Christian Matthias Hafner : Citation Profile

Are you Christian Matthias Hafner?

Université Catholique de Louvain

21

H index

38

i10 index

1365

Citations

RESEARCH PRODUCTION:

68

Articles

186

Papers

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 50
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 215.    Total self citations: 61 (4.28 %)

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   Permalink: http://citec.repec.org/pha77
   Updated: 2023-08-19    RAS profile: 2022-10-31    
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Relations with other researchers

Works with:

LINTON, OLIVER (8)

Simar, Leopold (6)

Violante, Francesco (4)

Laurent, Sébastien (4)

Lauwers, Alexandre (3)

Wang, Linqi (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Matthias Hafner.

Is cited by:

Chang, Chia-Lin (75)

Caporin, Massimiliano (60)

Bauwens, Luc (26)

Ruiz, Esther (24)

Fengler, Matthias (20)

Fiorentini, Gabriele (20)

Sentana, Enrique (20)

Savva, Christos (18)

Hotta, Luiz (18)

Härdle, Wolfgang (18)

Asai, Manabu (16)

Cites to:

Engle, Robert (76)

Bollerslev, Tim (65)

Drost, Feike C. (36)

Bauwens, Luc (27)

Laurent, Sébastien (19)

Ginsburgh, Victor (17)

Rombouts, Jeroen (17)

LINTON, OLIVER (14)

Sheppard, Kevin (14)

Zakoian, Jean-Michel (11)

Nijman, Theo (11)

Main data

Where Christian Matthias Hafner has published?

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

Working Papers Series with more than one paper published# docs
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)51
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)30
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes10
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany6
IRTG 1792 Discussion Papers / Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"3
Tinbergen Institute Discussion Papers / Tinbergen Institute3
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University2
Post-Print / HAL2
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2

Recent works citing Christian Matthias Hafner (2022 and 2021)

YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2022Modelling 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.

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2021Time-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.

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2021.

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2023.

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2021.

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2021On 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.

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2021Optimal 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.

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2021Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs. (2021). Simar, Leopold ; Wilson, Paul. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021003.

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2021Inference 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.

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2022DAI 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.

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2022Asymmetric volatility impulse response functions. (2022). Herwartz, Helmut ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022037.

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

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

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2021Regularized 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.

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2021Modelling 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.

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2021A Machine Learning Based Regulatory Risk Index for Cryptocurrencies. (2020). Xe, Taojun ; Hardle, Wolfgang Karl ; Ni, Xinwen. In: Papers. RePEc:arx:papers:2009.12121.

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2021Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Tsarev, Alexey ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2012.13937.

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2021Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan. In: Papers. RePEc:arx:papers:2101.00251.

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2021On 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.

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2021Implicit Copulas: An Overview. (2021). Smith, Michael Stanley. In: Papers. RePEc:arx:papers:2109.04718.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2021Bayesian Testing Of Granger Causality In Functional Time Series. (2021). Sikaria, Shubhangi ; Majumdar, Anandamayee ; Sen, Rituparna. In: Papers. RePEc:arx:papers:2112.15315.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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

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2022Predicting the Bubble of Non-Fungible Tokens (NFTs): An Empirical Investigation. (2022). Mogi, Gento ; Shibano, Kyohei ; Ito, Kensuke. In: Papers. RePEc:arx:papers:2203.12587.

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2022Cryptocurrency 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.

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

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

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

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

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

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

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

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

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2022Volatility 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.

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2022Semiparametric 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.

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2021Simple 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.

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

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2021Outliers 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.

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2021Augmented 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.

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

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2022Monetary Policy and the Financial Cycle: International Evidence. (2022). Žáček, Jan ; Baxa, Jaromir. In: Working Papers. RePEc:cnb:wpaper:2022/4.

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2021Bitcoin and the South Sea Company: A comparative analysis. (2021). Fernandez, Amilcar Orlian ; Demmler, Michael . In: Revista Finanzas y Politica Economica. RePEc:col:000443:019660.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

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2021Window 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.

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2021On 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.

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2022Directed 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.

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

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

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2022Does 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.

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

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2021Symbolic 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.

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2021Is 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.

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2021Regime 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.

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2021A 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.

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2022Risk 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.

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

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

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2021When 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.

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2021Estimation 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.

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2021The 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.

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2021Time-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.

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2021Efficient 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.

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2021New 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.

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2021Nonparametric 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.

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2021Simple 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.

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2021Boosting 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.

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2021Adaptive 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.

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2022Realized 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.

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2022Maximum 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.

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2022Functional 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.

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

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

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

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2023Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204.

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2021Multivariate 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.

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2021Bayesian 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.

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2022Knitting 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.

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

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2021A 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.

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2021Diversification 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.

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

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2021Forecasting 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.

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2021Volatility 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.

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2022Do 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.

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2021Do 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.

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2022Does 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.

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2022Dynamic 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.

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2022Risk 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.

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

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

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2021The 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.

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2021VCRIX — 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.

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2021Trading 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.

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2022Should 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.

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2022Risk 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.

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2022VIX 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.

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2021Cryptocurrencies and the low volatility anomaly. (2021). Rudolf, Markus ; Burggraf, Tobias. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030667x.

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2022Interest in cryptocurrencies predicts conditional correlation dynamics. (2022). Chuffart, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956.

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More than 100 citations found, this list is not complete...

Works by Christian Matthias Hafner:

YearTitleTypeCited
2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
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2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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2014Local Government Efficiency: The Case of Moroccan Municipalities In: African Development Review.
[Citation analysis]		article6
2013Local government efficiency: The case of Moroccan municipalities.(2013) In: LIDAM Discussion Papers ISBA.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: LIDAM Reprints ISBA.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review.
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2008Testing for Causality in Variance Usinf Multivariate GARCH Models In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article51
2004Testing for causality in variance using multivariate GARCH models.(2004) In: Econometric Institute Research Papers.
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2004Testing for Causality in Variance using Multivariate GARCH Models.(2004) In: Economics Working Papers.
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2010On the estimation of dynamic conditional correlation models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper52
2012On the estimation of dynamic conditional correlation models.(2012) In: LIDAM Reprints ISBA.
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2012On the estimation of dynamic conditional correlation models.(2012) In: Computational Statistics & Data Analysis.
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2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper51
2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011On heterogeneous latent class models with applications to the analysis of rating scores In: LIDAM Discussion Papers ISBA.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: LIDAM Reprints ISBA.
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2011On heterogeneous latent class models with applications to the analysis of rating scores.(2011) In: SFB 649 Discussion Papers.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: Computational Statistics.
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2011Econometric analysis of volatile art markets In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper9
2012Econometric analysis of volatile art markets.(2012) In: LIDAM Reprints ISBA.
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This paper has another version. Agregated cites: 9		paper
2011Econometric analysis of volatile art markets.(2011) In: LIDAM Discussion Papers CORE.
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2012Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis.
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2011Econometric analysis of volatile art markets.(2011) In: SFB 649 Discussion Papers.
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2011Asymmetries in Business Cycles and the Role of Oil Production In: LIDAM Discussion Papers ISBA.
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2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper25
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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2012Volatility of price indices for heterogeneous goods In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper2
2012Volatility of price indices for heterogeneous goods.(2012) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2012Inference in stochastic frontier analysis with dependent error terms In: LIDAM Discussion Papers ISBA.
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: LIDAM Reprints ISBA.
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2013Fair re-valuation of wine as an investment In: LIDAM Discussion Papers ISBA.
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2015Fair Revaluation of Wine as an Investment.(2015) In: LIDAM Reprints ISBA.
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2013Fair re-valuation of wine as an investment.(2013) In: LIDAM Discussion Papers CORE.
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2015Fair Revaluation of Wine as an Investment*.(2015) In: Journal of Wine Economics.
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2013Fair re-valuation of wine as an investment.(2013) In: SFB 649 Discussion Papers.
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2013An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper5
2013Support Vector Machines with Evolutionary Feature Selection for Default Prediction In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper3
2012Support Vector Machines with Evolutionary Feature Selection for Default Prediction.(2012) In: SFB 649 Discussion Papers.
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2013The “wrong skewness� problem in stochastic frontier models: A new approach In: LIDAM Discussion Papers ISBA.
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2015The “wrong skewness� problem in stochastic frontier models: A new approach.(2015) In: LIDAM Discussion Papers ISBA.
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2018The “wrong skewness� problem in stochastic frontier models: A new approach.(2018) In: LIDAM Reprints ISBA.
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2013Macroeconomic news surprises and volatility spillover in foreign exchange markets In: LIDAM Discussion Papers ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: LIDAM Reprints ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: Empirical Economics.
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2014A note on the Tobit model in the presence of a duration variable In: LIDAM Discussion Papers ISBA.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints ISBA.
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2014A note on the Tobit model in the presence of a duration variable.(2014) In: LIDAM Discussion Papers CORE.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints CORE.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: Economics Letters.
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2014A simple model for now-casting volatility series In: LIDAM Discussion Papers ISBA.
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2015A simple model for now-casting volatility series.(2015) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints ISBA.
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2014A simple model for now-casting volatility series.(2014) In: LIDAM Discussion Papers CORE.
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2016A Simple Model for Now-Casting Volatility Series.(2016) In: LIDAM Discussion Papers CORE.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints CORE.
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2016A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting.
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2015The effect of additive outliers on a fractional unit root test In: LIDAM Discussion Papers ISBA.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: LIDAM Reprints ISBA.
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2016The Effect of Additive Outliers on Fractional Unit Root Tests.(2016) In: LIDAM Reprints CORE.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: AStA Advances in Statistical Analysis.
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2015An augmented Taylor rule for the Federal Reserve’s response to asset prices In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper1
2016An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA.
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2017An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA.
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2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
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2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
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2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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2016Heterogeneous Liquidity Effects in Corporate Bond Spreads In: LIDAM Discussion Papers ISBA.
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2017Heterogeneous Liquidity Effects in Corporate Bond Spreads.(2017) In: LIDAM Reprints ISBA.
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2017On asymptotic theory for ARCH(infinite) models In: LIDAM Discussion Papers ISBA.
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2017On Asymptotic Theory for ARCH (infinity) Models.(2017) In: LIDAM Reprints ISBA.
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2016On Asymptotic Theory for ARCH(infinite) Models.(2016) In: LIDAM Discussion Papers CORE.
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2017On asymptotic theory for ARCH([infinite]) models.(2017) In: LIDAM Reprints CORE.
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2017Asymmetries in Business Cycles and the Role of Oil Prices In: LIDAM Discussion Papers ISBA.
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2019Asymmetries in Business Cycles and the Role of Oil Prices.(2019) In: LIDAM Reprints ISBA.
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2019ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES.(2019) In: Macroeconomic Dynamics.
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2020Dynamic score driven independent component analysis In: LIDAM Discussion Papers ISBA.
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2022Dynamic score driven independent component analysis.(2022) In: LIDAM Reprints ISBA.
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2020Dynamic portfolio selection with sector-specific regularization In: LIDAM Discussion Papers ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints LFIN.
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2021Teaching statistical inference without normality In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Cambridge Working Papers in Economics.
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2010Locally Stationary Factor Models: Identification And Nonparametric Estimation In: LIDAM Reprints ISBA.
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2011Locally Stationary Factor Models: Identification And Nonparametric Estimation.(2011) In: LIDAM Reprints ISBA.
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2011LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION.(2011) In: Econometric Theory.
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2010Deciding between GARCH and Stochastic Volatility via Strong Decision Rules In: LIDAM Reprints ISBA.
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2006Deciding between GARCH and stochastic volatility via strong decision rules.(2006) In: LIDAM Discussion Papers CORE.
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2010Efficient estimation of a semiparametric dynamic copula model In: LIDAM Reprints ISBA.
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2010Efficient estimation of a semiparametric dynamic copula model.(2010) In: Computational Statistics & Data Analysis.
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2011Estimating autocorrelations in the presence of deterministic trends In: LIDAM Reprints ISBA.
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2011Estimating Autocorrelations in the Presence of Deterministic Trends.(2011) In: Journal of Time Series Econometrics.
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2008Estimating autocorrelations in the presence of deterministic trends.(2008) In: LIDAM Discussion Papers CORE.
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2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
[Citation analysis]		paper7
2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
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2011Multivariate Time Series Models for Asset Prices In: LIDAM Reprints ISBA.
[Citation analysis]		paper1
2012Dynamic stochastic copula models: Estimation, inference and applications In: LIDAM Reprints ISBA.
[Citation analysis]		paper64
2008Dynamic stochastic copula models: estimation, inference and applications.(2008) In: Research Memorandum.
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2012Dynamic stochastic copula models: estimation, inference and applications.(2012) In: Journal of Applied Econometrics.
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2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series In: LIDAM Reprints ISBA.
[Citation analysis]		paper3
2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series.(2012) In: Journal of Applied Statistics.
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2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
[Citation analysis]		paper7
2014Support Vector Machines with Evolutionary Model Selection for Default Prediction In: LIDAM Reprints ISBA.
[Citation analysis]		paper1
2014A One Line Derivation of EGARCH In: LIDAM Reprints ISBA.
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2014A One Line Derivation of EGARCH.(2014) In: Working Papers in Economics.
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2014A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Econometrics.
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2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers.
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2014The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2015An ARCH model without intercept In: LIDAM Reprints ISBA.
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2015An ARCH Model Without Intercept.(2015) In: LIDAM Reprints CORE.
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2015An ARCH model without intercept.(2015) In: Economics Letters.
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2015Volatility of price indices for heterogenous goods with applications to the fine art market In: LIDAM Reprints ISBA.
[Citation analysis]		paper6
2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: LIDAM Reprints CORE.
[Citation analysis]
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2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: Journal of Applied Econometrics.
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2017An augmented Taylor rule for the Federal Reserves response to asset prices In: LIDAM Reprints ISBA.
[Citation analysis]		paper3
2017An augmented Taylor rule for the Federal Reserves response to asset prices.(2017) In: LIDAM Reprints CORE.
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2017An augmented Taylor rule for the Federal Reserves response to asset prices.(2017) In: International Journal of Computational Economics and Econometrics.
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2018A simple solution of the spurious regression problem In: LIDAM Reprints ISBA.
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2018A simple solution of the spurious regression problem.(2018) In: Studies in Nonlinear Dynamics & Econometrics.
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2018Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility In: LIDAM Reprints ISBA.
[Citation analysis]		paper72
2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Discussion Papers CORE.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Reprints CORE.
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2020Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility.(2020) In: The Journal of Financial Econometrics.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: IRTG 1792 Discussion Papers.
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2019Sentiment-Induced Bubbles in the Cryptocurrency Market In: LIDAM Reprints ISBA.
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2019Sentiment-Induced Bubbles in the Cryptocurrency Market.(2019) In: JRFM.
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2019Looking Backward and Looking Forward In: LIDAM Reprints ISBA.
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2016Looking Backward and Looking Forward.(2016) In: LIDAM Discussion Papers CORE.
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2019Looking backward and looking forward.(2019) In: LIDAM Reprints CORE.
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2019Looking Backward and Looking Forward.(2019) In: Econometrics.
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