The following pages link to Christian M. Hafner (Q290973):
Displayed 50 items.
- Analytical quasi maximum likelihood inference in multivariate volatility models (Q61439) (← links)
- Temporal aggregation of multivariate GARCH processes (Q290974) (← links)
- Item:Q290973 (redirect page) (← links)
- A note on the Tobit model in the presence of a duration variable (Q498753) (← links)
- An ARCH model without intercept (Q500477) (← links)
- Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
- On asymptotic theory for multivariate GARCH models (Q842922) (← links)
- Item:Q290973 (redirect page) (← links)
- Multivariate mixed normal conditional heteroskedasticity (Q1019987) (← links)
- Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
- Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models (Q1299545) (← links)
- Simple approximations for option pricing under mean reversion and stochastic volatility (Q1424642) (← links)
- Discrete time option pricing with flexible volatility estimation (Q1584195) (← links)
- The effect of additive outliers on a fractional unit root test (Q1622085) (← links)
- Item:Q290973 (redirect page) (← links)
- Econometric analysis of volatile art markets (Q1927095) (← links)
- On the estimation of dynamic conditional correlation models (Q1927134) (← links)
- A Lagrange multiplier test for causality in variance (Q1929453) (← links)
- Identification of structural multivariate GARCH models (Q2116335) (← links)
- Estimation of a multiplicative correlation structure in the large dimensional case (Q2190234) (← links)
- Inference in stochastic frontier analysis with dependent error terms (Q2229869) (← links)
- WITHDRAWN: ``Inference in stochastic frontier analysis with dependent error terms'' (Q2229871) (← links)
- Erratum to: ``Inference in stochastic frontier analysis with dependent error terms'' (Q2229901) (← links)
- Statistics of financial markets. An introduction (Q2255401) (← links)
- On heterogeneous latent class models with applications to the analysis of rating scores (Q2259720) (← links)
- Efficient estimation of a semiparametric dynamic copula model (Q2445713) (← links)
- Asymmetric volatility impulse response functions (Q2681836) (← links)
- A simple solution of the spurious regression problem (Q2691758) (← links)
- Testing for linear autoregressive dynamics under heteroskedasticity (Q2707870) (← links)
- (Q2752735) (← links)
- SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS (Q2886942) (← links)
- LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION (Q3108568) (← links)
- Multivariate Time Series Models for Asset Prices (Q3112455) (← links)
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (Q3182774) (← links)
- Causality and forecasting in temporally aggregated multivariate GARCH processes (Q3566442) (← links)
- Semi-Parametric Modelling of Correlation Dynamics (Q3571962) (← links)
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (Q3632428) (← links)
- Structural analysis of portfolio risk using beta impulse response functions (Q4259388) (← links)
- (Q4425019) (← links)
- On Asymptotic Theory for ARCH (∞) Models (Q4596427) (← links)
- Nonparametric Multistep-Ahead Prediction in Time Series Analysis (Q4819022) (← links)
- Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility (Q4829393) (← links)
- Estimating Autocorrelations in the Presence of Deterministic Trends (Q4928543) (← links)
- The “wrong skewness” problem in stochastic frontier models: A new approach (Q5034259) (← links)
- Cross-correlating wavelet coefficients with applications to high-frequency financial time series (Q5127043) (← links)
- Statistics of Financial Markets (Q5234385) (← links)
- WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS (Q5349012) (← links)
- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL (Q5357395) (← links)
- Handbook of Volatility Models and Their Applications (Q5388714) (← links)
- Estimation of temporally aggregated multivariate GARCH models (Q5433115) (← links)