Christian Matthias Hafner : Citation Profile


Are you Christian Matthias Hafner?

Université Catholique de Louvain (50% share)

17

H index

23

i10 index

655

Citations

RESEARCH PRODUCTION:

50

Articles

73

Papers

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 29
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 138.    Total self citations: 33 (4.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha77
   Updated: 2017-09-23    RAS profile: 2017-09-05    
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Relations with other researchers


Works with:

McAleer, Michael (8)

LINTON, OLIVER (4)

Violante, Francesco (3)

Laurent, Sébastien (3)

Simar, Leopold (2)

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 (118)

Chang, Chia-Lin (61)

Caporin, Massimiliano (47)

Bauwens, Luc (17)

Savva, Christos (17)

Ruiz, Esther (15)

Rombouts, Jeroen (13)

Woźniak, Tomasz (12)

Osborn, Denise (12)

Jimenez-Martin, Juan (12)

Maheu, John (10)

Cites to:

Engle, Robert (82)

Bollerslev, Tim (57)

Bauwens, Luc (28)

Drost, Feike C. (28)

Rombouts, Jeroen (23)

McAleer, Michael (19)

Härdle, Wolfgang (16)

Laurent, Sébastien (14)

Andersen, Torben (14)

Sheppard, Kevin (14)

Zakoian, Jean-Michel (14)

Main data


Where Christian Matthias Hafner has published?


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

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
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2

Recent works citing Christian Matthias Hafner (2017 and 2016)


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

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2017Temperature Anomalies, Radiative Forcing and ENSO. (2017). MORANA, CLAUDIO ; Sbrana, Giacomo . 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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2016On the stationarity of Dynamic Conditional Correlation models. (2016). Malongo, Hassan ; Fermanian, Jean-David . In: Papers. RePEc:arx:papers:1405.6905.

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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

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2016Wavelet-based methods for high-frequency lead-lag analysis. (2016). 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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2017Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2017). 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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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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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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2016Volatility and a Century of Energy Markets Dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Working Papers. RePEc:clg:wpaper:2016-29.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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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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2016For your eyes only: U.S. technology companies, sovereign states, and the battle over data protection. (2016). Hare, Stephanie . In: Business Horizons. RePEc:eee:bushor:v:59:y:2016:i:5:p:549-561.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

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2016Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. (2016). Sucarrat, Genaro ; Escribano, Alvaro ; Gronneberg, Steffen . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:582-594.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016Volatile oil and the U.S. economy. (2016). Gormus, Alper N ; Atinc, Guclu . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:50:y:2016:i:c:p:62-73.

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2016Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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2016Do different time-horizons in volatility have any significance for the emerging markets?. (2016). Gormus, Alper N. In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:29-32.

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2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Bruggemann, Ralf ; Jentsch, Carsten . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

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2016Goodness-of-fit test for specification of semiparametric copula dependence models. (2016). Zhang, Shulin ; PEter, ; Zhou, Qian M ; Okhrin, Ostap . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:215-233.

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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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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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2016Exchange rates and commodity prices: Measuring causality at multiple horizons. (2016). Dufour, Jean-Marie ; Galbraith, John W ; Zhang, Hui Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:100-120.

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2016Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets. (2016). Enders, Walter ; Brooks, Robert ; Teterin, Pavel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:22-36.

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2016Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Wied, Dominik ; Pape, Katharina . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

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2016Volatility linkages between energy and agricultural commodity prices. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:190-203.

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2016Volatility and a century of energy markets dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:1-9.

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2016Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. (2016). Hasanov, Akram Shavkatovich ; Shaiban, Mohammed Sharaf ; Do, Hung Xuan . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:16-27.

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2016Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. (2016). Soytas, Ugur ; Nazlioglu, Saban ; Gormus, Alper N. In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:168-175.

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2016Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265.

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2016Energy futures, state planning policies and coal mine contests in rural New South Wales. (2016). Connor, Linda H. In: Energy Policy. RePEc:eee:enepol:v:99:y:2016:i:c:p:233-241.

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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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2017On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. (2017). Molnár, Peter ; Bouri, Elie ; Azzi, Georges ; Hagfors, Lars Ivar ; Molnar, Peter ; Roubaud, David . 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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2016Model identification using the Efficient Determination Criterion. (2016). Alves, Paulo Angelo ; Yu, Chang Chung . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:150:y:2016:i:c:p:229-244.

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2016Volatility transmission among Latin American stock markets under structural breaks. (2016). Aydemir, Resul ; Gulolu, Bulent ; Kaya, Pinar . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:330-340.

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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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2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; 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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2016Global financial crisis and emerging stock market contagion: A volatility impulse response function approach. (2016). Jin, Xiaoye ; An, Ximeng . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:179-195.

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2016Foreign news and the structure of co-movement in European equity markets: An intraday analysis. (2016). BEN OMRANE, Walid ; Hussain, Syed Mujahid . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:572-582.

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2016Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets. (2016). Baldi, Lucia ; Peri, Massimo ; Vandone, Daniela . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:277-285.

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

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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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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:79731.

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2016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923.

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2016Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93115.

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2016Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116.

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2016Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117.

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2016An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93118.

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2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:93334.

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2016Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). McAleer, Michael ; Allen, David ; Singh, AK ; Powell, R J. In: Econometric Institute Research Papers. RePEc:ems:eureir:98037.

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2016A Simple Test for Causality in Volatility. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:98603.

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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648.

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2016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:98657.

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2016Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors. (2016). Savva, Christos ; McAleer, Michael ; Lambertides, N ; Zopiatis, A. In: Econometric Institute Research Papers. RePEc:ems:eureir:99512.

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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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2016Volatility Spillovers Across User-Generated Content and Stock Market Performance. (2016). Franses, Philip Hans ; van Dieijen, M ; Tellis, G J ; Borah, A. In: ERIM Report Series Research in Management. RePEc:ems:eureri:93366.

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2016Policy Uncertainty and International Financial Markets: The case of Brexit. (2016). Belke, Ansgar ; Osowski, Thomas ; Dubova, Irina . In: CEPS Papers. RePEc:eps:cepswp:12021.

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

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2016Dynamic D-Vine copula model with applications to Value-at-Risk (VaR). (2016). Valls Pereira, Pedro ; Ziegelmann, Flavio Augusto ; Silva, Osvaldo Candido . In: Textos para discussão. RePEc:fgv:eesptd:424.

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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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2016Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets. (2016). Lunina, Veronika ; Nilsson, Birger ; Larsson, Karl ; Green, Rikard . In: Working Papers. RePEc:hhs:lunewp:2016_002.

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2016Local governments’ efficiency: A systematic literature review – Part I. (2016). Narbon-Perpia, Isabel ; de Witte, Kristof . In: Working Papers. RePEc:jau:wpaper:2016/20.

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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). MORANA, CLAUDIO ; Claudio, Morana ; Giacomo, Sbrana . In: Working Papers. RePEc:mib:wpaper:361.

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2016Non-parameteric news impact curve: a variational approach. (2016). Goulet, Clement ; Garcin, Matthieu . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15086r.

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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). Arango, Francisco Ortiz ; Montiel, Alma Nelly . In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:3:p:941-957.

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2016Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

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2016ZD-GARCH model: a new way to study heteroscedasticity. (2016). Zhu, Ke ; Li, Dong ; Ling, Shiqing . In: MPRA Paper. RePEc:pra:mprapa:68621.

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2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut . In: MPRA Paper. RePEc:pra:mprapa:72197.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: MPRA Paper. RePEc:pra:mprapa:72736.

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2016On the choice of covariance specifications for portfolio selection problems. (2016). Santos, Andre ; Ferreira, Alexandre R. In: MPRA Paper. RePEc:pra:mprapa:73259.

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2016Variance targeting estimation of the BEKK-X model. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75572.

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2016Equation by equation estimation of the semi-diagonal BEKK model with covariates. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75582.

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2016Price dependence between coffee qualities: a copula model to evaluate asymmetric responses. (2016). Stavrakoudis, Athanassios ; Panagiotou, Dimitrios . In: MPRA Paper. RePEc:pra:mprapa:75994.

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

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2016Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification. (2016). Osiewalski, Jacek. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:8:y:2016:i:4:p:241-271.

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

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2016Policy uncertainty and international financial markets: the case of Brexit. (2016). Belke, Ansgar ; Osowski, Thomas ; Dubova, Irina . In: ROME Working Papers. RePEc:rmn:wpaper:201607.

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2016Towards data oriented analysis of the art market: survey and outlook. (2016). Filipiak, Dominik . In: e-Finanse. RePEc:rze:efinan:v:12:y:2016:i:1:p:21-31.

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

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2016An analysis of price and volatility transmission in butter, palm oil and crude oil markets. (2016). Thummel, Andreas ; Oconnor, Declan ; Bergmann, Dennis . In: Agricultural and Food Economics. RePEc:spr:agfoec:v:4:y:2016:i:1:d:10.1186_s40100-016-0067-4.

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2017Frequency assignment problem in networks with limited spectrum. (2017). Shao, Zehui ; Xu, Jin ; Vesel, Aleksander . In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:25:y:2017:i:3:d:10.1007_s10100-016-0462-7.

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2016Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles. (2016). Kobayashi, Genya . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:1:d:10.1007_s00180-015-0596-4.

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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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2014Local Government Efficiency: The Case of Moroccan Municipalities In: African Development Review.
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article3
2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review.
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article
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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paper
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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article7
Nonparametric multistep-ahead prediction in time series analysis.() In: CORE Discussion Papers RP.
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paper
2005Ridge regression revisited In: Statistica Neerlandica.
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article1
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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article17
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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paper
2016Estimation of a multiplicative covariance structure in the large dimensional case.(2016) In: CeMMAP working papers.
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paper
2014A One Line Derivation of EGARCH In: Working Papers in Economics.
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paper48
2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion 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: Econometric Institute Research Papers.
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paper
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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paper
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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paper18
2010Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Journal of Econometrics.
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article
2010Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Post-Print.
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1997Discrete time option pricing with flexible volatility estimation In: CORE Discussion Papers.
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Discrete time option pricing with flexible volatility estimation.() 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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paper
2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
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paper26
1906Multivariate mixed normal conditional heteroskedasticity.(1906) In: CORE Discussion Papers RP.
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paper
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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article
2006Deciding between GARCH and stochastic volatility via strong decision rules In: CORE Discussion Papers.
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paper3
2006Asymptotic theory for a factor GARCH model In: CORE Discussion Papers.
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paper9
2009ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL.(2009) In: Econometric Theory.
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article
2011Multivariate volatility modeling of electricity futures In: CORE Discussion Papers.
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paper32
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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paper7
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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paper21
2013An almost closed form estimator for the EGARCH model In: CORE Discussion Papers.
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paper0
2013Fair re-valuation of wine as an investment In: CORE Discussion Papers.
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paper4
2015Fair Revaluation of Wine as an Investment.(2015) In: Journal of Wine Economics.
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article
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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article
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: 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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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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paper
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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Durations, volume and the prediction of financial returns in transaction time In: CORE Discussion Papers RP.
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paper6
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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article7
2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL 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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paper16
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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article5
2000Testing for linear autoregressive dynamics under heteroskedasticity In: Econometrics Journal.
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article6
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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article16
2012On the estimation of dynamic conditional correlation models In: Computational Statistics & Data Analysis.
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article27
2015An ARCH model without intercept In: Economics Letters.
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article2
2006A Lagrange multiplier test for causality in variance In: Economics Letters.
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article47
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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article35
2009On asymptotic theory for multivariate GARCH models In: Journal of Multivariate Analysis.
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article24
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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article
2003A generalized dynamic conditional correlation model for many asset returns In: Econometric Institute Research Papers.
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paper17
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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paper3
2009Information Spillover, Volatility and the Currency Markets for the Binary Choice Model In: International Econometric Review (IER).
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article2
2011On heterogeneous latent class models with applications to the analysis of rating scores In: SFB 649 Discussion Papers.
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paper1
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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paper3
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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