Christian Matthias Hafner : Citation Profile

Are you Christian Matthias Hafner?

Université Catholique de Louvain

22

H index

41

i10 index

1509

Citations

RESEARCH PRODUCTION:

66

Articles

191

Papers

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 55
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 63 (4.01 %)

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   Permalink: http://citec.repec.org/pha77
   Updated: 2024-12-03    RAS profile: 2023-03-05    
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Relations with other researchers

Works with:

LINTON, OLIVER (4)

Wang, Linqi (2)

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:

Chang, Chia-Lin (86)

Caporin, Massimiliano (68)

Bauwens, Luc (26)

Ruiz, Esther (24)

Härdle, Wolfgang (21)

Fiorentini, Gabriele (20)

Fengler, Matthias (20)

Sentana, Enrique (20)

Savva, Christos (19)

Hotta, Luiz (18)

Asai, Manabu (18)

Cites to:

Engle, Robert (74)

Bollerslev, Tim (60)

Härdle, Wolfgang (38)

Drost, Feike C. (34)

Bauwens, Luc (32)

Ginsburgh, Victor (30)

Laurent, Sébastien (20)

OOSTERLINCK, Kim (18)

Rombouts, Jeroen (16)

Taschini, Luca (15)

CHANEL, Olivier (14)

Main data

Where Christian Matthias Hafner has published?

Journals with more than one article published# docs
Econometric Theory5
Journal of Econometrics4
Computational Statistics & Data Analysis4
Journal of Applied Econometrics3
JRFM3
Statistica Neerlandica3
Econometric Reviews3
Economics Letters3
International Econometric Review (IER)2
Mathematics and Computers in Simulation (MATCOM)2
Econometrics2
Computational Statistics2
Journal of Financial Econometrics2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)50
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)29
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
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk5
IRTG 1792 Discussion Papers / Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"3
Tinbergen Institute Discussion Papers / Tinbergen Institute3
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University2
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2
Post-Print / HAL2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)2

Recent works citing Christian Matthias Hafner (2024 and 2023)

YearTitle of citing document
2023.

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2023Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets. (2023). Mugrabi, Farah Daniela. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023001.

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2023Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240.

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2024Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Cryptocurrency co-investment network: token returns reflect investment patterns. (2023). Alessandretti, Laura ; Bartolucci, Silvia ; Mungo, Luca. In: Papers. RePEc:arx:papers:2301.02027.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Quantifying neural network uncertainty under volatility clustering. (2024). Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2024Efficiency of local public spending in Cameroon: Does population size matter?. (2024). Tameko, Gautier Tchoffo ; Wangbara, Djondandi ; Ongo, Bruno Emmanuel. In: African Development Review. RePEc:bla:afrdev:v:36:y:2024:i:2:p:362-376.

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2023Two‐Step Estimation for Time Varying Arch Models. (2020). Yang, Lijian ; Shao, Qin ; Liu, Rong ; Zhang, Yuanyuan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:551-570.

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2023Regularized estimation of high?dimensional vector autoregressions with weakly dependent innovations. (2022). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:532-557.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023Financial Sector Troubles and Energy Markets. (2023). Soytas, Ugur ; Gormus, Alper. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-40.

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2023Multivariate distributional stochastic frontier models. (2023). Kneib, Thomas ; Schmidt, Rouven. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:187:y:2023:i:c:s016794732300107x.

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2023Bayesian multivariate nonlinear state space copula models. (2023). Dalla Valle, Luciana ; Czado, Claudia ; Kreuzer, Alexander. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:188:y:2023:i:c:s0167947323001317.

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2023Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362.

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2023Rational bubbles: Too many to be true?. (2023). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000726.

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2023A practical multivariate approach to testing volatility spillover. (2023). Urga, Giovanni ; Leong, Soon Heng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001008.

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2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

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2023Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759.

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2024Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N ; Wohar, Mark. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2023Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426.

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2023Nonparametric comparison of epidemic time trends: The case of COVID-19. (2023). Vogt, Michael ; Khismatullina, Marina. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:87-108.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. (2023). Xia, Yin ; Xu, Yan ; Yang, Dan ; Chen, Xin ; Shen, Haipeng ; Wang, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:544-564.

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2023Testing the martingale difference hypothesis in high dimension. (2023). Shao, Xiaofeng ; Jiang, Qing ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:972-1000.

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2023A new generalized exponentially weighted moving average quantile model and its statistical inference. (2023). Zhu, KE. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002269.

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2023Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141.

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2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

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2023Dynamic factor copula models with estimated cluster assignments. (2023). Patton, Andrew J ; Oh, Dong Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002135.

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2024Estimation and variable selection for high-dimensional spatial dynamic panel data models. (2024). Wu, Yuehua ; Jin, Baisuo ; Hou, LI. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003214.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. (2024). Tang, Cheng Yong ; Liu, Cheng ; Hu, Qiao ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001543.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023Implicit Copulas: An Overview. (2023). Smith, Michael Stanley. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:81-104.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023The US-China trade war and the volatility linkages between energy and agricultural commodities. (2023). Poon, Wai-Ching ; Bouri, Elie ; Hasanov, Akram Shavkatovich ; Ling, Natalie Fang. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001032.

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2023Structural sources of oil market volatility and correlation dynamics. (2023). Stewart, Shamar ; Liu, Xiaochun ; Harrison, Andre. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001561.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets. (2023). Deb, Soudeep ; Soni, Anchal ; Roy, Archi. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003286.

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2024Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets. (2024). Qin, Zhongfeng ; Wu, Ruirui. In: Energy. RePEc:eee:energy:v:292:y:2024:i:c:s0360544224002755.

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2023Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314.

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2024GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods. (2024). Potanin, Bogdan ; Trifonov, Juri. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x.

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2024Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832.

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2024On practitioners closed-form GARCH option pricing. (2024). Kabir, Humayun M ; Talukdar, Bakhtear ; Frijns, Bart ; Mozumder, Sharif. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400228x.

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2023Do NFTs act as a good hedge and safe haven against Cryptocurrency fluctuations?. (2023). S Kumar, Anoop ; Padakandla, Steven Raj. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005032.

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2023Correlation impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005482.

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2023The role of interpersonal trust in cryptocurrency adoption. (2023). Yarovaya, Larisa ; Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122001871.

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2023Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561.

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2023Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables. (2023). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x23000106.

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2023Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching. (2023). Karabayeva, Zhnsaya ; Oskenbayev, Yessengali ; Umair, Muhammad ; Yu, Mengyan. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005974.

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2023Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets. (2023). Vo, Xuan Vinh ; Al-Yahyaee, Khamis Hamed ; Maitra, Debasish ; Ur, Mobeen ; Mensi, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:139-157.

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2024Green cryptocurrencies and portfolio diversification in the era of greener paths. (2024). Sensoy, Ahmet ; Khurram, Muhammad Usman ; Ali, Fahad ; Vo, Xuan Vinh. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:191:y:2024:i:c:s1364032123009954.

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2023Comovement and instability in cryptocurrency markets. (2023). De Pace, Pierangelo ; Rao, Jayant. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:173-200.

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2024The influence of the bank–firm relationship on enterprises’ technological innovation efficiency: Evidence from China. (2024). Chen, GE ; Du, Shanxing ; Yin, Lei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1583-1600.

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2024Are markets sentiment driving the price bubbles in the virtual?. (2024). Guesmi, Khaled ; Galariotis, Emilios ; ben Osman, Myriam ; Naoui, Kamel ; Hamdi, Haykel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:272-285.

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2024Detecting and date-stamping bubbles in fan tokens. (2024). Demir, Ender ; Ersan, Oguz ; Assaf, Ata. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:98-113.

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2023The economics of art: price determinants and returns on investment in Indian paintings. (2023). Ananthakumar, Usha ; Gurjar, Shailendra. In: International Journal of Social Economics. RePEc:eme:ijsepp:ijse-06-2022-0419.

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2023Global Financial Market Integration: A Literature Survey. (2023). Haddad, Sama. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:495-:d:1288478.

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2023Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?. (2023). Loukil, Sahar ; Jeribi, Ahmed ; Kayral, Ihsan Erdem. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:222-:d:1114375.

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2023Environmental, Social, and Governance Considerations in WTI Financialization through Energy Funds. (2023). Beach, Steven ; Nazlioglu, Saban ; Gormus, Alper. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:231-:d:1117640.

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2024Impact of Water Management Policies on Volatility Transmission in the Energy Sector. (2024). Harrell, Katharine ; Gormus, Elif. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:175-:d:1381163.

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2023.

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2023.

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2024On the dependence structure of European vegetable oil markets. (2023). Gohin, Alexandre ; Bagnarosa, Guillaume ; Menier, Romain. In: Post-Print. RePEc:hal:journl:hal-04523660.

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2023CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5.

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2023Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets. (2023). Maurer, Frantz ; Tzagkarakis, George. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10300-3.

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2024The wrong skewness problem in stochastic frontier analysis: a review. (2024). Papadopoulos, Alecos ; Parmeter, Christopher F. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:61:y:2024:i:2:d:10.1007_s11123-023-00708-w.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

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2023Testing for parameter change epochs in GARCH time series. (2023). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:3:p:467-491..

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2023Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8.

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2023The noise error component in stochastic frontier analysis. (2023). Papadopoulos, Alecos. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02339-w.

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2023An alternative corrected ordinary least squares estimator for the stochastic frontier model. (2023). Zhao, Shirong ; Parmeter, Christopher F. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02401-1.

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2023Weighted-indexed semi-Markov model: calibration and application to financial modeling. (2023). de Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00418-6.

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2023Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality. (2023). Gherghina, Ştefan ; Simionescu, Liliana Nicoleta. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00430-w.

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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: LIDAM Discussion Papers ISBA.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
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2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
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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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2013Local government efficiency: The case of Moroccan municipalities.(2013) In: LIDAM Discussion Papers ISBA.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: LIDAM Reprints ISBA.
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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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2010On the estimation of dynamic conditional correlation models In: LIDAM Discussion Papers ISBA.
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2012On the estimation of dynamic conditional correlation models.(2012) In: LIDAM Reprints ISBA.
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2012On the estimation of dynamic conditional correlation models.(2012) In: Computational Statistics & Data Analysis.
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2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011On heterogeneous latent class models with applications to the analysis of rating scores In: LIDAM Discussion Papers ISBA.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: LIDAM Reprints ISBA.
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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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2011Econometric analysis of volatile art markets In: LIDAM Discussion Papers ISBA.
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2012Econometric analysis of volatile art markets.(2012) In: LIDAM Reprints ISBA.
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2011Econometric analysis of volatile art markets.(2011) In: LIDAM Discussion Papers CORE.
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2012Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis.
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2011Asymmetries in Business Cycles and the Role of Oil Production In: LIDAM Discussion Papers ISBA.
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2011Volatility Models In: LIDAM Discussion Papers ISBA.
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2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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2012Volatility of price indices for heterogeneous goods In: LIDAM Discussion Papers ISBA.
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2012Inference in stochastic frontier analysis with dependent error terms In: LIDAM Discussion Papers ISBA.
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: LIDAM Reprints ISBA.
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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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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2013Fair re-valuation of wine as an investment In: LIDAM Discussion Papers ISBA.
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2015Fair Revaluation of Wine as an Investment.(2015) In: LIDAM Reprints ISBA.
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2013Fair re-valuation of wine as an investment.(2013) In: LIDAM Discussion Papers CORE.
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2015Fair Revaluation of Wine as an Investment*.(2015) In: Journal of Wine Economics.
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2013An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA.
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2013Support Vector Machines with Evolutionary Feature Selection for Default Prediction In: LIDAM Discussion Papers ISBA.
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2013The €œwrong skewness€Ω problem in stochastic frontier models: A new approach In: LIDAM Discussion Papers ISBA.
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2013Macroeconomic news surprises and volatility spillover in foreign exchange markets In: LIDAM Discussion Papers ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: LIDAM Reprints ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: Empirical Economics.
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2014A note on the Tobit model in the presence of a duration variable In: LIDAM Discussion Papers ISBA.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints ISBA.
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2014A note on the Tobit model in the presence of a duration variable.(2014) In: LIDAM Discussion Papers CORE.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints CORE.
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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: LIDAM Discussion Papers ISBA.
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2015A simple model for now-casting volatility series.(2015) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints ISBA.
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2014A simple model for now-casting volatility series.(2014) In: LIDAM Discussion Papers CORE.
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2016A Simple Model for Now-Casting Volatility Series.(2016) In: LIDAM Discussion Papers CORE.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints CORE.
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2016A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting.
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2015The effect of additive outliers on a fractional unit root test In: LIDAM Discussion Papers ISBA.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: LIDAM Reprints ISBA.
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2016The Effect of Additive Outliers on Fractional Unit Root Tests.(2016) In: LIDAM Reprints CORE.
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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 augmented Taylor rule for the Federal Reserve€™s response to asset prices In: LIDAM Discussion Papers ISBA.
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2016An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA.
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2017An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA.
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2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
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2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
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2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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2016Heterogeneous Liquidity Effects in Corporate Bond Spreads In: LIDAM Discussion Papers ISBA.
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2017Heterogeneous Liquidity Effects in Corporate Bond Spreads.(2017) In: LIDAM Reprints ISBA.
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2017On asymptotic theory for ARCH(infinite) models In: LIDAM Discussion Papers ISBA.
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2017On Asymptotic Theory for ARCH (infinity) Models.(2017) In: LIDAM Reprints ISBA.
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2016On Asymptotic Theory for ARCH(infinite) Models.(2016) In: LIDAM Discussion Papers CORE.
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2017On asymptotic theory for ARCH([infinite]) models.(2017) In: LIDAM Reprints CORE.
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2017Asymmetries in Business Cycles and the Role of Oil Prices In: LIDAM Discussion Papers ISBA.
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2019Asymmetries in Business Cycles and the Role of Oil Prices.(2019) In: LIDAM Reprints ISBA.
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2019ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES.(2019) In: Macroeconomic Dynamics.
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2020Dynamic score driven independent component analysis In: LIDAM Discussion Papers ISBA.
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2022Dynamic score driven independent component analysis.(2022) In: LIDAM Reprints ISBA.
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2020Dynamic portfolio selection with sector-specific regularization In: LIDAM Discussion Papers ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints LFIN.
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2021Teaching statistical inference without normality In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Cambridge Working Papers in Economics.
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2010Locally Stationary Factor Models: Identification And Nonparametric Estimation In: LIDAM Reprints ISBA.
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2011Locally Stationary Factor Models: Identification And Nonparametric Estimation.(2011) In: LIDAM Reprints ISBA.
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2011LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION.(2011) In: Econometric Theory.
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2010Deciding between GARCH and Stochastic Volatility via Strong Decision Rules In: LIDAM Reprints ISBA.
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2006Deciding between GARCH and stochastic volatility via strong decision rules.(2006) In: LIDAM Discussion Papers CORE.
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2010Efficient estimation of a semiparametric dynamic copula model In: LIDAM Reprints ISBA.
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2010Efficient estimation of a semiparametric dynamic copula model.(2010) In: Computational Statistics & Data Analysis.
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2011Estimating autocorrelations in the presence of deterministic trends In: LIDAM Reprints ISBA.
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2011Estimating Autocorrelations in the Presence of Deterministic Trends.(2011) In: Journal of Time Series Econometrics.
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2008Estimating autocorrelations in the presence of deterministic trends.(2008) In: LIDAM Discussion Papers CORE.
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2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
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2011The euro introduction and noneuro currencies.(2011) 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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2011Multivariate Time Series Models for Asset Prices In: LIDAM Reprints ISBA.
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2012Dynamic stochastic copula models: Estimation, inference and applications In: LIDAM Reprints ISBA.
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2008Dynamic stochastic copula models: estimation, inference and applications.(2008) 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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2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series In: LIDAM Reprints ISBA.
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2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series.(2012) In: Journal of Applied Statistics.
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2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
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2014Support Vector Machines with Evolutionary Model Selection for Default Prediction In: LIDAM Reprints ISBA.
[Citation analysis]		paper1
2014A One Line Derivation of EGARCH In: LIDAM Reprints ISBA.
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2014A One Line Derivation of EGARCH.(2014) In: Working Papers in Economics.
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2014A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Econometrics.
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2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers.
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2014The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case In: LIDAM Reprints ISBA.
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2015An ARCH model without intercept In: LIDAM Reprints ISBA.
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2015An ARCH Model Without Intercept.(2015) In: LIDAM Reprints CORE.
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2015An ARCH model without intercept.(2015) In: Economics Letters.
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2015Volatility of price indices for heterogenous goods with applications to the fine art market In: LIDAM Reprints ISBA.
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2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: LIDAM Reprints CORE.
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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: LIDAM Reprints ISBA.
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2017An augmented Taylor rule for the Federal Reserves response to asset prices.(2017) In: LIDAM Reprints CORE.
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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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2018A simple solution of the spurious regression problem In: LIDAM Reprints ISBA.
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2018A simple solution of the spurious regression problem.(2018) In: Studies in Nonlinear Dynamics & Econometrics.
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2018Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility In: LIDAM Reprints ISBA.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Discussion Papers CORE.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Reprints CORE.
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2020Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility.(2020) In: Journal of Financial Econometrics.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: IRTG 1792 Discussion Papers.
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2019Sentiment-Induced Bubbles in the Cryptocurrency Market In: LIDAM Reprints ISBA.
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2019Sentiment-Induced Bubbles in the Cryptocurrency Market.(2019) In: JRFM.
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2019Looking Backward and Looking Forward In: LIDAM Reprints ISBA.
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2016Looking Backward and Looking Forward.(2016) In: LIDAM Discussion Papers CORE.
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2019Looking backward and looking forward.(2019) In: LIDAM Reprints CORE.
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2019Looking Backward and Looking Forward.(2019) In: Econometrics.
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2020Estimation of a multiplicative correlation structure in the large dimensional case In: LIDAM Reprints ISBA.
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2018Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case.(2018) In: Cambridge Working Papers in Economics.
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2020Estimation of a multiplicative correlation structure in the large dimensional case.(2020) In: Journal of Econometrics.
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2020Exponential-Type GARCH Models With Linear-in-Variance Risk Premium In: LIDAM Reprints ISBA.
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2019Exponential-type GARCH models with linear-in-variance risk premium.(2019) In: LIDAM Discussion Papers CORE.
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2021Exponential-Type GARCH Models With Linear-in-Variance Risk Premium.(2021) In: Journal of Business & Economic Statistics.
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2018Monthly art market returns.(2018) In: LIDAM Discussion Papers CORE.
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2020Identification of structural multivariate GARCH models In: LIDAM Reprints ISBA.
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2018Identification of structural multivariate GARCH models.(2018) In: LIDAM Discussion Papers CORE.
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2022Identification of structural multivariate GARCH models.(2022) In: Journal of Econometrics.
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2022Time-Varying Mixture Copula Models with Copula Selection In: LIDAM Reprints ISBA.
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2019Time-Varying Mixture Copula Models with Copula Selection.(2019) In: Working Papers.
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