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M. Christian Hafner

SSH/ESPO - Faculté des sciences économiques, sociales, politiques et de communication
ECON - Ecole des Sciences économiques/Economics School of Louvain (ECON)
SSH/IMAQ - Institut multidisciplinaire pour la modélisation et l'analyse quantitative (IMMAQ)
ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA)

Adresse courrier
  ISBA - Voie du Roman Pays 20 bte L1.04.01 à 1348 Louvain-la-Neuve
Email
 
ISBA
  Téléphone : 010 47 43 06
  Bâtiment : CV9; Etage 01; Local D 120; Site Louvain-la-Neuve

2014
Article de périodique (Journal article)
  • McAleer, Michael ; Hafner, Christian. A One Line Derivation of EGARCH. In: Econometrics, Vol. 2, no.2, p. 92-97 (2014). doi:10.3390/econometrics2020092. http://hdl.handle.net/2078.1/152629

  • 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. http://hdl.handle.net/2078.1/152627

  • 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). http://hdl.handle.net/2078.1/152628

  • 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. http://hdl.handle.net/2078.1/152626

  • 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. http://hdl.handle.net/2078.1/152630

  • Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078.1/144250

  • Document de travail (Working Paper)
  • Hafner, Christian ; Preminger, Arie. A note on the Tobit model in the presence of a duration variable (ISBA Discussion Paper; 2014/10), 2014. 10 p. http://hdl.handle.net/2078.1/141775

  • Breitung, Jorg ; Hafner, Christian. A simple model for now-casting volatility series (CORE Discussion Papers; 2014/60), 2014. 19 p. http://hdl.handle.net/2078.1/152766

  • 2013
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/135148

  • Document de travail (Working Paper)
  • Hafner, Christian ; Linton, Olivier. An Almost Closed Form Estimator for the EGARCH (ISBA Discussion paper; 2013/10), 2013. 18 p. http://hdl.handle.net/2078.1/127322

  • Hafner, Christian ; Linton, Oliver. An almost closed form estimator for the EGARCH model (CORE Discussion Paper; 2013/22), 2013. http://hdl.handle.net/2078.1/128861

  • Bocart, Fabian ; Hafner, Christian. Fair re-valuation of wine as an investment (ISBA Discussion Paper; 2013/03), 2013. 15 p. http://hdl.handle.net/2078.1/125558

  • El Mehdi, Rachida ; Hafner, Christian. Local government efficiency: The case of Moroccan municipalities (ISBA Discussion Paper; 2013/01), 2013. 22 p. http://hdl.handle.net/2078.1/120964

  • Ben Omrane, Walid ; Hafner, Christian. Macroeconomic news surprises and volatility spillover in foreign exchange markets (ISBA Discussion Papers; 2013/59), 2013. 31 p. http://hdl.handle.net/2078.1/141770

  • 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. http://hdl.handle.net/2078.1/139870

  • 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. http://hdl.handle.net/2078.1/135743

  • 2012
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/119721

  • 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. http://hdl.handle.net/2078.1/107856

  • 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. http://hdl.handle.net/2078.1/119711

  • 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. http://hdl.handle.net/2078.1/119718

  • Contribution à ouvrage collectif (Book Chapter)
  • Hafner, Christian ; Manner, Hans. Multivariate Time Series Models for Asset Prices. In: Duan, Jin Chuan, Handbook of Computational Finance, Springer: London, 2012, p. 89-115. 978-3-642-17253-3. http://hdl.handle.net/2078.1/106846

  • 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. http://hdl.handle.net/2078.1/119729

  • Document de travail (Working Paper)
  • El Mehdi, Rachida ; Hafner, Christian. Inference in stochastic frontier analysis with dependent error terms (ISBA Discussion Paper; 2012/38), 2012. 23 p. http://hdl.handle.net/2078.1/120959

  • Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogeneous goods (ISBA Discussion Paper; 2012/19), 2012. http://hdl.handle.net/2078.1/128815

  • Monographie (Book)
  • Handbook of Volatility Models and Their Applications, éd. Bauwens, Luc ; Hafner, Christian ; laurent, Sébastien, John Wiley & Sons, Inc., 2012. 9780470872512. 568 p. http://hdl.handle.net/2078.1/119799

  • 2011
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/106840

  • 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. http://hdl.handle.net/2078.1/106788

  • 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. http://hdl.handle.net/2078.1/106844

  • Document de travail (Working Paper)
  • 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. http://hdl.handle.net/2078.1/92536

  • Bocart, Fabian ; Hafner, Christian. Econometric analysis of volatile art markets (ISBA Discussion Paper; 2011/29), 2011. 27 p. http://hdl.handle.net/2078.1/90804

  • Bauwens, Luc ; Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures (CORE Discussion Paper; 2011/11), 2011. http://hdl.handle.net/2078.1/75253

  • Bauwens, Luc ; Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures (ISBA Discussion Paper; 2011/13), 2011. 27 p. http://hdl.handle.net/2078.1/76466

  • 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. http://hdl.handle.net/2078.1/90795

  • Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility models (CORE Discussion Paper; 2011/58), 2011. http://hdl.handle.net/2078.1/95747

  • 2010
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/106582

  • 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. http://hdl.handle.net/2078.1/106689

  • 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. http://hdl.handle.net/2078.1/34406

  • 2009
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/34419

  • 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. http://hdl.handle.net/2078.1/106566

  • 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. http://hdl.handle.net/2078.1/35986

  • 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). http://hdl.handle.net/2078.1/119792

  • 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. http://hdl.handle.net/2078.1/34424

  • 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). http://hdl.handle.net/2078.1/106571

  • 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. http://hdl.handle.net/2078.1/35955

  • Contribution à ouvrage collectif (Book Chapter)
  • Hafner, Christian. GARCH Modelling. In: Robert A., Meyers, Encyclopedia of Complexity and Systems Science, Springer, 2009, p. 4114-4133. 978-0-387-75888-6. http://hdl.handle.net/2078.1/106573

  • Document de travail (Working Paper)
  • Hafner, Christian ; Manner, Hans. Dynamic stochastic copula models: Estimation, inference and applications (ISBA Discussion Papers; 0936), 2009. 38 p. http://hdl.handle.net/2078.1/107864

  • Hafner, Christian ; Linton, Oliver. Efficient estimation of a multivariate multiplicative volatility model (ISBA Discussion Paper; 2009/05), 2009. 50 p. http://hdl.handle.net/2078.1/106684

  • 2008
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23806

  • 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. http://hdl.handle.net/2078.1/23805

  • Document de travail (Working Paper)
  • Wang, Shin-Huei ; Hafner, Christian. Estimating autocorrelations in the presence of deterministic trends (CORE Discussion Papers; 2008/73), 2008. 20 p. http://hdl.handle.net/2078.1/20829

  • Monographie (Book)
  • 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. http://hdl.handle.net/2078/106506

  • 2007
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23581

  • 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. http://hdl.handle.net/2078.1/23132

  • Hafner, Christian ; Rombouts, Jeroen. Semiparametric multivariate volatility models. In: Econometric Theory, Vol. 23, no. 2, p. 251-280 (Avril 2007). doi:10.1017/S0266466607070119. http://hdl.handle.net/2078.1/23585

  • 2006
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23577

  • 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. http://hdl.handle.net/2078.1/23579

  • 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). http://hdl.handle.net/2078/119786

  • 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. http://hdl.handle.net/2078.1/23578

  • Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078/23587

  • Document de travail (Working Paper)
  • Hafner, Christian ; Preminger, Arie. Asymptotic theory for a factor GARCH model (CORE Discussion Papers; 2006/71), 2006. http://hdl.handle.net/2078.1/4524

  • Preminger, Arie ; Hafner, Christian. Deciding between GARCH and stochastic volatility via strong decision rules (CORE Discussion Papers; 2006/42), 2006. http://hdl.handle.net/2078.1/4496

  • Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally stationary factor models : identification and nonparametric estimation (STAT Discussion Paper; 0624), 2006. 30 p. http://hdl.handle.net/2078.1/91206

  • Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity (ECON Discussion Papers; 2006/07), 2006. http://hdl.handle.net/2078.1/4466

  • 2005
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23411

  • 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. http://hdl.handle.net/2078/106468

  • Communication à un colloque (Conference Paper)
  • 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. http://hdl.handle.net/2078/119779

  • 2004
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23412

  • 2003
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078/106456

  • Hafner, Christian. On forecasting Exchange Rate Volatility. In: Medium econometrische toepassingen, Vol. 11, no.2, p. 14-16 (2003). http://hdl.handle.net/2078/119723

  • Hafner, Christian. Simple approximations for option pricing under mean reversion and stochastic volatility. In: Computational Statistics, Vol. 18, p. 339-353 (2003). http://hdl.handle.net/2078/106563

  • 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. http://hdl.handle.net/2078/119727

  • Document de travail (Working Paper)
  • Hafner, Christian ; Rombouts, Jeroen. Estimation of temporally aggregated multivariate GARCH models (ECON Discussion Papers; 2003/76), 2003. http://hdl.handle.net/2078.1/4952

  • Hafner, Christian ; Rombouts, Jeroen. Semiparametric multivariate GARCH models (ECON Discussion Papers; 2003/04), 2003. http://hdl.handle.net/2078.1/4886

  • 2001
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078/106452

  • Document de travail (Working Paper)
  • Hafner, Christian. Fourth moments of multivariate GARCH processes (CORE Discussion Papers; 2001/46), 2001. http://hdl.handle.net/2078.1/4201

  • Hafner, Christian ; Herwatz, Helmut. Volatility impulse response functions for multivariate GARCH models (CORE Discussion Papers; 2001/39), 2001. http://hdl.handle.net/2078.1/4193

  • 2000
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23410

  • 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. http://hdl.handle.net/2078/106334

  • 1998
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078/106312

  • 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. http://hdl.handle.net/2078/106221

  • Document de travail (Working Paper)
  • Hafner, Christian ; Herwartz, Helmut. Volatility impulse response functions for multivariate GARCH models. (CORE Discussion Papers; 1998/47), 1998. http://hdl.handle.net/2078.1/3953

  • 1997
    Monographie (Book)
  • Hafner, Christian. Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility (Contributions to Economics), Physica-Verlag, 1997. 978-3790810417. 222 p. http://hdl.handle.net/2078/119796

  • 1996
    Communication à un colloque (Conference Paper)
  • 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. http://hdl.handle.net/2078/119609

  • Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078/119603

  • 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. http://hdl.handle.net/2078/119702

  • 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. http://hdl.handle.net/2078/119606

  • 1995
    Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078/119766


  • Enseignement


    Cours

    Année académique 2014 - 2015
    LACTU 2210 Quantitative Risk Management
    LACTU 2250 Risk management in energy markets
    LINGE 1214 Statistique approfondie
    LINGE 1221 Econométrie
    LSTAT 2110 A Analyse des données
    LSTAT 2110 Analyse des données
    LSTAT 2120 Modèles linéaires
    LSTAT 3120 Advanced nonparametric statistics
    LSTAT 3310 Statistics seminar

    Publications


    2014
    Article de périodique (Journal article)
  • McAleer, Michael ; Hafner, Christian. A One Line Derivation of EGARCH. In: Econometrics, Vol. 2, no.2, p. 92-97 (2014). doi:10.3390/econometrics2020092. http://hdl.handle.net/2078.1/152629

  • 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. http://hdl.handle.net/2078.1/152627

  • 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). http://hdl.handle.net/2078.1/152628

  • 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. http://hdl.handle.net/2078.1/152626

  • 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. http://hdl.handle.net/2078.1/152630

  • Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078.1/144250

  • Document de travail (Working Paper)
  • Hafner, Christian ; Preminger, Arie. A note on the Tobit model in the presence of a duration variable (ISBA Discussion Paper; 2014/10), 2014. 10 p. http://hdl.handle.net/2078.1/141775

  • Breitung, Jorg ; Hafner, Christian. A simple model for now-casting volatility series (CORE Discussion Papers; 2014/60), 2014. 19 p. http://hdl.handle.net/2078.1/152766

  • 2013
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/135148

  • Document de travail (Working Paper)
  • Hafner, Christian ; Linton, Olivier. An Almost Closed Form Estimator for the EGARCH (ISBA Discussion paper; 2013/10), 2013. 18 p. http://hdl.handle.net/2078.1/127322

  • Hafner, Christian ; Linton, Oliver. An almost closed form estimator for the EGARCH model (CORE Discussion Paper; 2013/22), 2013. http://hdl.handle.net/2078.1/128861

  • Bocart, Fabian ; Hafner, Christian. Fair re-valuation of wine as an investment (ISBA Discussion Paper; 2013/03), 2013. 15 p. http://hdl.handle.net/2078.1/125558

  • El Mehdi, Rachida ; Hafner, Christian. Local government efficiency: The case of Moroccan municipalities (ISBA Discussion Paper; 2013/01), 2013. 22 p. http://hdl.handle.net/2078.1/120964

  • Ben Omrane, Walid ; Hafner, Christian. Macroeconomic news surprises and volatility spillover in foreign exchange markets (ISBA Discussion Papers; 2013/59), 2013. 31 p. http://hdl.handle.net/2078.1/141770

  • 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. http://hdl.handle.net/2078.1/139870

  • 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. http://hdl.handle.net/2078.1/135743

  • 2012
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/119721

  • 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. http://hdl.handle.net/2078.1/107856

  • 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. http://hdl.handle.net/2078.1/119711

  • 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. http://hdl.handle.net/2078.1/119718

  • Contribution à ouvrage collectif (Book Chapter)
  • Hafner, Christian ; Manner, Hans. Multivariate Time Series Models for Asset Prices. In: Duan, Jin Chuan, Handbook of Computational Finance, Springer: London, 2012, p. 89-115. 978-3-642-17253-3. http://hdl.handle.net/2078.1/106846

  • 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. http://hdl.handle.net/2078.1/119729

  • Document de travail (Working Paper)
  • El Mehdi, Rachida ; Hafner, Christian. Inference in stochastic frontier analysis with dependent error terms (ISBA Discussion Paper; 2012/38), 2012. 23 p. http://hdl.handle.net/2078.1/120959

  • Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogeneous goods (ISBA Discussion Paper; 2012/19), 2012. http://hdl.handle.net/2078.1/128815

  • Monographie (Book)
  • Handbook of Volatility Models and Their Applications, éd. Bauwens, Luc ; Hafner, Christian ; laurent, Sébastien, John Wiley & Sons, Inc., 2012. 9780470872512. 568 p. http://hdl.handle.net/2078.1/119799

  • 2011
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/106840

  • 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. http://hdl.handle.net/2078.1/106788

  • 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. http://hdl.handle.net/2078.1/106844

  • Document de travail (Working Paper)
  • 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. http://hdl.handle.net/2078.1/92536

  • Bocart, Fabian ; Hafner, Christian. Econometric analysis of volatile art markets (ISBA Discussion Paper; 2011/29), 2011. 27 p. http://hdl.handle.net/2078.1/90804

  • Bauwens, Luc ; Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures (CORE Discussion Paper; 2011/11), 2011. http://hdl.handle.net/2078.1/75253

  • Bauwens, Luc ; Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures (ISBA Discussion Paper; 2011/13), 2011. 27 p. http://hdl.handle.net/2078.1/76466

  • 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. http://hdl.handle.net/2078.1/90795

  • Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility models (CORE Discussion Paper; 2011/58), 2011. http://hdl.handle.net/2078.1/95747

  • 2010
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/106582

  • 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. http://hdl.handle.net/2078.1/106689

  • 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. http://hdl.handle.net/2078.1/34406

  • 2009
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/34419

  • 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. http://hdl.handle.net/2078.1/106566

  • 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. http://hdl.handle.net/2078.1/35986

  • 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). http://hdl.handle.net/2078.1/119792

  • 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. http://hdl.handle.net/2078.1/34424

  • 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). http://hdl.handle.net/2078.1/106571

  • 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. http://hdl.handle.net/2078.1/35955

  • Contribution à ouvrage collectif (Book Chapter)
  • Hafner, Christian. GARCH Modelling. In: Robert A., Meyers, Encyclopedia of Complexity and Systems Science, Springer, 2009, p. 4114-4133. 978-0-387-75888-6. http://hdl.handle.net/2078.1/106573

  • Document de travail (Working Paper)
  • Hafner, Christian ; Manner, Hans. Dynamic stochastic copula models: Estimation, inference and applications (ISBA Discussion Papers; 0936), 2009. 38 p. http://hdl.handle.net/2078.1/107864

  • Hafner, Christian ; Linton, Oliver. Efficient estimation of a multivariate multiplicative volatility model (ISBA Discussion Paper; 2009/05), 2009. 50 p. http://hdl.handle.net/2078.1/106684

  • 2008
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23806

  • 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. http://hdl.handle.net/2078.1/23805

  • Document de travail (Working Paper)
  • Wang, Shin-Huei ; Hafner, Christian. Estimating autocorrelations in the presence of deterministic trends (CORE Discussion Papers; 2008/73), 2008. 20 p. http://hdl.handle.net/2078.1/20829

  • Monographie (Book)
  • 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. http://hdl.handle.net/2078/106506

  • 2007
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23581

  • 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. http://hdl.handle.net/2078.1/23132

  • Hafner, Christian ; Rombouts, Jeroen. Semiparametric multivariate volatility models. In: Econometric Theory, Vol. 23, no. 2, p. 251-280 (Avril 2007). doi:10.1017/S0266466607070119. http://hdl.handle.net/2078.1/23585

  • 2006
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23577

  • 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. http://hdl.handle.net/2078.1/23579

  • 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). http://hdl.handle.net/2078/119786

  • 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. http://hdl.handle.net/2078.1/23578

  • Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078/23587

  • Document de travail (Working Paper)
  • Hafner, Christian ; Preminger, Arie. Asymptotic theory for a factor GARCH model (CORE Discussion Papers; 2006/71), 2006. http://hdl.handle.net/2078.1/4524

  • Preminger, Arie ; Hafner, Christian. Deciding between GARCH and stochastic volatility via strong decision rules (CORE Discussion Papers; 2006/42), 2006. http://hdl.handle.net/2078.1/4496

  • Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally stationary factor models : identification and nonparametric estimation (STAT Discussion Paper; 0624), 2006. 30 p. http://hdl.handle.net/2078.1/91206

  • Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity (ECON Discussion Papers; 2006/07), 2006. http://hdl.handle.net/2078.1/4466

  • 2005
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23411

  • 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. http://hdl.handle.net/2078/106468

  • Communication à un colloque (Conference Paper)
  • 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. http://hdl.handle.net/2078/119779

  • 2004
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23412

  • 2003
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078/106456

  • Hafner, Christian. On forecasting Exchange Rate Volatility. In: Medium econometrische toepassingen, Vol. 11, no.2, p. 14-16 (2003). http://hdl.handle.net/2078/119723

  • Hafner, Christian. Simple approximations for option pricing under mean reversion and stochastic volatility. In: Computational Statistics, Vol. 18, p. 339-353 (2003). http://hdl.handle.net/2078/106563

  • 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. http://hdl.handle.net/2078/119727

  • Document de travail (Working Paper)
  • Hafner, Christian ; Rombouts, Jeroen. Estimation of temporally aggregated multivariate GARCH models (ECON Discussion Papers; 2003/76), 2003. http://hdl.handle.net/2078.1/4952

  • Hafner, Christian ; Rombouts, Jeroen. Semiparametric multivariate GARCH models (ECON Discussion Papers; 2003/04), 2003. http://hdl.handle.net/2078.1/4886

  • 2001
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078/106452

  • Document de travail (Working Paper)
  • Hafner, Christian. Fourth moments of multivariate GARCH processes (CORE Discussion Papers; 2001/46), 2001. http://hdl.handle.net/2078.1/4201

  • Hafner, Christian ; Herwatz, Helmut. Volatility impulse response functions for multivariate GARCH models (CORE Discussion Papers; 2001/39), 2001. http://hdl.handle.net/2078.1/4193

  • 2000
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078.1/23410

  • 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. http://hdl.handle.net/2078/106334

  • 1998
    Article de périodique (Journal article)
  • 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. http://hdl.handle.net/2078/106312

  • 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. http://hdl.handle.net/2078/106221

  • Document de travail (Working Paper)
  • Hafner, Christian ; Herwartz, Helmut. Volatility impulse response functions for multivariate GARCH models. (CORE Discussion Papers; 1998/47), 1998. http://hdl.handle.net/2078.1/3953

  • 1997
    Monographie (Book)
  • Hafner, Christian. Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility (Contributions to Economics), Physica-Verlag, 1997. 978-3790810417. 222 p. http://hdl.handle.net/2078/119796

  • 1996
    Communication à un colloque (Conference Paper)
  • 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. http://hdl.handle.net/2078/119609

  • Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078/119603

  • 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. http://hdl.handle.net/2078/119702

  • 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. http://hdl.handle.net/2078/119606

  • 1995
    Contribution à ouvrage collectif (Book Chapter)
  • 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. http://hdl.handle.net/2078/119766


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