Browsing All of EconStor by Author Hafner, Christian M.

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Showing results 1 to 19 of 19
Year of PublicationTitleAuthor(s)
1997 Discrete time option pricing with flexible volatility estimationHärdle, Wolfgang; Hafner, Christian M.
1998 Testing for linear autoregressive dynamics under heteroskedasticityHafner, Christian M.; Herwartz, Helmut
1998 Flexible stochastic volatility structures for high frequency financial dataFeldmann, David; Härdle, Wolfgang K.; Hafner, Christian M.; Hoffmann, Marc; Lepskii, Oleg V.; Tsybakov, Alexandre B.
1999 Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implicationsHafner, Christian M.; Herwartz, Helmut
1999 Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosisHafner, Christian M.; Herwartz, Helmut
2000 Fourth moments of multivariate GARCH processesHafner, Christian M.
2002 Testing for vector autoregressive dynamics under heteroskedasticityHafner, Christian M.; Herwartz, Helmut
2004 Semiparametric multivariate volatility modelsRombouts, Jeroen V. K.; Hafner, Christian M.
2004 Testing for Causality in Variance using Multivariate GARCH ModelsHafner, Christian M.; Herwartz, Helmut
2005 The Euro Introduction and Non-Euro Currenciesvan Dijk, Dick; Munandar, Haris; Hafner, Christian M.
2011 Multivariate volatility modeling of electricity futuresBauwens, Luc; Hafner, Christian M.; Pierret, Diane
2011 On heterogeneous latent class models with applications to the analysis of rating scoresBertrand, Aurélie; Hafner, Christian M.
2011 Econometric analysis of volatile art marketsBocart, Fabian Y. R. P.; Hafner, Christian M.
2012 Volatility of price indices for heterogeneous goodsBocart, Fabian Y. R. P.; Hafner, Christian M.
2013 Fair re-valuation of wine as an investmentBocart, Fabian Y. R. P.; Hafner, Christian M.
2014 A one line derivation of EGARCHMcAleer, Michael; Hafner, Christian M.
2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average ProcessHafner, Christian M.; McAleer, Michael
2014 A One Line Derivation of EGARCHMcAleer, Michael; Hafner, Christian M.
2016 Estimation of a multiplicative covariance structureHafner, Christian M.; Linton, Oliver Bruce; Tang, Haihan