21
H index
38
i10 index
1365
Citations
Université Catholique de Louvain | 21 H index 38 i10 index 1365 Citations RESEARCH PRODUCTION: 68 Articles 186 Papers RESEARCH ACTIVITY:
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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: |
Year | Title of citing document | |
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2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05. Full description at Econpapers || Download paper | |
2022 | Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia ????? ??????? ??? ??? ??????? ????? ????? ?????? ?????? ????. (2022). Saci, Karima. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:35:y:2022:i:1:no:3:p:41-55. Full description at Econpapers || Download paper | |
2021 | Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | On the Effects of the COVID Epidemic on Global and Local Food Access and Availability of Strategic Sectors: Role of Trade and Implications for Policymakers. (2021). Santeramo, Fabio ; Dominguez, Ignacio Perez. In: Commissioned Papers. RePEc:ags:iatrcp:309037. Full description at Econpapers || Download paper | |
2021 | Optimal lockdowns: Analysing the efficiency of sanitary policies in Europe during the first wave. (2021). Michel, Pierre ; Lubrano, Michel ; Gallic, Ewen. In: AMSE Working Papers. RePEc:aim:wpaimx:2111. Full description at Econpapers || Download paper | |
2021 | Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs. (2021). Simar, Leopold ; Wilson, Paul. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021003. Full description at Econpapers || Download paper | |
2021 | Inference in the Nonparametric Stochastic Frontier Model. (2021). Zelenyuk, Valentin ; VanKeilegom, Ingrid ; van Keilegom, Ingrid ; Simar, Leopold ; Parmeter, Christopher F. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021029. Full description at Econpapers || Download paper | |
2022 | DAI Digital Art Index : a robust price index for heterogeneous digital assets. (2022). Härdle, Wolfgang ; Hardle, Wolfgang K ; Hafner, Christian M ; Wang, Bingling ; Lin, Min-Bin. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022036. Full description at Econpapers || Download paper | |
2022 | Asymmetric volatility impulse response functions. (2022). Herwartz, Helmut ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022037. 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 | |
2021 | Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228. Full description at Econpapers || Download paper | |
2021 | Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:1912.09002. Full description at Econpapers || Download paper | |
2021 | Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers || Download paper | |
2021 | A Machine Learning Based Regulatory Risk Index for Cryptocurrencies. (2020). Xe, Taojun ; Hardle, Wolfgang Karl ; Ni, Xinwen. In: Papers. RePEc:arx:papers:2009.12121. Full description at Econpapers || Download paper | |
2021 | Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Tsarev, Alexey ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2012.13937. Full description at Econpapers || Download paper | |
2021 | Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan. In: Papers. RePEc:arx:papers:2101.00251. Full description at Econpapers || Download paper | |
2021 | On Technical Trading and Social Media Indicators in Cryptocurrencies Price Classification Through Deep Learning. (2021). Bartolucci, Silvia ; Destefanis, Giuseppe ; Conversano, Claudio ; Uras, Nicola ; Ortu, Marco. In: Papers. RePEc:arx:papers:2102.08189. Full description at Econpapers || Download paper | |
2021 | Implicit Copulas: An Overview. (2021). Smith, Michael Stanley. In: Papers. RePEc:arx:papers:2109.04718. Full description at Econpapers || Download paper | |
2021 | Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers || Download paper | |
2021 | Bayesian Testing Of Granger Causality In Functional Time Series. (2021). Sikaria, Shubhangi ; Majumdar, Anandamayee ; Sen, Rituparna. In: Papers. RePEc:arx:papers:2112.15315. Full description at Econpapers || Download paper | |
2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
2022 | Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers || Download paper | |
2022 | Predicting the Bubble of Non-Fungible Tokens (NFTs): An Empirical Investigation. (2022). Mogi, Gento ; Shibano, Kyohei ; Ito, Kensuke. In: Papers. RePEc:arx:papers:2203.12587. Full description at Econpapers || Download paper | |
2022 | Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models. (2022). Chava, Sudheer ; Nanda, Vikram ; Rosso, Paolo ; Mittal, Vivek ; Agarwal, Shivam ; Sawhney, Ramit. In: Papers. RePEc:arx:papers:2206.06320. Full description at Econpapers || Download paper | |
2022 | 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 | 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 | 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 | |
2022 | Regularized 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. Full description at Econpapers || Download paper | |
2022 | Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets. (2022). Tsang, Andrew ; Funke, Michael ; Loermann, Julius. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:606-628. Full description at Econpapers || Download paper | |
2022 | Semiparametric estimation and model selection for conditional mixture copula models. (2022). Cai, Zongwu ; Yang, Bingduo ; Long, Wei ; Liu, Guannan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:1:p:287-330. Full description at Econpapers || Download paper | |
2021 | Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7. 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 | |
2021 | Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2. Full description at Econpapers || Download paper | |
2021 | Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112. 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 | |
2022 | Monetary Policy and the Financial Cycle: International Evidence. (2022). Žáček, Jan ; Baxa, Jaromir. In: Working Papers. RePEc:cnb:wpaper:2022/4. Full description at Econpapers || Download paper | |
2021 | Bitcoin and the South Sea Company: A comparative analysis. (2021). Fernandez, Amilcar Orlian ; Demmler, Michael . In: Revista Finanzas y Politica Economica. RePEc:col:000443:019660. Full description at Econpapers || Download paper | |
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05. Full description at Econpapers || Download paper | |
2021 | Window effect with Markov-switching GARCH model in cryptocurrency market. (2021). Wu, Chuanzhen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563. Full description at Econpapers || Download paper | |
2021 | On fiscal and monetary policy-induced macroeconomic volatility dynamics. (2021). Liu, Xiaochun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000580. Full description at Econpapers || Download paper | |
2022 | Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397. 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 | |
2022 | Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?. (2022). Ye, Wuyi ; Jiang, Kunliang. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322002838. 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 | |
2021 | Symbolic transfer entropy test for causality in longitudinal data. (2021). Camacho, Maximo ; Ruiz-Marin, Manuel ; Romeu, Andres. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:649-661. Full description at Econpapers || Download paper | |
2021 | Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether. (2021). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000243. Full description at Econpapers || Download paper | |
2021 | Regime switches and commonalities of the cryptocurrencies asset class. (2021). Figà -Talamanca, Gianna ; Focardi, Sergio ; Figa-Talamanca, Gianna ; Patacca, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000577. Full description at Econpapers || Download paper | |
2021 | A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001443. Full description at Econpapers || Download paper | |
2022 | Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model. (2022). Niu, Rong ; Guo, Fei ; Tian, Maoxi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001528. 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 | |
2021 | When will the Covid-19 pandemic peak?. (2021). Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:1:p:130-157. Full description at Econpapers || Download paper | |
2021 | Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588. Full description at Econpapers || Download paper | |
2021 | The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675. Full description at Econpapers || Download paper | |
2021 | Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343. Full description at Econpapers || Download paper | |
2021 | Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models. (2021). Yi, Yanping ; Huang, Zhuo ; Chen, Xiao Hong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:484-501. Full description at Econpapers || Download paper | |
2021 | New testing approaches for mean–variance predictability. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:516-538. Full description at Econpapers || Download paper | |
2021 | Nonparametric estimation of large covariance matrices with conditional sparsity. (2021). Leng, Chenlei ; Li, Degui ; Peng, Bin ; Wang, Hanchao. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:53-72. Full description at Econpapers || Download paper | |
2021 | Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197. Full description at Econpapers || Download paper | |
2021 | Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87. Full description at Econpapers || Download paper | |
2021 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329. Full description at Econpapers || Download paper | |
2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304. Full description at Econpapers || Download paper | |
2022 | Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346. Full description at Econpapers || Download paper | |
2022 | Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151. 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 | |
2021 | Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94. Full description at Econpapers || Download paper | |
2021 | Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. (2021). Czado, Claudia ; Kreuzer, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:130-150. Full description at Econpapers || Download paper | |
2022 | Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption.. (2022). Dimpfl, Thomas ; Bleher, Johannes. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:1-26. 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 | |
2021 | A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548. Full description at Econpapers || Download paper | |
2021 | Diversification benefits in the cryptocurrency market under mild explosivity. (2021). Arvanitis, Stelios ; Anyfantaki, Sofia ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:378-393. 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 | |
2021 | Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201. Full description at Econpapers || Download paper | |
2021 | Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265. Full description at Econpapers || Download paper | |
2022 | Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148. Full description at Econpapers || Download paper | |
2021 | Do oil-price shocks predict the realized variance of U.S. REITs?. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Epni, Ouzhan ; Bonato, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005429. Full description at Econpapers || Download paper | |
2022 | Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354. Full description at Econpapers || Download paper | |
2022 | Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model. (2022). Yoon, Seong-Min ; Alshater, Muneer M ; Tian, Maoxi. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004704. Full description at Econpapers || Download paper | |
2022 | Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries. (2022). Brooks, Robert ; Mohsen, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Tanin, Tauhidul Islam. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187. 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 | |
2021 | The threat of oil market turmoils to food price stability in Sub-Saharan Africa. (2021). Lange, Alexander ; Herwartz, Helmut ; Dalheimer, Bernhard. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320303698. Full description at Econpapers || Download paper | |
2021 | VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416. Full description at Econpapers || Download paper | |
2021 | Trading volume and stock returns: A meta-analysis. (2021). Bajzik, Josef. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002489. Full description at Econpapers || Download paper | |
2022 | Should investors include green bonds in their portfolios? Evidence for the USA and Europe. (2022). Li, Jie ; Han, Yingwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003136. Full description at Econpapers || Download paper | |
2022 | Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. (2022). Gözgör, Giray ; Marco, Chi Keung ; Elsayed, Ahmed H. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000436. Full description at Econpapers || Download paper | |
2022 | VIX term structure forecasting: New evidence based on the realized semi-variances. (2022). Qiao, Gaoxiu ; Yang, Jiyu ; Jiang, Gongyue. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001600. Full description at Econpapers || Download paper | |
2021 | Cryptocurrencies and the low volatility anomaly. (2021). Rudolf, Markus ; Burggraf, Tobias. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030667x. Full description at Econpapers || Download paper | |
2022 | Interest in cryptocurrencies predicts conditional correlation dynamics. (2022). Chuffart, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956. Full description at Econpapers || Download paper | |
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2017 | On asymptotic theory for ARCH([infinite]) models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
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2010 | Deciding between GARCH and Stochastic Volatility via Strong Decision Rules In: LIDAM Reprints ISBA. [Citation analysis] | paper | 10 |
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2010 | Efficient estimation of a semiparametric dynamic copula model In: LIDAM Reprints ISBA. [Citation analysis] | paper | 28 |
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2008 | Estimating autocorrelations in the presence of deterministic trends.(2008) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another 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 another version. Agregated cites: 7 | paper | |
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2012 | Dynamic stochastic copula models: estimation, inference and applications.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 64 | article | |
2012 | Cross-correlating wavelet coefficients with applications to high-frequency financial time series In: LIDAM Reprints ISBA. [Citation analysis] | paper | 3 |
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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 |
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2015 | An ARCH model without intercept.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has another 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 another 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 another 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 |
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2018 | Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility In: LIDAM Reprints ISBA. [Citation analysis] | paper | 72 |
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2020 | Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility.(2020) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | article | |
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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 another version. Agregated cites: 2 | article | |
2020 | Monthly Art Market Returns In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
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2019 | Time-Varying Mixture Copula Models with Copula Selection.(2019) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
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2019 | Semiparametric Estimation and Variable Selection for Single-index Copula Models.(2019) In: Working Papers. [Citation analysis] This paper has another 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 another 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 another 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 another 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 another 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 another 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 another 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 | 11 |
2004 | Nonparametric multistep-ahead prediction in time series analysis.(2004) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another version. Agregated cites: 20 | paper | |
1998 | Volatility impulse response functions for multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 7 |
2001 | Volatility impulse response functions for multivariate GARCH models.(2001) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | 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 another 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 another 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 another 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 another version. Agregated cites: 39 | paper | |
2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
2006 | Asymptotic theory for a factor GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
2009 | ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL.(2009) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | 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 another 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 another 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 another 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 another 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 another 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 another version. Agregated cites: 36 | paper | |
2004 | Semiparametric multivariate volatility models.(2004) In: Papers. [Full Text][Citation analysis] This paper has another 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 | 23 |
2008 | Temporal aggregation of multivariate GARCH processes.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2004 | Temporal aggregation of multivariate GARCH processes.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | 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 another version. Agregated cites: 10 | paper | |
2006 | A Lagrange multiplier test for causality in variance In: Economics Letters. [Full Text][Citation analysis] | article | 81 |
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 another 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 | 90 |
2009 | On asymptotic theory for multivariate GARCH models In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 59 |
2003 | A generalized dynamic conditional correlation model for many asset returns In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 22 |
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 another 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 another 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 another 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 another 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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