Christian Matthias Hafner : Citation Profile


Are you Christian Matthias Hafner?

Université Catholique de Louvain (50% share)

18

H index

24

i10 index

742

Citations

RESEARCH PRODUCTION:

52

Articles

75

Papers

RESEARCH ACTIVITY:

   23 years (1995 - 2018). See details.
   Cites by year: 32
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 109.    Total self citations: 35 (4.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha77
   Updated: 2018-07-14    RAS profile: 2018-06-20    
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Relations with other researchers


Works with:

McAleer, Michael (8)

LINTON, OLIVER (6)

Laurent, Sébastien (4)

Violante, Francesco (3)

Breitung, Jörg (3)

Simar, Leopold (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Matthias Hafner.

Is cited by:

McAleer, Michael (134)

Chang, Chia-Lin (75)

Caporin, Massimiliano (47)

Ruiz, Esther (23)

Savva, Christos (17)

Bauwens, Luc (17)

Hotta, Luiz (16)

Rombouts, Jeroen (13)

Jimenez-Martin, Juan (12)

Osborn, Denise (12)

Woźniak, Tomasz (12)

Cites to:

Engle, Robert (86)

Bollerslev, Tim (64)

Drost, Feike C. (30)

Bauwens, Luc (28)

Rombouts, Jeroen (23)

McAleer, Michael (19)

Härdle, Wolfgang (16)

Zakoian, Jean-Michel (14)

Andersen, Torben (14)

Laurent, Sébastien (14)

Sheppard, Kevin (14)

Main data


Where Christian Matthias Hafner has published?


Journals with more than one article published# docs
Econometric Theory5
Computational Statistics & Data Analysis4
Journal of Applied Econometrics3
Economics Letters3
Econometrics Journal2
Statistica Neerlandica2
Journal of Econometrics2
Mathematics and Computers in Simulation (MATCOM)2
Computational Statistics2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes10
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany6
Tinbergen Institute Discussion Papers / Tinbergen Institute3
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
Post-Print / HAL2

Recent works citing Christian Matthias Hafner (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Contagion between Islamic and Conventional Banks in Malaysia: Empirical Investigation using a DCC-GARCH Model العدوى بين البنوك الإسلامية والتقليدية في ماليزي. (2018). ben Latifa, Monia ; Khoufi, Walid . In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:p:167-178.

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2017Temperature Anomalies, Radiative Forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:253732.

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2017VOLATILITY SPILLOVER BETWEEN OIL PRICES, US DOLLAR EXCHANGE RATES AND INTERNATIONAL AGRICULTURAL COMMODITIES PRICES. (2017). Siami-Namini, Sima ; Hudson, Darren. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252845.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2018Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175.

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2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1708.03992.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Wang, Guochang ; Zhu, KE ; Li, Wai Keung. In: Papers. RePEc:arx:papers:1804.09866.

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2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Sun, Tao ; MacMinn, Richard D ; Chen, Hua ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:393-415.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2017EXPLAINING DIFFERENCES IN EFFICIENCY: THE CASE OF LOCAL GOVERNMENT LITERATURE. (2017). Bonanno, Graziella ; Aiello, Francesco ; Capristo, Luigi . In: Working Papers. RePEc:clb:wpaper:201704.

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2017SenSR: A sentiment-based systemic risk indicator. (2017). Borovkova, Svetlana ; Rustige, Jordi ; Lammers, Philip ; Garmaev, Evgeny . In: DNB Working Papers. RePEc:dnb:dnbwpp:553.

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2017Numerical implementation of the QuEST function. (2017). Ledoit, Olivier ; Wolf, Michael . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:199-223.

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2017Assessing consistency of consumer confidence data using latent class analysis with time factor. (2017). Kumar, Sunil ; Husain, Zakir ; Mukherjee, Diganta. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:55:y:2017:i:c:p:35-46.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2017The correct regularity condition and interpretation of asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:52-55.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2018The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:1-17.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, Paul. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen ; Zeitun, Rami. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2018High-yield bond and energy markets. (2018). Soytas, Ugur ; Nazlioglu, Saban ; Gormus, Alper. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:101-110.

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2017Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. (2017). Bouri, Elie ; Pavlova, Ivelina ; de Boyrie, Maria E. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:155-165.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2017On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. (2017). Roubaud, David ; Molnár, Peter ; Bouri, Elie ; Azzi, Georges ; Hagfors, Lars Ivar ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:192-198.

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017Don’t let the easy be the enemy of the good. Returns from art investments: What is wrong with it?. (2017). Vecco, Marilena ; Zanola, Roberto . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:120-129.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2017Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods. (2017). Hkiri, Besma ; Yarovaya, Larisa ; Aloui, Chaker ; Hammoudeh, Shawkat. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:124-150.

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2017The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648.

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2017A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

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2018Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018.

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2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; Jareño, Francisco ; Hussain, Syed Jawad ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:453-483.

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2017Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach. (2017). Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi ; Shimada, Junji. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:193-213.

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2017Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets. (2017). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Koulakiotis, Athanasios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168.

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2017Dynamic correlations and domestic-global diversification. (2017). Li, Leon. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:280-290.

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2017Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets. (2017). French, Jordan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:124-148.

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2017Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries. (2017). Minot, Nicholas ; Hernandez, Manuel ; Ceballos, Francisco ; Robles, Miguel. In: World Development. RePEc:eee:wdevel:v:94:y:2017:i:c:p:305-320.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

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2017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:100416.

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2017Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management. (2017). McAleer, Michael ; Tan, A C. In: Econometric Institute Research Papers. RePEc:ems:eureir:101765.

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2018An Event Study of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104254.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260.

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2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105884.

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2017The Fiction of Full BEKK. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99514.

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2017Temperature Anomalies, Radiative Forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: Working Papers. RePEc:fem:femwpa:2017.09.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Fiorentini, Gabriele ; Sentana, Enrique. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2017A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2018Exchange Rate and Oil Price Interactions in Selected CEE Countries. (2018). Drachal, Krzysztof. In: Economies. RePEc:gam:jecomi:v:6:y:2018:i:2:p:31-:d:146114.

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2017An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

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2018Risk-Based Portfolios with Large Dynamic Covariance Matrices. (2018). Nakagawa, Kei ; Yoshida, Kenichi ; Imamura, Mitsuyoshi. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:52-:d:146287.

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2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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2017Recovering Historical Inflation Data from Postage Stamps Prices. (2017). Franses, Philip Hans ; Janssens, Eva. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:21-:d:118742.

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2018Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. (2018). Toyoshima, Yuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:21-:d:143280.

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2018Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach. (2018). Yang, Lu ; Hamori, Shigeyuki ; Ma, Jason Z. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:2:p:324-:d:128911.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1799-:d:114094.

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2017International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01626101.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2017Which estimator to measure local governments’ cost efficiency? An application to Spanish municipalities. (2017). Narbon-Perpia, Isabel ; Tortosa-Ausina, Emili ; Petrovic, Marko ; Balaguer-Coll, Teresa M. In: Working Papers. RePEc:jau:wpaper:2017/06.

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2017Temperature anomalies, radiative forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO ; Claudio, Morana ; Giacomo, Sbrana . In: Working Papers. RePEc:mib:wpaper:361.

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2017Non-parameteric news impact curve: a variational approach. (2017). Garcin, Matthieu ; Goulet, Clement . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15086rr.

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2017Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market. (2017). ORTIZ-ARANGO, FRANCISCO ; Montiel, Alma Nelly . In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:3:p:941-957.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2018Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. (2018). Eckernkemper, Tobias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:63-117..

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2017Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH.. (2017). Masih, Abul ; Adekunle, Salami Saheed . In: MPRA Paper. RePEc:pra:mprapa:79443.

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2017Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?. (2017). Masih, Abul ; Umirah, Fatin . In: MPRA Paper. RePEc:pra:mprapa:79762.

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2017Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?. (2017). Masih, Abul ; Umairah, Fatin. In: MPRA Paper. RePEc:pra:mprapa:82117.

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2017Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note. (2017). Wohar, Mark ; GUPTA, RANGAN ; Donzwa, Wilson . In: Working Papers. RePEc:pre:wpaper:201764.

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2017Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains. (2017). Wohar, Mark ; GUPTA, RANGAN ; Cunado, Juncal ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201780.

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2017Temperature anomalies, radiative forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: Working Paper series. RePEc:rim:rimwps:17-06.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-06.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Fiorentini, Gabriele ; Sentana, Enrique. In: Working Paper series. RePEc:rim:rimwps:18-22.

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2017On the choice of covariance specifications for portfolio selection problems. (2017). Santos, Andre ; Ferreira, Alexandre R ; Portela, Andre Alves . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:1:a:63579.

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2018The Swiss franc safety premium. (2018). Leutert, Jessica. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:154:y:2018:i:1:d:10.1186_s41937-017-0014-7.

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2017Climate variability and the volatility of global maize and soybean prices. (2017). Peri, Massimo. In: Food Security: The Science, Sociology and Economics of Food Production and Access to Food. RePEc:spr:ssefpa:v:9:y:2017:i:4:d:10.1007_s12571-017-0702-2.

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2017Wild bootstrap tests for autocorrelation in vector autoregressive models. (2017). Catani, Paul ; Ahlgren, Niklas . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0.

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2017Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2017Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160014.

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2018The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170015.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170051.

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2017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170056.

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2017Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management. (2017). McAleer, Michael ; Allen, David. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170069.

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2018An Event Study of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180003.

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More than 100 citations found, this list is not complete...

Works by Christian Matthias Hafner:


YearTitleTypeCited
2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: CORE Discussion Papers.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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2014Local Government Efficiency: The Case of Moroccan Municipalities In: African Development Review.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review.
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2008Testing for Causality in Variance Usinf Multivariate GARCH Models In: Annals of Economics and Statistics.
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2004Testing for causality in variance using multivariate GARCH models.(2004) In: Econometric Institute Research Papers.
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2004Testing for Causality in Variance using Multivariate GARCH Models.(2004) In: Economics Working Papers.
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2006Comment In: Journal of the American Statistical Association.
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article0
2008Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner In: International Statistical Review.
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article0
2004Nonparametric multistep-ahead prediction in time series analysis In: Journal of the Royal Statistical Society Series B.
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2004Nonparametric multistep-ahead prediction in time series analysis.(2004) In: CORE Discussion Papers RP.
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2017On Asymptotic Theory for ARCH (∞) Models In: Journal of Time Series Analysis.
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2005Ridge regression revisited In: Statistica Neerlandica.
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2005Ridge regression revisited.(2005) In: Econometric Institute Research Papers.
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2009Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity In: Statistica Neerlandica.
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2011Estimating Autocorrelations in the Presence of Deterministic Trends In: Journal of Time Series Econometrics.
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2008Estimating autocorrelations in the presence of deterministic trends.(2008) In: CORE Discussion Papers.
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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics.
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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case.(2016) In: CORE Discussion Papers.
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2016Estimation of a multiplicative covariance structure in the large dimensional case.(2016) In: CeMMAP working papers.
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2014A One Line Derivation of EGARCH In: Working Papers in Economics.
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2014A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Documentos de Trabajo del ICAE.
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2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Econometrics.
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2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process In: Working Papers in Economics.
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2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process.(2014) In: Tinbergen Institute Discussion Papers.
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2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process.(2014) In: Documentos de Trabajo del ICAE.
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2009Efficient Estimation of a Multivariate Multiplicative Volatility Model In: STICERD - Econometrics Paper Series.
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2010Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Post-Print.
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2010Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Journal of Econometrics.
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1997Discrete time option pricing with flexible volatility estimation In: CORE Discussion Papers.
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2000Discrete time option pricing with flexible volatility estimation.(2000) In: CORE Discussion Papers RP.
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2000Discrete time option pricing with flexible volatility estimation.(2000) In: Finance and Stochastics.
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1997Discrete time option pricing with flexible volatility estimation.(1997) In: SFB 373 Discussion Papers.
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1998Volatility impulse response functions for multivariate GARCH models In: CORE Discussion Papers.
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2001Volatility impulse response functions for multivariate GARCH models.(2001) In: CORE Discussion Papers.
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2001Fourth moments of multivariate GARCH processes In: CORE Discussion Papers.
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2000Fourth moments of multivariate GARCH processes.(2000) In: SFB 373 Discussion Papers.
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2003Semiparametric multivariate GARCH models In: CORE Discussion Papers.
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2003Estimation of temporally aggregated multivariate GARCH models In: CORE Discussion Papers.
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paper3
2004Estimation of temporally aggregated multivariate GARCH models.(2004) In: Econometric Institute Research Papers.
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2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
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paper31
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: CORE Discussion Papers RP.
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2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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2006Deciding between GARCH and stochastic volatility via strong decision rules In: CORE Discussion Papers.
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2006Asymptotic theory for a factor GARCH model In: CORE Discussion Papers.
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2009ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL.(2009) In: Econometric Theory.
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2011Multivariate volatility modeling of electricity futures In: CORE Discussion Papers.
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2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Econometric analysis of volatile art markets In: CORE Discussion Papers.
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paper8
2012Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis.
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2011Econometric analysis of volatile art markets.(2011) In: SFB 649 Discussion Papers.
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2011Volatility models In: CORE Discussion Papers.
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2013An almost closed form estimator for the EGARCH model In: CORE Discussion Papers.
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2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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2013Fair re-valuation of wine as an investment In: CORE Discussion Papers.
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paper3
2015Fair Revaluation of Wine as an Investment.(2015) In: Journal of Wine Economics.
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2013Fair re-valuation of wine as an investment.(2013) In: SFB 649 Discussion Papers.
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2014A note on the Tobit model in the presence of a duration variable In: CORE Discussion Papers.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: Economics Letters.
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2014A simple model for now-casting volatility series In: CORE Discussion Papers.
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2016A Simple Model for Now-Casting Volatility Series.(2016) In: CORE Discussion Papers.
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2016A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting.
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2015The “wrong skewness” problem in stochastic frontier models: a new approach In: CORE Discussion Papers.
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2018The “wrong skewness” problem in stochastic frontier models: A new approach.(2018) In: Econometric Reviews.
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2015The wrong skewness problem in stochastic frontier models: A new approach.(2015) In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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2016Looking Backward and Looking Forward In: CORE Discussion Papers.
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2016On Asymptotic Theory for ARCH(infinite) Models In: CORE Discussion Papers.
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2005Durations, volume and the prediction of financial returns in transaction time In: CORE Discussion Papers RP.
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2000Durations, Volume and the Prediction of Financial Returns in Transaction Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2005Durations, volume and the prediction of financial returns in transaction time.(2005) In: Quantitative Finance.
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2007SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory.
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2004Semiparametric multivariate volatility models.(2004) In: Econometric Institute Research Papers.
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2004Semiparametric multivariate volatility models.(2004) In: Papers.
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2011LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION In: Econometric Theory.
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2004Temporal aggregation of multivariate GARCH processes In: Econometric Society 2004 North American Winter Meetings.
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2008Temporal aggregation of multivariate GARCH processes.(2008) In: Journal of Econometrics.
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2004Temporal aggregation of multivariate GARCH processes.(2004) In: Econometric Institute Research Papers.
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2009Causality and forecasting in temporally aggregated multivariate GARCH processes In: Econometrics Journal.
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2000Testing for linear autoregressive dynamics under heteroskedasticity In: Econometrics Journal.
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1998Testing for linear autoregressive dynamics under heteroskedasticity.(1998) In: SFB 373 Discussion Papers.
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2010Efficient estimation of a semiparametric dynamic copula model In: Computational Statistics & Data Analysis.
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2012On the estimation of dynamic conditional correlation models In: Computational Statistics & Data Analysis.
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2015An ARCH model without intercept In: Economics Letters.
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2006A Lagrange multiplier test for causality in variance In: Economics Letters.
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article58
2001Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis In: Journal of Empirical Finance.
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1999Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis.(1999) In: SFB 373 Discussion Papers.
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2006Volatility impulse responses for multivariate GARCH models: An exchange rate illustration In: Journal of International Money and Finance.
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2009On asymptotic theory for multivariate GARCH models In: Journal of Multivariate Analysis.
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article26
2014Inference in stochastic frontier analysis with dependent error terms In: Mathematics and Computers in Simulation (MATCOM).
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2003A generalized dynamic conditional correlation model for many asset returns In: Econometric Institute Research Papers.
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2003Simple approximations for option pricing under mean reversion and stochastic volatility In: Econometric Institute Research Papers.
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2003Simple approximations for option pricing under mean reversion and stochastic volatility.(2003) In: Computational Statistics.
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2003Analytical quasi maximum likelihood inference in multivariate volatility models In: Econometric Institute Research Papers.
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2008Analytical quasi maximum likelihood inference in multivariate volatility models.(2008) In: Metrika: International Journal for Theoretical and Applied Statistics.
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2002Testing for vector autoregressive dynamics under heteroskedasticity In: Econometric Institute Research Papers.
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2002Testing for vector autoregressive dynamics under heteroskedasticity.(2002) In: SFB 373 Discussion Papers.
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2005Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers.
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2009Information Spillover, Volatility and the Currency Markets for the Binary Choice Model In: International Econometric Review (IER).
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2011On heterogeneous latent class models with applications to the analysis of rating scores In: SFB 649 Discussion Papers.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: Computational Statistics.
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2012Support Vector Machines with Evolutionary Feature Selection for Default Prediction In: SFB 649 Discussion Papers.
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2012Volatility of price indices for heterogeneous goods In: SFB 649 Discussion Papers.
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2017An augmented Taylor rule for the Federal Reserves response to asset prices In: International Journal of Computational Economics and Econometrics.
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2016Estimation of a Multiplicative Covariance Structure In: CeMMAP working papers.
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2003Fourth Moment Structure of Multivariate GARCH Models In: Journal of Financial Econometrics.
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2016The effect of additive outliers on a fractional unit root test In: AStA Advances in Statistical Analysis.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets In: Empirical Economics.
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2011The euro introduction and noneuro currencies In: Applied Financial Economics.
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2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
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2009A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets In: Econometric Reviews.
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2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series In: Journal of Applied Statistics.
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2008Dynamic stochastic copula models: Estimation, inference and applications In: Research Memorandum.
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2012Dynamic stochastic copula models: estimation, inference and applications.(2012) In: Journal of Applied Econometrics.
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2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market In: Journal of Applied Econometrics.
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2014THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE In: Annals of Financial Economics (AFE).
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1995A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series In: SFB 373 Discussion Papers.
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1996Foreign Exchange Rates Have Surprising Volatility In: SFB 373 Discussion Papers.
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1997Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models In: SFB 373 Discussion Papers.
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1998Flexible stochastic volatility structures for high frequency financial data In: SFB 373 Discussion Papers.
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1999Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications In: SFB 373 Discussion Papers.
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