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 %)

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   Permalink: http://citec.repec.org/pha77
   Updated: 2023-11-04    RAS profile: 2022-10-31    
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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.

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2023.

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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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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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2023Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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

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

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

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

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

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

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

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

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

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

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2022.

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

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

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2022.

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2023.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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

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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.

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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.

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

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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.

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

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

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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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paper
2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
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paper
2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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article
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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paper
2014Local Government Efficiency: The Case of Moroccan Municipalities In: African Development Review.
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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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paper
2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review.
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article
2008Testing for Causality in Variance Usinf Multivariate GARCH Models In: Annals of Economics and Statistics.
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article51
2004Testing for causality in variance using multivariate GARCH models.(2004) In: Econometric Institute Research Papers.
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paper
2004Testing for Causality in Variance using Multivariate GARCH Models.(2004) In: Economics Working Papers.
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paper
2010On the estimation of dynamic conditional correlation models In: LIDAM Discussion Papers ISBA.
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paper52
2012On the estimation of dynamic conditional correlation models.(2012) In: LIDAM Reprints ISBA.
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paper
2012On the estimation of dynamic conditional correlation models.(2012) In: Computational Statistics & Data Analysis.
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article
2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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paper51
2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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paper
2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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paper
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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article
2011On heterogeneous latent class models with applications to the analysis of rating scores In: LIDAM Discussion Papers ISBA.
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paper3
2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: LIDAM Reprints ISBA.
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paper
2011On heterogeneous latent class models with applications to the analysis of rating scores.(2011) In: SFB 649 Discussion Papers.
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paper
2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: Computational Statistics.
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article
2011Econometric analysis of volatile art markets In: LIDAM Discussion Papers ISBA.
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paper9
2012Econometric analysis of volatile art markets.(2012) In: LIDAM Reprints ISBA.
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paper
2011Econometric analysis of volatile art markets.(2011) In: LIDAM Discussion Papers CORE.
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paper
2012Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis.
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article
2011Econometric analysis of volatile art markets.(2011) In: SFB 649 Discussion Papers.
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paper
2011Asymmetries in Business Cycles and the Role of Oil Production In: LIDAM Discussion Papers ISBA.
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paper1
2011Volatility Models In: LIDAM Discussion Papers ISBA.
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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.
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paper2
2012Volatility of price indices for heterogeneous goods.(2012) In: SFB 649 Discussion Papers.
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paper
2012Inference in stochastic frontier analysis with dependent error terms In: LIDAM Discussion Papers ISBA.
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paper8
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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article
2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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article
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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paper
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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article
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.
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paper5
2013Support Vector Machines with Evolutionary Feature Selection for Default Prediction In: LIDAM Discussion Papers ISBA.
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paper3
2012Support Vector Machines with Evolutionary Feature Selection for Default Prediction.(2012) In: SFB 649 Discussion Papers.
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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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paper1
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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paper
2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints ISBA.
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paper
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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paper
2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints CORE.
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paper
2016A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting.
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2015The effect of additive outliers on a fractional unit root test In: LIDAM Discussion Papers ISBA.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: LIDAM Reprints ISBA.
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2016The Effect of Additive Outliers on Fractional Unit Root Tests.(2016) In: LIDAM Reprints CORE.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: AStA Advances in Statistical Analysis.
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2015An augmented Taylor rule for the Federal Reserve’s response to asset prices In: LIDAM Discussion Papers ISBA.
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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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paper
2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
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paper
2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
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paper
2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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article
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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paper
2019ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES.(2019) In: Macroeconomic Dynamics.
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article
2020Dynamic score driven independent component analysis In: LIDAM Discussion Papers ISBA.
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2022Dynamic score driven independent component analysis.(2022) In: LIDAM Reprints ISBA.
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2020Dynamic portfolio selection with sector-specific regularization In: LIDAM Discussion Papers ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints LFIN.
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2021Teaching statistical inference without normality In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Cambridge Working Papers in Economics.
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2010Locally Stationary Factor Models: Identification And Nonparametric Estimation In: LIDAM Reprints ISBA.
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2011Locally Stationary Factor Models: Identification And Nonparametric Estimation.(2011) In: LIDAM Reprints ISBA.
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2011LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION.(2011) In: Econometric Theory.
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2010Deciding between GARCH and Stochastic Volatility via Strong Decision Rules In: LIDAM Reprints ISBA.
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2006Deciding between GARCH and stochastic volatility via strong decision rules.(2006) In: LIDAM Discussion Papers CORE.
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2010Efficient estimation of a semiparametric dynamic copula model In: LIDAM Reprints ISBA.
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2010Efficient estimation of a semiparametric dynamic copula model.(2010) In: Computational Statistics & Data Analysis.
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2011Estimating autocorrelations in the presence of deterministic trends In: LIDAM Reprints ISBA.
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2011Estimating Autocorrelations in the Presence of Deterministic Trends.(2011) In: Journal of Time Series Econometrics.
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2008Estimating autocorrelations in the presence of deterministic trends.(2008) In: LIDAM Discussion Papers CORE.
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2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
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2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
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2011Multivariate Time Series Models for Asset Prices In: LIDAM Reprints ISBA.
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paper1
2012Dynamic stochastic copula models: Estimation, inference and applications In: LIDAM Reprints ISBA.
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2008Dynamic stochastic copula models: estimation, inference and applications.(2008) In: Research Memorandum.
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2012Dynamic stochastic copula models: estimation, inference and applications.(2012) In: Journal of Applied Econometrics.
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2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series In: LIDAM Reprints ISBA.
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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.
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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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paper74
2014A One Line Derivation of EGARCH.(2014) In: Working Papers in Economics.
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2014A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Econometrics.
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2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers.
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2014The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case In: LIDAM Reprints ISBA.
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2015An ARCH model without intercept In: LIDAM Reprints ISBA.
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2015An ARCH Model Without Intercept.(2015) In: LIDAM Reprints CORE.
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2015An ARCH model without intercept.(2015) In: Economics Letters.
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2015Volatility of price indices for heterogenous goods with applications to the fine art market In: LIDAM Reprints ISBA.
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2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: LIDAM Reprints CORE.
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paper
2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: Journal of Applied Econometrics.
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2017An augmented Taylor rule for the Federal Reserves response to asset prices In: LIDAM Reprints ISBA.
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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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2018The “wrong skewness� problem in stochastic frontier models: A new approach In: LIDAM Reprints ISBA.
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2018A simple solution of the spurious regression problem In: LIDAM Reprints ISBA.
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2018A simple solution of the spurious regression problem.(2018) In: Studies in Nonlinear Dynamics & Econometrics.
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2018Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility In: LIDAM Reprints ISBA.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Discussion Papers CORE.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Reprints CORE.
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2020Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility.(2020) In: The Journal of Financial Econometrics.
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