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Browsing All of EconStor by Author Hafner, Christian M.
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Year of Publication
Title
Author(s)
1997
Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang
;
Hafner, Christian M.
1998
Flexible stochastic volatility structures for high frequency financial data
Feldmann, David
;
Härdle, Wolfgang Karl
;
Hafner, Christian M.
;
Hoffmann, Marc
;
Lepskii, Oleg V.
;
Tsybakov, Alexandre B.
1998
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
;
Herwartz, Helmut
1999
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
1999
Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications
Hafner, Christian M.
;
Herwartz, Helmut
2000
Fourth moments of multivariate GARCH processes
Hafner, Christian M.
2002
Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
;
Herwartz, Helmut
2004
Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M.
;
Herwartz, Helmut
2004
Semiparametric multivariate volatility models
Rombouts, Jeroen V. K.
;
Hafner, Christian M.
2005
The Euro Introduction and Non-Euro Currencies
van Dijk, Dick
;
Munandar, Haris
;
Hafner, Christian M.
2009
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model
Omrane, Walid Ben
;
Hafner, Christian M.
2011
Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.
;
Hafner, Christian M.
2011
On heterogeneous latent class models with applications to the analysis of rating scores
Bertrand, Aurélie
;
Hafner, Christian M.
2011
Multivariate volatility modeling of electricity futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
2012
Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.
;
Hafner, Christian M.
2013
Fair re-valuation of wine as an investment
Bocart, Fabian Y. R. P.
;
Hafner, Christian M.
2014
A One Line Derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
2014
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.
;
McAleer, Michael
2014
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
2016
Estimation of a multiplicative covariance structure in the large dimensional case
Hafner, Christian M.
;
Linton, Oliver Bruce
;
Tang, Haihan