21
H index
39
i10 index
1400
Citations
Christian Matthias Hafner : Citation Profile
Université Catholique de Louvain | RESEARCH PRODUCTION: 68 Articles 186 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1995 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Matthias Hafner. | Is cited by:
| Cites to:
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Main data
Where Christian Matthias Hafner has published?
Recent works citing Christian Matthias Hafner (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Detecting 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. Full description at Econpapers || Download paper |
| 2023 | Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240. Full description at Econpapers || Download paper |
| 2023 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper |
| 2023 | Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010. Full description at Econpapers || Download paper |
| 2023 | Bayesian 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. Full description at Econpapers || Download paper |
| 2023 | Cryptocurrency co-investment network: token returns reflect investment patterns. (2023). Alessandretti, Laura ; Bartolucci, Silvia ; Mungo, Luca. In: Papers. RePEc:arx:papers:2301.02027. Full description at Econpapers || Download paper |
| 2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper |
| 2023 | Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778. Full description at Econpapers || Download paper |
| 2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Realized 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper |
| 2023 | Financial Sector Troubles and Energy Markets. (2023). Soytas, Ugur ; Gormus, Alper. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-40. Full description at Econpapers || Download paper |
| 2023 | Multivariate distributional stochastic frontier models. (2023). Kneib, Thomas ; Schmidt, Rouven. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:187:y:2023:i:c:s016794732300107x. Full description at Econpapers || Download paper |
| 2023 | Bayesian 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. Full description at Econpapers || Download paper |
| 2023 | Point 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. Full description at Econpapers || Download paper |
| 2023 | Rational 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Sequential 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. Full description at Econpapers || Download paper |
| 2023 | Inter-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. Full description at Econpapers || Download paper |
| 2023 | Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426. Full description at Econpapers || Download paper |
| 2023 | Nonparametric 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Testing 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. Full description at Econpapers || Download paper |
| 2023 | Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204. Full description at Econpapers || Download paper |
| 2023 | Testing 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. Full description at Econpapers || Download paper |
| 2023 | Feasible 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. Full description at Econpapers || Download paper |
| 2023 | Networks 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. Full description at Econpapers || Download paper |
| 2023 | Implicit Copulas: An Overview. (2023). Smith, Michael Stanley. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:81-104. Full description at Econpapers || Download paper |
| 2023 | Unrestricted 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. Full description at Econpapers || Download paper |
| 2023 | Dynamic 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Structural 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. Full description at Econpapers || Download paper |
| 2023 | Modeling 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Risk 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. Full description at Econpapers || Download paper |
| 2023 | Do 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Forecasting 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. Full description at Econpapers || Download paper |
| 2023 | Statistical 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. Full description at Econpapers || Download paper |
| 2023 | Frequency 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. Full description at Econpapers || Download paper |
| 2023 | Comovement 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Global Financial Market Integration: A Literature Survey. (2023). Haddad, Sama. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:495-:d:1288478. Full description at Econpapers || Download paper |
| 2023 | Are 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. Full description at Econpapers || Download paper |
| 2023 | Environmental, 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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | CO2 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. Full description at Econpapers || Download paper |
| 2023 | Horizon-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. Full description at Econpapers || Download paper |
| 2023 | Bayesian 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. Full description at Econpapers || Download paper |
| 2023 | Time-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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | An 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. Full description at Econpapers || Download paper |
| 2023 | Weighted-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. Full description at Econpapers || Download paper |
| 2023 | Exploring 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. Full description at Econpapers || Download paper |
| 2023 | A model-free approach to do long-term volatility forecasting and its variants. (2023). Karmakar, Sayar ; Wu, Kejin. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00466-6. Full description at Econpapers || Download paper |
| 2023 | Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances. (2023). Galan-Valdivieso, Federico ; Huete-Morales, Maria-Dolores ; Villar-Rubio, Elena. In: Journal of Environmental Studies and Sciences. RePEc:spr:jenvss:v:13:y:2023:i:3:d:10.1007_s13412-023-00838-5. Full description at Econpapers || Download paper |
| 2023 | Considering the temporal interdependence of human mobility and COVID-19 concerning Indonesia’s large-scale social distancing policies. (2023). Adlin, Falah Novayanda ; Primandari, Arum Handini ; Ahdika, Atina. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01497-4. Full description at Econpapers || Download paper |
| 2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper |
| 2023 | Time?varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data. (2023). Rojas, Omar ; Nazlioglu, Saban ; Gupta, Rangan ; Coronado, Semei. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2239-2247. Full description at Econpapers || Download paper |
| 2023 | Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage. (2023). Stasinakis, Charalampos ; Sermpinis, Georgios ; Wei, Mingzhe. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:852-871. Full description at Econpapers || Download paper |
| 2023 | Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929. Full description at Econpapers || Download paper |
Works by Christian Matthias Hafner:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Local Government Efficiency: The Case of Moroccan Municipalities In: African Development Review. [Citation analysis] | article | 6 |
| 2013 | Local government efficiency: The case of Moroccan municipalities.(2013) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2014 | Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2014 | Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2008 | Testing for Causality in Variance Usinf Multivariate GARCH Models In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 52 |
| 2004 | Testing for causality in variance using multivariate GARCH models.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2004 | Testing for Causality in Variance using Multivariate GARCH Models.(2004) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2010 | On the estimation of dynamic conditional correlation models In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 52 |
| 2012 | On the estimation of dynamic conditional correlation models.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2012 | On the estimation of dynamic conditional correlation models.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
| 2011 | Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 51 |
| 2011 | Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2013 | Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2011 | Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2013 | MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
| 2011 | On heterogeneous latent class models with applications to the analysis of rating scores In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 3 |
| 2014 | On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2011 | On heterogeneous latent class models with applications to the analysis of rating scores.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2014 | On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: Computational Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2011 | Econometric analysis of volatile art markets In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 10 |
| 2012 | Econometric analysis of volatile art markets.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2011 | Econometric analysis of volatile art markets.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2012 | Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2011 | Econometric analysis of volatile art markets.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2011 | Asymmetries in Business Cycles and the Role of Oil Production In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Volatility Models In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 25 |
| 2012 | Volatility Models.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2011 | Volatility models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2012 | Volatility of price indices for heterogeneous goods In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Volatility of price indices for heterogeneous goods.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2012 | Inference in stochastic frontier analysis with dependent error terms In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 9 |
| 2014 | Inference in stochastic frontier analysis with dependent error terms.(2014) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2014 | Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2014 | Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2013 | Fair re-valuation of wine as an investment In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 11 |
| 2015 | Fair Revaluation of Wine as an Investment.(2015) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2013 | Fair re-valuation of wine as an investment.(2013) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2015 | Fair Revaluation of Wine as an Investment*.(2015) In: Journal of Wine Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2013 | Fair re-valuation of wine as an investment.(2013) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2013 | An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Support Vector Machines with Evolutionary Feature Selection for Default Prediction In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Support Vector Machines with Evolutionary Feature Selection for Default Prediction.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2013 | The “wrong skewness� problem in stochastic frontier models: A new approach In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 4 |
| 2015 | The “wrong skewness� problem in stochastic frontier models: A new approach.(2015) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2018 | The “wrong skewness� problem in stochastic frontier models: A new approach.(2018) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2013 | Macroeconomic news surprises and volatility spillover in foreign exchange markets In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 15 |
| 2015 | Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2015 | Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2014 | A note on the Tobit model in the presence of a duration variable In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 1 |
| 2015 | A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2014 | A note on the Tobit model in the presence of a duration variable.(2014) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2015 | A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2015 | A note on the Tobit model in the presence of a duration variable.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2014 | A simple model for now-casting volatility series In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 5 |
| 2015 | A simple model for now-casting volatility series.(2015) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | A simple model for now-casting volatility series.(2016) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | A simple model for now-casting volatility series.(2016) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | A simple model for now-casting volatility series.(2014) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | A Simple Model for Now-Casting Volatility Series.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | A simple model for now-casting volatility series.(2016) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2015 | The effect of additive outliers on a fractional unit root test In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2016 | The effect of additive outliers on a fractional unit root test.(2016) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | The Effect of Additive Outliers on Fractional Unit Root Tests.(2016) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | The effect of additive outliers on a fractional unit root test.(2016) In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | An augmented Taylor rule for the Federal Reserve’s response to asset prices In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 1 |
| 2016 | An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 11 |
| 2017 | An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2013 | An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2017 | An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2017 | AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2016 | Heterogeneous Liquidity Effects in Corporate Bond Spreads In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Heterogeneous Liquidity Effects in Corporate Bond Spreads.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | On asymptotic theory for ARCH(infinite) models In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2017 | On Asymptotic Theory for ARCH (infinity) Models.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | On Asymptotic Theory for ARCH(infinite) Models.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | On asymptotic theory for ARCH([infinite]) models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Asymmetries in Business Cycles and the Role of Oil Prices In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Asymmetries in Business Cycles and the Role of Oil Prices.(2019) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES.(2019) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | Dynamic score driven independent component analysis In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Dynamic score driven independent component analysis.(2022) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Dynamic portfolio selection with sector-specific regularization In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Teaching statistical inference without normality In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2010 | Locally Stationary Factor Models: Identification And Nonparametric Estimation In: LIDAM Reprints ISBA. [Citation analysis] | paper | 20 |
| 2011 | Locally Stationary Factor Models: Identification And Nonparametric Estimation.(2011) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2011 | LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2010 | Deciding between GARCH and Stochastic Volatility via Strong Decision Rules In: LIDAM Reprints ISBA. [Citation analysis] | paper | 10 |
| 2006 | Deciding between GARCH and stochastic volatility via strong decision rules.(2006) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2010 | Efficient estimation of a semiparametric dynamic copula model In: LIDAM Reprints ISBA. [Citation analysis] | paper | 28 |
| 2010 | Efficient estimation of a semiparametric dynamic copula model.(2010) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
| 2011 | Estimating autocorrelations in the presence of deterministic trends In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2011 | Estimating Autocorrelations in the Presence of Deterministic Trends.(2011) In: Journal of Time Series Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2008 | Estimating autocorrelations in the presence of deterministic trends.(2008) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2011 | The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA. [Citation analysis] | paper | 7 |
| 2006 | The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2011 | Multivariate Time Series Models for Asset Prices In: LIDAM Reprints ISBA. [Citation analysis] | paper | 1 |
| 2012 | Dynamic stochastic copula models: Estimation, inference and applications In: LIDAM Reprints ISBA. [Citation analysis] | paper | 70 |
| 2008 | Dynamic stochastic copula models: estimation, inference and applications.(2008) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
| 2012 | Dynamic stochastic copula models: estimation, inference and applications.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 70 | article | |
| 2012 | Cross-correlating wavelet coefficients with applications to high-frequency financial time series In: LIDAM Reprints ISBA. [Citation analysis] | paper | 3 |
| 2012 | Cross-correlating wavelet coefficients with applications to high-frequency financial time series.(2012) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2013 | Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA. [Citation analysis] | paper | 7 |
| 2014 | Support Vector Machines with Evolutionary Model Selection for Default Prediction In: LIDAM Reprints ISBA. [Citation analysis] | paper | 1 |
| 2014 | A One Line Derivation of EGARCH In: LIDAM Reprints ISBA. [Citation analysis] | paper | 74 |
| 2014 | A One Line Derivation of EGARCH.(2014) In: Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | paper | |
| 2014 | A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | paper | |
| 2014 | A One Line Derivation of EGARCH.(2014) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | article | |
| 2014 | A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | paper | |
| 2014 | The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2015 | An ARCH model without intercept In: LIDAM Reprints ISBA. [Citation analysis] | paper | 4 |
| 2015 | An ARCH Model Without Intercept.(2015) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2015 | An ARCH model without intercept.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2015 | Volatility of price indices for heterogenous goods with applications to the fine art market In: LIDAM Reprints ISBA. [Citation analysis] | paper | 6 |
| 2015 | Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2015 | Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2017 | An augmented Taylor rule for the Federal Reserves response to asset prices In: LIDAM Reprints ISBA. [Citation analysis] | paper | 3 |
| 2017 | An augmented Taylor rule for the Federal Reserves response to asset prices.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2017 | An augmented Taylor rule for the Federal Reserves response to asset prices.(2017) In: International Journal of Computational Economics and Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | A simple solution of the spurious regression problem In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2018 | A simple solution of the spurious regression problem.(2018) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility In: LIDAM Reprints ISBA. [Citation analysis] | paper | 75 |
| 2018 | Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2018 | Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2020 | Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility.(2020) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | article | |
| 2018 | Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2019 | Sentiment-Induced Bubbles in the Cryptocurrency Market In: LIDAM Reprints ISBA. [Citation analysis] | paper | 21 |
| 2019 | Sentiment-Induced Bubbles in the Cryptocurrency Market.(2019) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2019 | Looking Backward and Looking Forward In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
| 2016 | Looking Backward and Looking Forward.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2019 | Looking backward and looking forward.(2019) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2019 | Looking Backward and Looking Forward.(2019) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Estimation of a multiplicative correlation structure in the large dimensional case In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
| 2018 | Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case.(2018) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Estimation of a multiplicative correlation structure in the large dimensional case.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Exponential-Type GARCH Models With Linear-in-Variance Risk Premium In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
| 2019 | Exponential-type GARCH models with linear-in-variance risk premium.(2019) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Exponential-Type GARCH Models With Linear-in-Variance Risk Premium.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Monthly Art Market Returns In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
| 2018 | Monthly art market returns.(2018) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Monthly Art Market Returns.(2020) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | The Spread of the Covid-19 Pandemic in Time and Space In: LIDAM Reprints ISBA. [Citation analysis] | paper | 11 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | ||
| 2020 | Identification of structural multivariate GARCH models In: LIDAM Reprints ISBA. [Citation analysis] | paper | 10 |
| 2018 | Identification of structural multivariate GARCH models.(2018) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2022 | Identification of structural multivariate GARCH models.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2022 | Time-Varying Mixture Copula Models with Copula Selection In: LIDAM Reprints ISBA. [Citation analysis] | paper | 1 |
| 2021 | Time-Varying Mixture Copula Models with Copula Selection.(2021) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | Time-Varying Mixture Copula Models with Copula Selection.(2019) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | Panel stochastic frontier analysis with dependent error terms In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2022 | Semiparametric estimation and variable selection for single-index copula models In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
| 2021 | Semiparametric estimation and variable selection for single?index copula models.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Semiparametric Estimation and Variable Selection for Single-index Copula Models.(2019) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | Semiparametric Estimation and Variable Selection for Single-index Copula Models.(2018) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | A dynamic conditional score model for the log correlation matrix In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2022 | A dynamic conditional score model for the log correlation matrix.(2022) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | A dynamic conditional score model for the log correlation matrix.(2019) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Reconciling negative return skewness with positive time-varying risk premia In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2022 | Reconciling negative return skewness with positive time-varying risk premia.(2022) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2022 | Investing in superheroes? Comic art as a new alternative investment In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2019 | Investing in superheroes? Comic art as a new alternative investment.(2019) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Analysis of cryptocurrency connectedness based on network to transaction volume ratios In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
| 2022 | Analysis of cryptocurrency connectedness based on network to transaction volume ratios.(2022) In: Digital Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2006 | Comment In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
| 2008 | Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner In: International Statistical Review. [Full Text][Citation analysis] | article | 0 |
| 2004 | Nonparametric multistep?ahead prediction in time series analysis In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 12 |
| 2004 | Nonparametric multistep-ahead prediction in time series analysis.(2004) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2017 | On Asymptotic Theory for ARCH (?) Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 1998 | Structural analysis of portfolio risk using beta impulse response functions In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 4 |
| 2005 | Ridge regression revisited In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 1 |
| 2005 | Ridge regression revisited.(2005) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2009 | Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 33 |
| 2016 | Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Estimation of a multiplicative covariance structure in the large dimensional case.(2016) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
| 2014 | A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2009 | Efficient Estimation of a Multivariate Multiplicative Volatility Model In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 40 |
| 2010 | Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
| 2010 | Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 1997 | Discrete time option pricing with flexible volatility estimation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 20 |
| 2000 | Discrete time option pricing with flexible volatility estimation.(2000) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2000 | Discrete time option pricing with flexible volatility estimation.(2000) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 1997 | Discrete time option pricing with flexible volatility estimation.(1997) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 1998 | Volatility impulse response functions for multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 8 |
| 2001 | Volatility impulse response functions for multivariate GARCH models.(2001) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2001 | Fourth moments of multivariate GARCH processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Fourth moments of multivariate GARCH processes.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2003 | Semiparametric multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Estimation of temporally aggregated multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Estimation of temporally aggregated multivariate GARCH models.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2006 | Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 39 |
| 2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2006 | Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | article | |
| 2006 | Asymptotic theory for a factor GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 19 |
| 2009 | ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL.(2009) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
| 2015 | The “wrong skewness” problem in stochastic frontier models: a new approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 10 |
| 2018 | The wrong skewness problem in stochastic frontier models: A new approach.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2018 | The “wrong skewness” problem in stochastic frontier models: A new approach.(2018) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2015 | The wrong skewness problem in stochastic frontier models: A new approach.(2015) In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2005 | Durations, volume and the prediction of financial returns in transaction time In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 11 |
| 2000 | Durations, Volume and the Prediction of Financial Returns in Transaction Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2005 | Durations, volume and the prediction of financial returns in transaction time.(2005) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2007 | SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 36 |
| 2004 | Semiparametric multivariate volatility models.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2004 | Semiparametric multivariate volatility models.(2004) In: Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2004 | Temporal aggregation of multivariate GARCH processes In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 24 |
| 2008 | Temporal aggregation of multivariate GARCH processes.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2004 | Temporal aggregation of multivariate GARCH processes.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2009 | Causality and forecasting in temporally aggregated multivariate GARCH processes In: Econometrics Journal. [Full Text][Citation analysis] | article | 7 |
| 2000 | Testing for linear autoregressive dynamics under heteroskedasticity In: Econometrics Journal. [Citation analysis] | article | 10 |
| 1998 | Testing for linear autoregressive dynamics under heteroskedasticity.(1998) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2006 | A Lagrange multiplier test for causality in variance In: Economics Letters. [Full Text][Citation analysis] | article | 85 |
| 2001 | Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 19 |
| 1999 | Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2006 | Volatility impulse responses for multivariate GARCH models: An exchange rate illustration In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 92 |
| 2009 | On asymptotic theory for multivariate GARCH models In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 62 |
| 2003 | A generalized dynamic conditional correlation model for many asset returns In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 27 |
| 2003 | Simple approximations for option pricing under mean reversion and stochastic volatility In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Simple approximations for option pricing under mean reversion and stochastic volatility.(2003) In: Computational Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2003 | Analytical quasi maximum likelihood inference in multivariate volatility models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 35 |
| 2008 | Analytical quasi maximum likelihood inference in multivariate volatility models.(2008) In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
| 2002 | Testing for vector autoregressive dynamics under heteroskedasticity In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Testing for vector autoregressive dynamics under heteroskedasticity.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2005 | Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2021 | A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms In: International Econometric Review (IER). [Full Text][Citation analysis] | article | 0 |
| 2009 | Information Spillover, Volatility and the Currency Markets for the Binary Choice Model In: International Econometric Review (IER). [Full Text][Citation analysis] | article | 3 |
| 2020 | Alternative Assets and Cryptocurrencies In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2016 | Estimation of a Multiplicative Covariance Structure In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Trending Mixture Copula Models with Copula Selection In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Trending Mixture Copula Models with Copula Selection.(2018) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2003 | Fourth Moment Structure of Multivariate GARCH Models In: The Journal of Financial Econometrics. [Citation analysis] | article | 37 |
| 2011 | The euro introduction and noneuro currencies In: Applied Financial Economics. [Full Text][Citation analysis] | article | 23 |
| 2009 | A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets In: Econometric Reviews. [Full Text][Citation analysis] | article | 55 |
| 2014 | THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 1995 | A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series In: SFB 373 Discussion Papers. [Citation analysis] | paper | 4 |
| 1996 | Foreign Exchange Rates Have Surprising Volatility In: SFB 373 Discussion Papers. [Citation analysis] | paper | 10 |
| 1997 | Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models In: SFB 373 Discussion Papers. [Citation analysis] | paper | 2 |
| 1998 | Flexible stochastic volatility structures for high frequency financial data In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
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