Christian Matthias Hafner : Citation Profile


Are you Christian Matthias Hafner?

Université Catholique de Louvain (50% share)

19

H index

25

i10 index

897

Citations

RESEARCH PRODUCTION:

58

Articles

97

Papers

RESEARCH ACTIVITY:

   24 years (1995 - 2019). See details.
   Cites by year: 37
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 185.    Total self citations: 40 (4.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha77
   Updated: 2020-05-23    RAS profile: 2020-05-05    
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Relations with other researchers


Works with:

LINTON, OLIVER (8)

McAleer, Michael (8)

Simar, Leopold (5)

Violante, Francesco (5)

Breitung, Jörg (4)

Laurent, Sébastien (4)

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 (149)

Chang, Chia-Lin (85)

Caporin, Massimiliano (53)

Ruiz, Esther (23)

Fiorentini, Gabriele (17)

Hotta, Luiz (17)

Bauwens, Luc (17)

Savva, Christos (17)

Sentana, Enrique (17)

Jimenez-Martin, Juan (13)

GUPTA, RANGAN (13)

Cites to:

Engle, Robert (88)

Bollerslev, Tim (62)

Bauwens, Luc (30)

Drost, Feike C. (30)

Rombouts, Jeroen (24)

McAleer, Michael (22)

Laurent, Sébastien (17)

Härdle, Wolfgang (17)

Teräsvirta, Timo (15)

Sheppard, Kevin (14)

Zakoian, Jean-Michel (13)

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
Statistica Neerlandica3
Econometrics2
Computational Statistics2
Journal of Risk and Financial Management2
Mathematics and Computers in Simulation (MATCOM)2
Journal of Econometrics2
Econometric Reviews2
Econometrics Journal2

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
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University2
Post-Print / HAL2

Recent works citing Christian Matthias Hafner (2020 and 2019)


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). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

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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). Khoufi, Walid ; ben Latifa, Monia. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:no:11:p:167-178.

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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). Khoufi, Walid ; ben Latifa, Monia. 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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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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2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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

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2018Bitcoin price and its marginal cost of production: support for a fundamental value. (2018). Hayes, Adam. In: Papers. RePEc:arx:papers:1805.07610.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018A supreme test for periodic explosive GARCH. (2018). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan . In: Papers. RePEc:arx:papers:1812.03475.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2019Estimating a Large Covariance Matrix in Time-varying Factor Models. (2019). Jung, Jaeheon. In: Papers. RePEc:arx:papers:1910.11965.

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2019A percolation model for the emergence of the Bitcoin Lightning Network. (2019). Vivo, Pierpaolo ; Caccioli, Fabio ; Bartolucci, Silvia. In: Papers. RePEc:arx:papers:1912.03556.

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2019Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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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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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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2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1916.

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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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2020Comovement and Instability in Cryptocurrency Markets. (2020). De Pace, Pierangelo ; Rao, Jayant ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1012.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2020Art as an Asset: Evidence from Keynes the Collector. (2020). Dimson, Elroy ; Chambers, David. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14357.

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2019Big in Japan: Global Volatility Transmission between Assets and Trading Places. (2019). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:8119.

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2018Estimation of the common component in Dynamic Factor Models. (2018). Navarro, Angela Caro ; Sanchez, Daniel Pea . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

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2019Comovement of Home Prices: A Conditional Copula Approach. (2019). Li, QI ; Long, Wei ; Hou, Lei. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:houlongli.

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2019Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models. (2019). Yi, Yanping ; Huang, Zhuo ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2215.

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

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

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2019Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Thavaneswaran, Aerambamoorthy ; Ravishanker, Nalini ; Zou, Jian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2019Climate change implications for the catastrophe bonds market: An empirical analysis. (2019). Sbrana, Giacomo ; MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:274-294.

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2019Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops. (2019). Mitra, Subrata K ; Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:453-466.

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2020Volatility spillovers across European stock markets under the uncertainty of Brexit. (2020). Li, Hong. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:1-12.

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2020Volatility transmission to the fine wine market. (2020). ben Ameur, Hachmi ; le Fur, Eric ; Lefur, Eric . In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:307-316.

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2019The demand for banking and shadow banking services. (2019). Serletis, Apostolos ; Xu, Libo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:132-146.

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2019Financial contagion and flight to quality between emerging markets and U.S. bond market. (2019). Gulolu, Bulent ; Soylu, Pinar Kaya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304042.

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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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2018Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis. (2018). Eraslan, Sercan ; Ali, Faek Menla. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:59-62.

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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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2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2019Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; 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, P S. 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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2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

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2019Estimation and model-based combination of causality networks among large US banks and insurance companies. (2019). Caporin, Massimiliano ; Panzica, Roberto ; Bonaccolto, Giovanni. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:1-21.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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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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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2019Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil. (2019). Aromi, J. Daniel ; Clements, Adam. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:187-196.

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2018Efficiency performance and cost structure of Portuguese energy “utilities” – Non-parametric and parametric analysis. (2018). Rita, Rui ; Paulino, Paulo ; Gomes, Joana ; Chaves, Ines Matos ; Costa, Ana Lucia ; Marques, Vitor . In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:35-45.

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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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2019The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2019). McAleer, Michael ; Chang, Chia-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:11-19.

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2019Regime changes in Bitcoin GARCH volatility dynamics. (2019). Ardia, David ; Ruede, Maxime ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271.

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2019Bitcoin returns and risk: A general GARCH and GAS analysis. (2019). Troster, Victor ; Tiwari, Aviral ; Shahbaz, Muhammad ; Macedo, Demian Nicolas. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:187-193.

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2019Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets. (2019). Corbet, Shaen ; Akyildirim, Erdinc ; Ekinci, Cumhur . In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:155-164.

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2019Analysing dynamic dependence between gold and stock returns: Evidence using stochastic and full-range tail dependence copula models. (2019). Tiwari, Aviral ; Ji, Qiang ; Ibrahim, Muazu ; Boako, Gideon. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307104.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2019Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. (2019). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:42-64.

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2019The Brexit vote and currency markets. (2019). Urquhart, Andrew ; McGroarty, Frank ; Dao, Thong M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:153-164.

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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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2020Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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2018Cross-commodity news transmission and volatility spillovers in the German energy markets. (2018). Green, Rikard ; Nilsson, Birger ; Lunina, Veronika ; Larsson, Karl . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:231-243.

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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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2019The ethanol mandate and crude oil and biofuel agricultural commodity price dynamics. (2019). Serletis, Apostolos ; Xu, Libo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:15:y:2019:i:c:3.

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2019Commodity-currencies or currency-commodities: Evidence from causality tests. (2019). Demirer, Riza ; Belasen, Ariel. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:162-168.

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2018Adequacy of deterministic and parametric frontiers to analyze the efficiency of Indian commercial banks. (2018). Tabak, Benjamin ; Silva, Thiago ; Boas, Marina Villas ; Cajueiro, Daniel Oliveira. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1016-1025.

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2019Measuring the connectedness of European electricity markets using the network topology of variance decompositions. (2019). Fang, Libing ; Peng, Xuerong ; Yang, YE ; Xiao, Binqing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313172.

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2018Volatility spillovers across global asset classes: Evidence from time and frequency domains. (2018). Tiwari, Aviral Kumar ; Wohar, Mark E ; Gupta, Rangan ; Cunado, Juncal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202.

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2019Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests. (2019). Rault, Christophe ; Amor, Thouraya Hadj ; Nouira, Ridha. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:73:y:2019:i:c:p:159-171.

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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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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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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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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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2020Cryptocurrencies and stock market indices. Are they related?. (2020). Gil-Alana, Luis ; Romero, Maria Fatima ; Aikins, Emmanuel Joel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919303472.

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2019Dynamic spillover effects among derivative markets in tanker shipping. (2019). Liu, Hailong ; Haralambides, Hercules ; Sun, Xiaolin. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:122:y:2019:i:c:p:384-409.

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2017Generalized dynamic factor models and volatilities estimation and forecasting. (2017). Barigozzi, Matteo ; Hallin, Marc. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67455.

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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, 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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2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). Pauwels, Laurent ; McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111553.

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2018Modelling the Relationship between Crude Oil and Agricultural Commodity Prices. (2018). Vu, Tan ; Vo, Duc ; McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115608.

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2019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. (2019). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115612.

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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: CORE Discussion Papers RP.
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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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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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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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1998Structural analysis of portfolio risk using beta impulse response functions In: Statistica Neerlandica.
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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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2018A simple solution of the spurious regression problem In: Studies in Nonlinear Dynamics & Econometrics.
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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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2018Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics.
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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: Econometrics.
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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: 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 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: Journal of Econometrics.
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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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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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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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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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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: CORE Discussion Papers RP.
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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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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: CORE Discussion Papers RP.
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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: CORE Discussion Papers RP.
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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: CORE Discussion Papers RP.
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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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2019Looking backward and looking forward.(2019) In: CORE Discussion Papers RP.
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2019Looking Backward and Looking Forward.(2019) In: Econometrics.
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2016On Asymptotic Theory for ARCH(infinite) Models In: CORE Discussion Papers.
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2017On asymptotic theory for ARCH([infinite]) models.(2017) In: CORE Discussion Papers RP.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility In: CORE Discussion Papers.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: CORE Discussion Papers RP.
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2018Identification of structural multivariate GARCH models In: CORE Discussion Papers.
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2018Monthly art market returns In: CORE Discussion Papers.
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2019Exponential-type GARCH models with linear-in-variance risk premium In: CORE Discussion Papers.
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2019Investing in superheroes? Comic art as a new alternative investment In: CORE Discussion Papers.
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2019A dynamic conditional score model for the log correlation matrix 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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2016The Effect of Additive Outliers on Fractional Unit Root Tests In: CORE Discussion Papers RP.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: AStA Advances in Statistical Analysis.
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2015An ARCH Model Without Intercept In: CORE Discussion Papers RP.
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2015An ARCH model without intercept.(2015) In: Economics Letters.
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2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market In: CORE Discussion Papers RP.
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2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: Journal of Applied Econometrics.
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2017An augmented Taylor rule for the Federal Reserves response to asset prices In: CORE Discussion Papers RP.
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2017An augmented Taylor rule for the Federal Reserves response to asset prices.(2017) In: International Journal of Computational Economics and Econometrics.
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2007SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory.
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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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2019ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES In: Macroeconomic Dynamics.
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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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2006A Lagrange multiplier test for causality in variance In: Economics Letters.
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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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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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2019Sentiment-Induced Bubbles in the Cryptocurrency Market In: Journal of Risk and Financial Management.
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2020Alternative Assets and Cryptocurrencies In: Journal of Risk and Financial Management.
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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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2016Estimation of a Multiplicative Covariance Structure In: CeMMAP working papers.
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2018Trending Mixture Copula Models with Copula Selection In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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2003Fourth Moment Structure of Multivariate GARCH Models In: Journal of Financial Econometrics.
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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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2014THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE In: Annals of Financial Economics (AFE).
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2019Time-Varying Mixture Copula Models with Copula Selection In: Working Papers.
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2019Semiparametric Estimation and Variable Selection for Single-index Copula Models In: Working Papers.
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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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