Christian Matthias Hafner : Citation Profile

Université Catholique de Louvain

23

H index

41

i10 index

1603

Citations

RESEARCH PRODUCTION:

68

Articles

193

Papers

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 59
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 65 (3.9 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha77
   Updated: 2025-12-20    RAS profile: 2023-03-05    
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Relations with other researchers

Works with:

LINTON, OLIVER (4)

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 (86)

Caporin, Massimiliano (69)

Bauwens, Luc (26)

Ruiz, Esther (24)

Härdle, Wolfgang (22)

Sentana, Enrique (20)

Fiorentini, Gabriele (20)

Fengler, Matthias (20)

Savva, Christos (19)

Asai, Manabu (18)

Hotta, Luiz (18)

Cites to:

Engle, Robert (75)

Bollerslev, Tim (63)

Härdle, Wolfgang (38)

Drost, Feike C. (36)

Bauwens, Luc (32)

Ginsburgh, Victor (30)

Laurent, Sébastien (20)

OOSTERLINCK, Kim (18)

Rombouts, Jeroen (16)

Taschini, Luca (15)

CHANEL, Olivier (14)

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

Working Papers Series with more than one paper published# docs
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)51
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)30
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes10
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk5
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
Post-Print / HAL2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University2
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)2

Recent works citing Christian Matthias Hafner (2025 and 2024)

YearTitle of citing document
2024Is the Chinese gold product a hedge or safe haven for Chinese overseas investors?. (2024). Jia, Ruixin ; Zhang, Yu Yvette ; Liu, Mengqiao. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343698.

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2024Is the Chinese gold product a hedge or safe haven for Chinese overseas investors?. (2024). Liu, Mengqiao ; Jia, Ruixin ; Zhang, Yu Yvette. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343698.

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2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Quantifying neural network uncertainty under volatility clustering. (2024). , Steven ; Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2024Density forecast transformations. (2024). Odendahl, Florens ; Mogliani, Matteo. In: Papers. RePEc:arx:papers:2412.06092.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Tensor dynamic conditional correlation model: A new way to pursuit Holy Grail of investing. (2025). Zhu, KE ; Yu, Cheng. In: Papers. RePEc:arx:papers:2502.13461.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Sarafidis, Vasilis ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios ; Kapetanios, George. In: Papers. RePEc:arx:papers:2506.21100.

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2024Perceived shocks and impulse responses. (2024). Giacomini, Raffaella ; Lu, Jason ; Smetanina, Katja. In: CeMMAP working papers. RePEc:azt:cemmap:21/24.

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2025Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles. (2025). Magnani, Monia ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25252.

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2024Efficiency of local public spending in Cameroon: Does population size matter?. (2024). Tameko, Gautier Tchoffo ; Wangbara, Djondandi ; Ongo, Bruno Emmanuel. In: African Development Review. RePEc:bla:afrdev:v:36:y:2024:i:2:p:362-376.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2024Bootstrap prediction inference of nonlinear autoregressive models. (2024). Politis, Dimitris N ; Wu, Kejin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:5:p:800-822.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Extracting stock-market bubbles from dividend futures. (2024). Wilfling, Bernd ; Branger, Nicole ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:10724.

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2025Spillover Effects between Financial and Physical Copper Markets. (2025). Capliez-Wahart, Romain. In: EconomiX Working Papers. RePEc:drm:wpaper:2025-40.

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2025Region detection and image clustering via sparse Kronecker product decomposition. (2025). Feng, Long ; Yang, Guang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:211:y:2025:i:c:s0167947325001021.

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2025Modelling dynamic interdependence in nonstationary variances with an application to carbon markets. (2025). Amado, Cristina ; Campos-Martins, Susana. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000284.

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2025Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach. (2025). Hommes, Cars ; di Francesco, Tommaso. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:175:y:2025:i:c:s0165188925000582.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2024Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Wohar, Mark ; Gkillas, Konstantinos ; Apostolakis, George N ; Floros, Christos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2025Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables. (2025). Maral, Emerson Fernandes ; de Prince, Diogo ; Valls, Pedro L. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005561.

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2024Estimation and variable selection for high-dimensional spatial dynamic panel data models. (2024). Wu, Yuehua ; Hou, LI ; Jin, Baisuo. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003214.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Cai, Zhanrui ; Yang, Songshan ; Wen, Jiawei ; Li, Changcheng. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. (2024). Hu, Qiao ; Chang, Jinyuan ; Tang, Cheng Yong ; Liu, Cheng. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001543.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2025Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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2025Estimating time-varying networks for high-dimensional time series. (2025). Chen, Jia ; Li, Degui ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002926.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain. (2024). Chen, Ying ; Peng, Hanqiu ; Trimborn, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000641.

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2024Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets. (2024). Qin, Zhongfeng ; Wu, Ruirui. In: Energy. RePEc:eee:energy:v:292:y:2024:i:c:s0360544224002755.

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2024GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods. (2024). Trifonov, Juri ; Potanin, Bogdan. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x.

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2024Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832.

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2024On practitioners closed-form GARCH option pricing. (2024). Frijns, Bart ; Mozumder, Sharif ; Kabir, Humayun M ; Talukdar, Bakhtear. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400228x.

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2024Portfolio selection via high-dimensional stochastic factor Copula. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007815.

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2024Avoiding jumps in the rotation matrix of time-varying factor models. (2024). Cheung, Ying Lun. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008997.

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2025The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers. (2025). Li, Jie ; Smallwood, Aaron D. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000134.

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2024The nexus of conventional, religious and ethical indexes during crisis. (2024). Ahelegbey, Daniel Felix ; Essanaani, Yassine ; Abdelsalam, Omneya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124000933.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024Instance-based meta-learning for conditionally dependent univariate multi-step forecasting. (2024). Cerqueira, Vitor ; Torgo, Luis ; Bontempi, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1507-1520.

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2024No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Bei, Zeyun ; Zhou, Yinggang ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561.

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2024Using DNPV to determine the economic viability of residential photovoltaic systems in Germany: Is the investment still worth it?. (2024). Kraemer, Carlo. In: Renewable Energy. RePEc:eee:renene:v:237:y:2024:i:pa:s0960148124015945.

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2024Green cryptocurrencies and portfolio diversification in the era of greener paths. (2024). Sensoy, Ahmet ; khurram, Muhammad usman ; Vo, Xuan Vinh ; Ali, Fahad. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:191:y:2024:i:c:s1364032123009954.

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2024The influence of the bank–firm relationship on enterprises’ technological innovation efficiency: Evidence from China. (2024). Du, Shanxing ; Yin, Lei ; Chen, GE. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1583-1600.

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2024Are markets sentiment driving the price bubbles in the virtual?. (2024). ben Osman, Myriam ; Guesmi, Khaled ; Naoui, Kamel ; Hamdi, Haykel ; Galariotis, Emilios. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:272-285.

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2024Detecting and date-stamping bubbles in fan tokens. (2024). Demir, Ender ; Ersan, Oguz ; Assaf, Ata. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:98-113.

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2025Exploring dynamic extreme dependence of oil and agricultural markets. (2025). Fikru, Mahelet ; Lahiani, Amine ; Kisswani, Khalid M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001959.

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2024Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654.

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2024Do online attention and sentiment affect cryptocurrencies’ correlations?. (2024). Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios ; Savva, Christos S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002812.

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2025Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak. (2025). Lucey, Brian ; Ahmed, Abdullahi D ; Abedin, Mohammad Zoynul ; Huang, Qingcheng ; Zeng, Hongjun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003404.

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2025A hybrid deep learning model for cryptocurrency returns forecasting: Comparison of the performance of financial markets and impact of external variables. (2025). Jirou, Ismail ; Jebabli, Ikram ; Lahiani, Amine. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003684.

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2025Bitcoin trade volume in decentralized markets: International evidence. (2025). Giménez Roche, Gabriel ; Gimnez, Gabriel A ; Nol, Antoine ; Sauce, Loc. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:214:y:2025:i:c:s004016252500085x.

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2024Impact of Water Management Policies on Volatility Transmission in the Energy Sector. (2024). Harrell, Katharine ; Gormus, Elif. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:175-:d:1381163.

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2025A Bivariate Copula–Driven Multi-State Model for Statistical Analysis in Medical Research. (2025). Martnez-Flrez, Guillermo ; Tovar-Faln, Roger ; Brango, Hugo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3072-:d:1757144.

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2024L 1 Regularization for High-Dimensional Multivariate GARCH Models. (2024). Yao, Sijie ; Zou, Hui ; Xing, Haipeng. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:2:p:34-:d:1333357.

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2024Forecasting Realized Covariances Using HAR-Type Models. (2024). Manner, Hans ; Tafakori, Laleh ; Quiroz, Matias. In: Graz Economics Papers. RePEc:grz:wpaper:2024-20.

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2024On the dependence structure of European vegetable oil markets. (2024). Menier, Romain ; Bagnarosa, Guillaume ; Gohin, Alexandre. In: Post-Print. RePEc:hal:journl:hal-04523660.

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2024Perceived shocks and impulse responses. (2024). Giacomini, Raffaella ; Smetanina, Katja ; Lu, Jason. In: IFS Working Papers. RePEc:ifs:ifsewp:cwp21/24.

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2024Semiparametric Conditional Mixture Copula Models with Copula Selection. (2024). Cai, Zongwu ; Luo, Xuelong ; Long, Wei ; Liu, Guannan. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202401.

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2024Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model. (2024). Sahiner, Mehmet. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10412-4.

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2025Panel Stochastic Frontier Analysis with Positive Skewness. (2025). Hafner, Christian M ; el Mehdi, Rachida. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10646-w.

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2024The wrong skewness problem in stochastic frontier analysis: a review. (2024). Papadopoulos, Alecos ; Parmeter, Christopher F. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:61:y:2024:i:2:d:10.1007_s11123-023-00708-w.

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2024“Wrong” skewness and endogenous regressors in stochastic frontier models: an instrument-free copula approach with an application to estimate firm efficiency in Vietnam. (2024). Haschka, Rouven E. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:62:y:2024:i:1:d:10.1007_s11123-024-00722-6.

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2024Time-Varying Structural Approximate Dynamic Factor Model. (2024). Liu, Qingfeng ; Zhao, Ziyan. In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:2401.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Aslanidis, Nektarios ; Bariviera, Aurelio ; Sarafidis, Vasilis ; Kapetanios, George. In: MPRA Paper. RePEc:pra:mprapa:125124.

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2024The great crypto crash in September 2018: why did the cryptocurrency market collapse?. (2024). Manahov, Viktor. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05575-0.

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2024Cryptocurrency market microstructure: a systematic literature review. (2024). Gonçalves, Tiago ; Almeida, Jos ; Gonalves, Tiago Cruz. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05627-5.

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2024Exogeneous shocks, risk, and market convergence of real alternative and financial assets: evidence from nonlinear dynamics. (2024). Fur, Eric ; Faye, Benot ; Prat, Stphanie. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04510-5.

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2024Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. (2024). Sensoy, Ahmet ; Mahapatra, Biplab ; Banerjee, Ameet Kumar ; Fabozzi, Frank ; Pradhan, H K. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05865-1.

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2025Model-based vs. agnostic methods for the prediction of time-varying covariance matrices. (2025). Xidonas, Panos ; Poignard, Benjamin ; Fermanian, Jean-David. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06238-4.

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2025A machine learning based regulatory risk index for cryptocurrencies. (2025). Ni, Xinwen ; Xie, Taojun ; Zuo, Xiaorui ; Hrdle, Wolfgang Karl. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:7:d:10.1007_s00180-025-01629-y.

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2024Energy efficiency in the Indian transportation sector: effect on carbon emissions. (2024). Shahbaz, Muhammad ; Mahapatra, Bamadev ; Irfan, Mohd. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:3:d:10.1007_s10668-023-02981-z.

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2024Economic policy uncertainty and cryptocurrencies. (2024). Signorelli, Marcello ; Oldani, Chiara. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:3:d:10.1007_s40822-024-00271-1.

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2025Portfolio risk of cryptocurrency inclusion: a comparison among conventional cryptocurrencies and asset-backed cryptocurrencies. (2025). Husain, Afzol ; Yii, Kwang-Jing ; Fung, Chorng Yuan ; Busulwa, Richard. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:3:d:10.1007_s40822-025-00320-3.

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2024Dynamic correlation between hog futures and industry chain: an empirical study based on time-varying copula model. (2024). Lai, Shenghan ; Jiang, Zewu ; Zhong, Xiaoying ; Liu, Hui. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:15:y:2024:i:11:d:10.1007_s13198-024-02542-1.

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2025A fractional Hawkes process for illiquidity modeling. (2025). Dupret, Jean-Loup ; Hainaut, Donatien. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:1:d:10.1007_s11579-024-00379-7.

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2025Finite mixture copulas for modeling dependence in longitudinal count data. (2025). Chattopadhyay, Subhajit. In: METRON. RePEc:spr:metron:v:83:y:2025:i:2:d:10.1007_s40300-025-00292-z.

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2024Endogeneity in stochastic frontier models with wrong skewness: copula approach without external instruments. (2024). Haschka, Rouven E. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:3:d:10.1007_s10260-024-00750-4.

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2025Bayesian influence diagnostics for a multivariate GARCH model. (2025). Wang, Qingrui ; Yao, Zhao. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01649-8.

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2025Omnibus diagnostic procedures for vector multiplicative errors models. (2025). Hudecov, Rka ; Ngatchou-Wandji, Joseph ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y.

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2024Blockchain and vulnerable entrepreneurial ecosystems. (2024). Vismara, Silvio ; Kshetri, Nir ; Rawhouser, Hans. In: Entrepreneurship & Regional Development. RePEc:taf:entreg:v:36:y:2024:i:1-2:p:10-35.

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2024Identification of Time-Varying Factor Models. (2024). Cheung, Ying Lun. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:42:y:2024:i:1:p:76-94.

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2024Financial cycles synchronisation in South Africa. A dynamic conditional correlation (DCC) Approach. (2024). Magubane, Khwazi. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:12:y:2024:i:1:p:2321069.

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2024On Bubbles in Cryptocurrency Prices. (2024). van Oordt, Maarten. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240050.

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2025Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station. (2025). Moussa, Karim ; Friedrich, Marina ; van der Straten, David ; Shapovalova, Yuliya. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250025.

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2024Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04.

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2024Proxy-identification of a structural MGARCH model for asset returns. (2024). Polivka, Jeannine ; Fengler, Matthias. In: Economics Working Paper Series. RePEc:usg:econwp:2021:03.

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2024Wine as an Investment. (2024). Jacobsen, Joyce. In: Wesleyan Economics Working Papers. RePEc:wes:weswpa:2024-007.

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2024Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries. (2024). Lau, Chi Keung ; Elsayed, Ahmed ; Sheng, Xin ; Downing, Gareth ; Marco, Chi Keung. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1804-1819.

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2024Predicting tail risks by a Markov switching MGARCH model with varying copula regimes. (2024). Fulle, Markus J ; Herwartz, Helmut. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2163-2186.

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

Works by Christian Matthias Hafner:

YearTitleTypeCited
2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
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2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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2014Local Government Efficiency: The Case of Moroccan Municipalities In: African Development Review.
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2013Local government efficiency: The case of Moroccan municipalities.(2013) In: LIDAM Discussion Papers ISBA.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: LIDAM Reprints ISBA.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review.
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2008Testing for Causality in Variance Usinf Multivariate GARCH Models In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article52
2004Testing for causality in variance using multivariate GARCH models.(2004) In: Econometric Institute Research Papers.
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2004Testing for Causality in Variance using Multivariate GARCH Models.(2004) In: Economics Working Papers.
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2010On the estimation of dynamic conditional correlation models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper56
2012On the estimation of dynamic conditional correlation models.(2012) In: LIDAM Reprints ISBA.
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2012On the estimation of dynamic conditional correlation models.(2012) In: Computational Statistics & Data Analysis.
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2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Multivariate volatility modeling of electricity futures.(2011) In: SFB 649 Discussion Papers.
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2011On heterogeneous latent class models with applications to the analysis of rating scores In: LIDAM Discussion Papers ISBA.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: LIDAM Reprints ISBA.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: Computational Statistics.
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2011On heterogeneous latent class models with applications to the analysis of rating scores.(2011) In: SFB 649 Discussion Papers.
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2011Econometric analysis of volatile art markets In: LIDAM Discussion Papers ISBA.
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2012Econometric analysis of volatile art markets.(2012) In: LIDAM Reprints ISBA.
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2011Econometric analysis of volatile art markets.(2011) In: LIDAM Discussion Papers CORE.
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2012Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis.
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2011Econometric analysis of volatile art markets.(2011) In: SFB 649 Discussion Papers.
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2011Asymmetries in Business Cycles and the Role of Oil Production In: LIDAM Discussion Papers ISBA.
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2011Volatility Models In: LIDAM Discussion Papers ISBA.
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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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2012Volatility of price indices for heterogeneous goods.(2012) In: SFB 649 Discussion Papers.
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2012Inference in stochastic frontier analysis with dependent error terms In: LIDAM Discussion Papers ISBA.
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: LIDAM Reprints ISBA.
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2013Fair re-valuation of wine as an investment In: LIDAM Discussion Papers ISBA.
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2015Fair Revaluation of Wine as an Investment.(2015) In: LIDAM Reprints ISBA.
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2013Fair re-valuation of wine as an investment.(2013) In: LIDAM Discussion Papers CORE.
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2015Fair Revaluation of Wine as an Investment*.(2015) In: Journal of Wine Economics.
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2013Fair re-valuation of wine as an investment.(2013) In: SFB 649 Discussion Papers.
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2013An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper5
2013Support Vector Machines with Evolutionary Feature Selection for Default Prediction In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper1
2013The €œwrong skewness€Ω problem in stochastic frontier models: A new approach In: LIDAM Discussion Papers ISBA.
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2015The €œwrong skewness€Ω problem in stochastic frontier models: A new approach.(2015) In: LIDAM Discussion Papers ISBA.
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2018The €œwrong skewness€Ω problem in stochastic frontier models: A new approach.(2018) In: LIDAM Reprints ISBA.
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2013Macroeconomic news surprises and volatility spillover in foreign exchange markets In: LIDAM Discussion Papers ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: LIDAM Reprints ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: Empirical Economics.
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2014A note on the Tobit model in the presence of a duration variable In: LIDAM Discussion Papers ISBA.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints ISBA.
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2014A note on the Tobit model in the presence of a duration variable.(2014) In: LIDAM Discussion Papers CORE.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints CORE.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: Economics Letters.
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2014A simple model for now-casting volatility series In: LIDAM Discussion Papers ISBA.
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2015A simple model for now-casting volatility series.(2015) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints ISBA.
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2014A simple model for now-casting volatility series.(2014) In: LIDAM Discussion Papers CORE.
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2016A Simple Model for Now-Casting Volatility Series.(2016) In: LIDAM Discussion Papers CORE.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints CORE.
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2016A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting.
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2015The effect of additive outliers on a fractional unit root test In: LIDAM Discussion Papers ISBA.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: LIDAM Reprints ISBA.
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2016The Effect of Additive Outliers on Fractional Unit Root Tests.(2016) In: LIDAM Reprints CORE.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: AStA Advances in Statistical Analysis.
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2015An augmented Taylor rule for the Federal Reserve€™s response to asset prices In: LIDAM Discussion Papers ISBA.
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2016An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA.
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2017An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA.
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2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
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2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
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2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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2016Heterogeneous Liquidity Effects in Corporate Bond Spreads In: LIDAM Discussion Papers ISBA.
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2017Heterogeneous Liquidity Effects in Corporate Bond Spreads.(2017) In: LIDAM Reprints ISBA.
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2017On asymptotic theory for ARCH(infinite) models In: LIDAM Discussion Papers ISBA.
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2017On Asymptotic Theory for ARCH (infinity) Models.(2017) In: LIDAM Reprints ISBA.
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2016On Asymptotic Theory for ARCH(infinite) Models.(2016) In: LIDAM Discussion Papers CORE.
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2017On asymptotic theory for ARCH([infinite]) models.(2017) In: LIDAM Reprints CORE.
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2017Asymmetries in Business Cycles and the Role of Oil Prices In: LIDAM Discussion Papers ISBA.
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2019Asymmetries in Business Cycles and the Role of Oil Prices.(2019) In: LIDAM Reprints ISBA.
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2019ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES.(2019) In: Macroeconomic Dynamics.
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2020Dynamic score driven independent component analysis In: LIDAM Discussion Papers ISBA.
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2022Dynamic score driven independent component analysis.(2022) In: LIDAM Reprints ISBA.
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2020Dynamic portfolio selection with sector-specific regularization In: LIDAM Discussion Papers ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints LFIN.
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2021Teaching statistical inference without normality In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Cambridge Working Papers in Economics.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Janeway Institute Working Papers.
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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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2011The euro introduction and noneuro currencies.(2011) In: Applied Financial Economics.
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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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2012Dynamic stochastic copula models: Estimation, inference and applications In: LIDAM Reprints ISBA.
[Citation analysis]		paper82
2008Dynamic stochastic copula models: estimation, inference and applications.(2008) In: Research Memorandum.
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2012Dynamic stochastic copula models: estimation, inference and applications.(2012) In: Journal of Applied Econometrics.
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2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series In: LIDAM Reprints ISBA.
[Citation analysis]		paper3
2012Cross-correlating wavelet coefficients with applications to high-frequency financial time series.(2012) In: Journal of Applied Statistics.
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2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
[Citation analysis]		paper7
2014Support Vector Machines with Evolutionary Model Selection for Default Prediction In: LIDAM Reprints ISBA.
[Citation analysis]		paper1
2014A One Line Derivation of EGARCH In: LIDAM Reprints ISBA.
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2014A One Line Derivation of EGARCH.(2014) In: Working Papers in Economics.
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2014A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Econometrics.
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2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Documentos de Trabajo del ICAE.
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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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2015Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market.(2015) In: Journal of Applied Econometrics.
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2018Testing for bubbles in cryptocurrencies with time-varying volatility.(2018) In: LIDAM Discussion Papers CORE.
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2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process.(2014) In: Tinbergen Institute Discussion Papers.
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2000Discrete time option pricing with flexible volatility estimation.(2000) In: LIDAM Reprints CORE.
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1997Discrete time option pricing with flexible volatility estimation.(1997) In: SFB 373 Discussion Papers.
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1998Volatility impulse response functions for multivariate GARCH models In: LIDAM Discussion Papers CORE.
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2001Volatility impulse response functions for multivariate GARCH models.(2001) In: LIDAM Discussion Papers CORE.
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2004Estimation of temporally aggregated multivariate GARCH models.(2004) In: Econometric Institute Research Papers.
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE.
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2005Durations, volume and the prediction of financial returns in transaction time In: LIDAM Reprints CORE.
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2000Durations, Volume and the Prediction of Financial Returns in Transaction Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004Semiparametric multivariate volatility models.(2004) In: Econometric Institute Research Papers.
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2008Temporal aggregation of multivariate GARCH processes.(2008) In: Journal of Econometrics.
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2004Temporal aggregation of multivariate GARCH processes.(2004) In: Econometric Institute Research Papers.
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1999Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis.(1999) In: SFB 373 Discussion Papers.
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2014THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE In: Annals of Financial Economics (AFE).
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1996Foreign Exchange Rates Have Surprising Volatility In: SFB 373 Discussion Papers.
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