Christian Matthias Hafner : Citation Profile

Are you Christian Matthias Hafner?

Université Catholique de Louvain

21

H index

38

i10 index

1380

Citations

RESEARCH PRODUCTION:

68

Articles

184

Papers

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 51
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 126.    Total self citations: 62 (4.3 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha77
   Updated: 2023-11-04    RAS profile: 2022-10-31    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Simar, Leopold (5)

LINTON, OLIVER (5)

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)

Fiorentini, Gabriele (20)

Sentana, Enrique (20)

Fengler, Matthias (20)

Härdle, Wolfgang (18)

Savva, Christos (18)

Hotta, Luiz (18)

Asai, Manabu (17)

Cites to:

Engle, Robert (77)

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
Economics Letters3
JRFM3
Statistica Neerlandica3
Econometric Reviews3
Econometrics2
Econometrics Journal2
Computational Statistics2
International Econometric Review (IER)2
The Journal of Financial Econometrics2
Mathematics and Computers in Simulation (MATCOM)2

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)28
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
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)2
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2
Post-Print / HAL2
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University2

Recent works citing Christian Matthias Hafner (2023 and 2022)

YearTitle of citing document
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.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Predicting 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Modelling 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

2023Efficient 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

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.

Full description at Econpapers || Download paper

2023Cryptocurrency 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Matrix 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

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Monetary 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

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Asymmetric 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Interest 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

2022Bubbles in Ethereum. (2022). Figuerola-Ferretti, Isabel ; Bellon, Carlos . In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003871.

Full description at Econpapers || Download paper

2022Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.

Full description at Econpapers || Download paper

2022High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis. (2022). Ziba, Damian ; Yarovaya, Larisa ; Katsiampa, Paraskevi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000610.

Full description at Econpapers || Download paper

2022Sentiment and trading decisions in an ambiguous environment: A study on cryptocurrency traders. (2022). Bowden, James ; Gemayel, Roland. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000981.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2023Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17.

Full description at Econpapers || Download paper

2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

Full description at Econpapers || Download paper

2022Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach. (2022). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:294-306.

Full description at Econpapers || Download paper

2022Technical efficiency and technological gaps correcting for selectivity bias: Insights from a value chain project in Nepal. (2022). Bravo-Ureta, Boris E ; Kamiche-Zegarra, Joanna ; Songsermsawas, Tisorn ; Neubauer, Florian. In: Food Policy. RePEc:eee:jfpoli:v:112:y:2022:i:c:s0306919222001336.

Full description at Econpapers || Download paper

2022Estimation of multivariate asymmetric power GARCH models. (2022). Saussereau, B ; Kadmiri, O ; Mainassara, Boubacar Y. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x2200077x.

Full description at Econpapers || Download paper

2022How far is too far for volatility transmission?. (2022). Karali, Berna ; Yang, Yao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000313.

Full description at Econpapers || Download paper

2022Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. (2022). Ertugrul, Hasan ; Erturul, Hasan Murat ; Esen, Omer ; Yildirim, Durmu Ari. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s030142072200383x.

Full description at Econpapers || Download paper

2022Impacts of COVID-19 local spread and Google search trend on the US stock market. (2022). Panovska, Irina ; Das, Kumer P ; Toufiqul, G M ; Dey, Asim K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121006968.

Full description at Econpapers || Download paper

2022Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market. (2022). Caferra, Rocco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000747.

Full description at Econpapers || Download paper

2022Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks. (2022). Agan, Busra ; Ozdemir, Huseyin ; Balcilar, Mehmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122005696.

Full description at Econpapers || Download paper

2022Gold, silver, and the US dollar as harbingers of financial calm and distress. (2022). Gillman, Max ; Cevik, Emrah I ; Dibooglu, Sel. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:200-210.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models. (2022). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001756.

Full description at Econpapers || Download paper

2022An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets. (2022). Hussain, Syed Jawad ; Naifar, Nader ; Bouri, Elie ; Ali, Fahad ; Alahmad, Mohammad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001544.

Full description at Econpapers || Download paper

2022Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. (2022). Lima, Gilberto Tadeu ; Marques, Andre M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:290-312.

Full description at Econpapers || Download paper

2022Cryptocurrency: Not far from equilibrium. (2022). Choi, M Y ; Ahn, Kwangwon ; Yi, Eojin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:177:y:2022:i:c:s0040162521008556.

Full description at Econpapers || Download paper

2022Predictive power of investor sentiment for Bitcoin returns: Evidence from COVID-19 pandemic. (2022). Dang, Trung ; Mefteh-Wali, Salma ; Bouteska, Ahmed. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:184:y:2022:i:c:s0040162522005200.

Full description at Econpapers || Download paper

2022Monitoring network changes in social media. (2022). Wang, Tengyao ; Okhrin, Yarema ; Chen, Cathy Yi-Hsuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:113742.

Full description at Econpapers || Download paper

2022Changes in the Structure of the Apartments Rental Segment in Poland During the COVID-19 Pandemic. (2022). Derkacz, Arkadiusz J ; Gajda, Artur. In: European Research Studies Journal. RePEc:ers:journl:v:xxv:y:2022:i:special3:p:156-166.

Full description at Econpapers || Download paper

2022Dynamic Factor Copula Models with Estimated Cluster Assignments. (2021). Patton, Andrew ; Oh, Dong Hwan. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-29.

Full description at Econpapers || Download paper

2022Sustainable Cryptocurrency Growth Impossible? Impact of Network Power Demand on Bitcoin Price. (2022). Mikhaylov, Alexey ; Baboshkin, Pavel ; Shaikh, Zaffar Ahmed. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:220308:p:116-130.

Full description at Econpapers || Download paper

2022Consequences of Ignoring Dependent Error Components and Heterogeneity in a Stochastic Frontier Model: An Application to Rice Producers in Northern Thailand. (2022). Xue, Yuting ; Liu, Jianxu ; Sriboonchitta, Songsak ; Rahman, Sanzidur. In: Agriculture. RePEc:gam:jagris:v:12:y:2022:i:8:p:1078-:d:869332.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2022Are Sustainability Indices Infected by the Volatility of Stock Indices? Analysis before and after the COVID-19 Pandemic. (2022). Madaleno, Mara ; Nogueira, Manuel Carlos. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:22:p:15434-:d:978652.

Full description at Econpapers || Download paper

2022On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2022). de Peretti, Christian ; Sabkha, Saker. In: Post-Print. RePEc:hal:journl:hal-01710398.

Full description at Econpapers || Download paper

2022Modeling the volatility of Bitcoin returns using Nonparametric GARCH models. (2022). Mestiri, Sami. In: Journal of Academic Finance. RePEc:jaf:journl:v:13:y:2022:i:1:n:373.

Full description at Econpapers || Download paper

2022Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach. (2022). Ye, Wuyi ; Jiao, Shoukun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10125-6.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components. (2022). Theodossiou, Panayiotis ; Savva, Christos S ; Ellina, Polina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:59:y:2022:i:2:d:10.1007_s11156-022-01055-x.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets. (2022). Pepi, Mitica. In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xxii:y:2022:i:1:p:963-968.

Full description at Econpapers || Download paper

2022Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields. (2022). Khanthaporn, Rewat. In: PIER Discussion Papers. RePEc:pui:dpaper:183.

Full description at Econpapers || Download paper

2022Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow. (2022). Rashid, Abdul ; Jabeen, Munazza. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:222-245.

Full description at Econpapers || Download paper

2022Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. (2022). Mirza, Nawazish ; Naqvi, Bushra ; Abbas, Syed Kumail. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04367-8.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Local projection variance impulse response. (2022). Kawakatsu, Hiroyuki. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02063-x.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper4
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 6		paper
2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
2004Testing for Causality in Variance using Multivariate GARCH Models.(2004) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
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.
[Citation analysis]
This paper has another version. Agregated cites: 52		paper
2012On the estimation of dynamic conditional correlation models.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 51		paper
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
2011On heterogeneous latent class models with applications to the analysis of rating scores In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper3
2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
2011On heterogeneous latent class models with applications to the analysis of rating scores.(2011) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: Computational Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
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.
[Citation analysis]
This paper has another version. Agregated cites: 9		paper
2011Econometric analysis of volatile art markets.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2012Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2011Econometric analysis of volatile art markets.(2011) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2011Asymmetries in Business Cycles and the Role of Oil Production In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper1
2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper25
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 25		paper
2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
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.
[Full Text][Citation analysis]		paper8
2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 8		paper
2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2013Fair re-valuation of wine as an investment In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper11
2015Fair Revaluation of Wine as an Investment.(2015) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 11		paper
2013Fair re-valuation of wine as an investment.(2013) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2015Fair Revaluation of Wine as an Investment*.(2015) In: Journal of Wine Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2013Fair re-valuation of wine as an investment.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2013Macroeconomic news surprises and volatility spillover in foreign exchange markets In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper15
2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 15		paper
2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2014A note on the Tobit model in the presence of a duration variable In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper1
2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2014A note on the Tobit model in the presence of a duration variable.(2014) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2015A note on the Tobit model in the presence of a duration variable.(2015) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2014A simple model for now-casting volatility series In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper5
2015A simple model for now-casting volatility series.(2015) In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016A simple model for now-casting volatility series.(2016) In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 5		paper
2014A simple model for now-casting volatility series.(2014) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016A Simple Model for Now-Casting Volatility Series.(2016) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2015The effect of additive outliers on a fractional unit root test In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2016The effect of additive outliers on a fractional unit root test.(2016) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016The Effect of Additive Outliers on Fractional Unit Root Tests.(2016) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016The effect of additive outliers on a fractional unit root test.(2016) In: AStA Advances in Statistical Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
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.
[Full Text][Citation analysis]		paper11
2017An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 11		paper
2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 11		paper
2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2016Heterogeneous Liquidity Effects in Corporate Bond Spreads In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2017Heterogeneous Liquidity Effects in Corporate Bond Spreads.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017On asymptotic theory for ARCH(infinite) models In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2017On Asymptotic Theory for ARCH (infinity) Models.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016On Asymptotic Theory for ARCH(infinite) Models.(2016) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017On asymptotic theory for ARCH([infinite]) models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Asymmetries in Business Cycles and the Role of Oil Prices In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2019Asymmetries in Business Cycles and the Role of Oil Prices.(2019) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2019ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES.(2019) In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2020Dynamic score driven independent component analysis In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2022Dynamic score driven independent component analysis.(2022) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Dynamic portfolio selection with sector-specific regularization In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021Teaching statistical inference without normality In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper1
2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
.() In: .
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2010Locally Stationary Factor Models: Identification And Nonparametric Estimation In: LIDAM Reprints ISBA.
[Citation analysis]		paper18
2011Locally Stationary Factor Models: Identification And Nonparametric Estimation.(2011) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 18		paper
2011LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		article
2010Deciding between GARCH and Stochastic Volatility via Strong Decision Rules In: LIDAM Reprints ISBA.
[Citation analysis]		paper10
2006Deciding between GARCH and stochastic volatility via strong decision rules.(2006) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2010Efficient estimation of a semiparametric dynamic copula model In: LIDAM Reprints ISBA.
[Citation analysis]		paper28
2010Efficient estimation of a semiparametric dynamic copula model.(2010) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2011Estimating autocorrelations in the presence of deterministic trends In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2011Estimating Autocorrelations in the Presence of Deterministic Trends.(2011) In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2008Estimating 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
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
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]		paper65
2008Dynamic stochastic copula models: estimation, inference and applications.(2008) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2012Dynamic stochastic copula models: estimation, inference and applications.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 65		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
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.
[Citation analysis]		paper74
2014A One Line Derivation of EGARCH.(2014) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		paper
2014A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		paper
2014A One Line Derivation of EGARCH.(2014) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		paper
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.
[Citation analysis]		paper4
2015An ARCH Model Without Intercept.(2015) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2015An ARCH model without intercept.(2015) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
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]
This paper has another version. Agregated cites: 6		paper
2015Volatility 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
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.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
2017An augmented Taylor rule for the Federal Reserves response to asset prices.(2017) In: International Journal of Computational Economics and Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2018The “wrong skewness� problem in stochastic frontier models: A new approach In: LIDAM Reprints ISBA.
[Citation analysis]		paper4
2018A simple solution of the spurious regression problem In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2018A simple solution of the spurious regression problem.(2018) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2018Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility In: LIDAM Reprints ISBA.
[Citation analysis]		paper73
2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 73		paper
2020Testing 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: 73		article
2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: IRTG 1792 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
2019Sentiment-Induced Bubbles in the Cryptocurrency Market In: LIDAM Reprints ISBA.
[Citation analysis]		paper20
2019Sentiment-Induced Bubbles in the Cryptocurrency Market.(2019) In: JRFM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		article
2019Looking Backward and Looking Forward In: LIDAM Reprints ISBA.
[Citation analysis]		paper2
2016Looking Backward and Looking Forward.(2016) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2019Looking backward and looking forward.(2019) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2019Looking Backward and Looking Forward.(2019) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2020Estimation of a multiplicative correlation structure in the large dimensional case In: LIDAM Reprints ISBA.
[Citation analysis]		paper2
2018Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case.(2018) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2020Estimation of a multiplicative correlation structure in the large dimensional case.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2020Exponential-Type GARCH Models With Linear-in-Variance Risk Premium In: LIDAM Reprints ISBA.
[Citation analysis]		paper2
2019Exponential-type GARCH models with linear-in-variance risk premium.(2019) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Exponential-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
2020Monthly Art Market Returns In: LIDAM Reprints ISBA.
[Citation analysis]		paper2
2018Monthly art market returns.(2018) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2020Monthly Art Market Returns.(2020) In: JRFM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2020The Spread of the Covid-19 Pandemic in Time and Space In: LIDAM Reprints ISBA.
[Citation analysis]		paper11
.() In: .
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2020Identification of structural multivariate GARCH models In: LIDAM Reprints ISBA.
[Citation analysis]		paper10
2018Identification of structural multivariate GARCH models.(2018) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2022Identification of structural multivariate GARCH models.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2022Time-Varying Mixture Copula Models with Copula Selection In: LIDAM Reprints ISBA.
[Citation analysis]		paper1
2021Time-Varying Mixture Copula Models with Copula Selection.(2021) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2019Time-Varying Mixture Copula Models with Copula Selection.(2019) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2022Panel stochastic frontier analysis with dependent error terms In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2022Semiparametric estimation and variable selection for single-index copula models In: LIDAM Reprints ISBA.
[Citation analysis]		paper2
2021Semiparametric estimation and variable selection for single?index copula models.(2021) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2019Semiparametric Estimation and Variable Selection for Single-index Copula Models.(2019) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2018Semiparametric 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
2022A dynamic conditional score model for the log correlation matrix In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2022A 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
2019A 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
2022Reconciling negative return skewness with positive time-varying risk premia In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2022Reconciling 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
2022Investing in superheroes? Comic art as a new alternative investment In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2019Investing 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
2022Analysis of cryptocurrency connectedness based on network to transaction volume ratios In: LIDAM Reprints ISBA.
[Citation analysis]		paper0
2022Analysis 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
2006Comment In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2008Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner In: International Statistical Review.
[Full Text][Citation analysis]		article0
2004Nonparametric multistep?ahead prediction in time series analysis In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article12
2004Nonparametric multistep-ahead prediction in time series analysis.(2004) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2017On Asymptotic Theory for ARCH (?) Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
1998Structural analysis of portfolio risk using beta impulse response functions In: Statistica Neerlandica.
[Full Text][Citation analysis]		article4
2005Ridge regression revisited In: Statistica Neerlandica.
[Full Text][Citation analysis]		article1
2005Ridge regression revisited.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2009Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity In: Statistica Neerlandica.
[Full Text][Citation analysis]		article33
2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2016Estimation 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
2016Estimation 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
2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process In: Working Papers in Economics.
[Full Text][Citation analysis]		paper17
2014A 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
2009Efficient Estimation of a Multivariate Multiplicative Volatility Model In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper40
2010Efficient 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
2010Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
1997Discrete time option pricing with flexible volatility estimation In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper20
2000Discrete 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
2000Discrete 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
1997Discrete 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
1998Volatility impulse response functions for multivariate GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper8
2001Volatility impulse response functions for multivariate GARCH models.(2001) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2001Fourth moments of multivariate GARCH processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
2000Fourth moments of multivariate GARCH processes.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2003Semiparametric multivariate GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
2003Estimation of temporally aggregated multivariate GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper5
2004Estimation 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
2006Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper39
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2006Multivariate 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
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
2006Asymptotic theory for a factor GARCH model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper19
2009ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL.(2009) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2015The “wrong skewness” problem in stochastic frontier models: a new approach In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper10
2018The 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
2018The “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
2015The 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
2005Durations, volume and the prediction of financial returns in transaction time In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper11
2000Durations, 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
2005Durations, 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
2007SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article36
2004Semiparametric multivariate volatility models.(2004) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
2004Semiparametric multivariate volatility models.(2004) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
2004Temporal aggregation of multivariate GARCH processes In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper23
2008Temporal aggregation of multivariate GARCH processes.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		article
2004Temporal aggregation of multivariate GARCH processes.(2004) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2009Causality and forecasting in temporally aggregated multivariate GARCH processes In: Econometrics Journal.
[Full Text][Citation analysis]		article7
2000Testing for linear autoregressive dynamics under heteroskedasticity In: Econometrics Journal.
[Citation analysis]		article10
1998Testing 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
2006A Lagrange multiplier test for causality in variance In: Economics Letters.
[Full Text][Citation analysis]		article82
2001Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article19
1999Option 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
2006Volatility impulse responses for multivariate GARCH models: An exchange rate illustration In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article92
2009On asymptotic theory for multivariate GARCH models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article59
2003A generalized dynamic conditional correlation model for many asset returns In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper27
2003Simple approximations for option pricing under mean reversion and stochastic volatility In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2003Simple 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
2003Analytical quasi maximum likelihood inference in multivariate volatility models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper35
2008Analytical 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
2002Testing for vector autoregressive dynamics under heteroskedasticity In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2002Testing 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
2005Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper7
2021A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms In: International Econometric Review (IER).
[Full Text][Citation analysis]		article0
2009Information Spillover, Volatility and the Currency Markets for the Binary Choice Model In: International Econometric Review (IER).
[Full Text][Citation analysis]		article3
2020Alternative Assets and Cryptocurrencies In: JRFM.
[Full Text][Citation analysis]		article0
2016Estimation of a Multiplicative Covariance Structure In: CeMMAP working papers.
[Full Text][Citation analysis]		paper0
2018Trending Mixture Copula Models with Copula Selection In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper0
2018Trending 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
2003Fourth Moment Structure of Multivariate GARCH Models In: The Journal of Financial Econometrics.
[Citation analysis]		article37
2011The euro introduction and noneuro currencies In: Applied Financial Economics.
[Full Text][Citation analysis]		article23
2009A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets In: Econometric Reviews.
[Full Text][Citation analysis]		article55
2014THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]		article0
1995A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series In: SFB 373 Discussion Papers.
[Citation analysis]		paper4
1996Foreign Exchange Rates Have Surprising Volatility In: SFB 373 Discussion Papers.
[Citation analysis]		paper10
1997Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models In: SFB 373 Discussion Papers.
[Citation analysis]		paper2
1998Flexible stochastic volatility structures for high frequency financial data In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper0
1999Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team