Article de périodique
- Motta Giovanni, Hafner Christian, von Sachs Rainer, Locally stationary factor models: identification and nonparametric estimation, 2010, Econometric Theory (A paraître)
- Hafner Christian, Franses P.H., A generalized dynamic conditional correlation model: simulation and application to many assets, 2009, Economic Reviews (A paraître)
Lien: http://www.stat.ucl.ac.be/ISpub
- Hafner Christian, Herwartz H., Testing causality in variance using multivariate GARCH models, 2009, Annales d'Economie et de Statistique (A paraître)
Lien: http://www.stat.ucl.ac.be/ISpub
- Hafner Christian, Herwartz H., Testing for vector autoregressive dynamics under heteroskedasticity, 2009, Statistica Neerlandica (A paraître)
Lien: http://www.stat.ucl.ac.be/ISpub
- Hafner Christian, Causality and forecasting of temporally aggregated multivariate GARCH models, 2009, The Econometrics Journal, 12, p. 127-146 (Publié)
Lien: http://www.stat.ucl.ac.be/ISpub
- Hafner Christian, Preminger Arie, Asymptotic theory for a factor GARCH model, 2009, Econometric Theory, 25, p. 336-363 (Publié)
Lien: http://www.stat.ucl.ac.be/ISpub
- Hafner Christian, Preminger Arie, On asymptotic theory of multivariate GARCH models, 2009, Journal of Multivariate Analysis (A paraître)
Lien: http://www.stat.ucl.ac.be/ISpub
- Hafner Christian, Preminger Arie, On asymptotic theory for a factor GARCH model, 2009, Econometric Theory, 25, p. 336-363 (Publié)
- Hafner Christian, Temporal aggregation of multivariate GARCH models, 2008, Journal of Econometrics, 142, p. 467-483 (Publié)
Lien: http://www.stat.ucl.ac.be
- Hafner Christian, Herwartz H., Analytical quasi maximum likelihood inference in multivariate volatility models, 2008, Metrika, 67, p. 219-239 (Publié)
Lien: http://www.stat.ucl.ac.be/ISpub
- Hafner Christian, Rombouts Jeroen, Semiparametric multivariate volatility models, 2007, Econometric Theory (A paraître)
- Bauwens Luc, Hafner Christian, Rombouts Jeroen, Multivariate mixed normal condiional heteroskedasicity, 2007, Computational Statistics and Data, 51 (7), p. 3551-3566 (Publié)
- Hafner Christian, van Dijk D.J., Franses Ph., Semiparametric modelling of correlation dynamics, 2006, Advances in Econometrics, 20, p. Part A, 59-103 (Publié)
- Hafner Christian, Herwartz H., Volatility impulse response functions for multivariate GARCH models : An exchange rate illustration, 2006, Journal of International Money and Finance, p. 719-740 (Publié)
- Hafner Christian, Herwartz H., A Lagrange multiplier test for causality in variance, 2006, Economics Letters, p. 137-141 (Publié)
- Hafner Christian, Linton O., Discussion of quantile autoregression by Koenker and Xiao, 2006, Journal of the American Statistical Association, p. 998-1001 (Publié)
- Hafner Christian, Durations, volume and the prediction of financial returns in transaction time, 2005, Quantitative Finance, 5 (2), p. 145-152 (Publié)
- De Boer P., Hafner Christian, Ridge regression revisited, 2005, Statistica Neerlandica (59), p. 498-505 (Publié)
- Cheng Rong, Yang Lijian, Hafner Christian, Nonparametric multistep-ahead prediction in time series analysis, 2004, Journal of the Royal Statistical Society, Series B, 66 (3), p. 669-686 (Publié)
- Hafner Christian, Simple approximations for option pricing under mean reversion and stochastic volatility, 2003, Computational Statistics, 18, p. 339-353 (Publié)
- Härdle Wolfgang, Hafner Christian, Discrete time option pricing with flexible volatility estimation, 2000, Finance and stochastics, 4, p. 189-207 (Publié)
Monographie
- Hafner Christian, Linton O., Efficient estimation of a multivariate volatility model, 2009 (Diffusé)
Lien: http://www.stat.ucl.ac.be/ISpub
- Franke J., HARDLE WOLFGANG, Hafner Christian, Statistics of Financial Markets, An Introduction, New York : Springer, 2008 (Publié)
Lien: http://www.stat.ucl.ac.be/ISpub
- Bauwens Luc, Hafner Christian, Rombouts Jeroen, Multivariate mixed normal conditional heteroskedasticity, Louvain-la-Neuve : Ciaco, 2006 (Diffusé)
Lien: http://www.ires.ucl.ac.be/DP/IRES_DP/2006-7.pdf
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