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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

2015
Article de périodique (Journal article)
  • Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach. In: Econometric Reviews, to appear (Accepté/Sous presse). http://hdl.handle.net/2078.1/162910

  • Document de travail (Working Paper)
  • 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. http://hdl.handle.net/2078.1/158865

  • 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

  • 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, to appear. doi:10.1007/s00181-013-0792-4 (Accepté/Sous presse). http://hdl.handle.net/2078.1/154922

  • 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

  • Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogenous goods with applications to the fine art market. In: Journal of Applied Econometrics, to appear. doi:10.1002/jae.2355 (Accepté/Sous presse). http://hdl.handle.net/2078.1/154921

  • Document de travail (Working Paper)
  • Hafner, Christian ; Linton, Oliver. An almost closed form estimator for the EGARCH model (CORE Discussion Paper; 2013/22), 2013. 18 p. 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. doi:10.1002/9781118272039. 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. 27 p. http://hdl.handle.net/2078.1/75253

  • 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, no. 3, p. 339-353 (2003). doi:10.1007/BF03354602. 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 2015 - 2016
    LACTU 2210 Quantitative Risk Management
    LACTU 2250 Risk management in energy markets
    LGEO 2211 Statistiques spatiales approfondies
    LINGE 1214 Statistique approfondie
    LSTAT 2110 Analyse des données
    LSTAT 2120 Modèles linéaires
    LSTAT 3120 Advanced nonparametric statistics
    LSTAT 3310 Statistics seminar

    Publications


    2015
    Article de périodique (Journal article)
  • Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach. In: Econometric Reviews, to appear (Accepté/Sous presse). http://hdl.handle.net/2078.1/162910

  • Document de travail (Working Paper)
  • 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. http://hdl.handle.net/2078.1/158865

  • 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

  • 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, to appear. doi:10.1007/s00181-013-0792-4 (Accepté/Sous presse). http://hdl.handle.net/2078.1/154922

  • 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

  • Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogenous goods with applications to the fine art market. In: Journal of Applied Econometrics, to appear. doi:10.1002/jae.2355 (Accepté/Sous presse). http://hdl.handle.net/2078.1/154921

  • Document de travail (Working Paper)
  • Hafner, Christian ; Linton, Oliver. An almost closed form estimator for the EGARCH model (CORE Discussion Paper; 2013/22), 2013. 18 p. 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. doi:10.1002/9781118272039. 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. 27 p. http://hdl.handle.net/2078.1/75253

  • 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, no. 3, p. 339-353 (2003). doi:10.1007/BF03354602. 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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