. http://hdl.handle.net/2078.1/220659

8. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix (xxx), 2019. 45 p. http://hdl.handle.net/2078.1/224037