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source:"econis"
subject:"Zeitreihenanalyse"
~person:"Hafner, Christian M."
~subject:"ARCH-Modell"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
ARCH-Modell
Estimation theory
40
Schätztheorie
40
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15
Volatility
12
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12
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Hafner, Christian M.
Phillips, Peter C. B.
96
Gao, Jiti
74
Koopman, Siem Jan
55
Johansen, Søren
43
Teräsvirta, Timo
43
Lütkepohl, Helmut
42
Franses, Philip Hans
41
Linton, Oliver
41
Nielsen, Morten Ørregaard
39
Engle, Robert F.
34
Kapetanios, George
32
Zakoïan, Jean-Michel
32
Francq, Christian
31
Harvey, Andrew C.
29
Koop, Gary
29
Swanson, Norman R.
29
Li, Degui
28
Pesaran, M. Hashem
28
Rahbek, Anders
27
Sibbertsen, Philipp
27
Nelson, Daniel B.
26
Lucas, André
25
Robinson, Peter M.
25
Stock, James H.
25
Taylor, Robert
25
Watson, Mark W.
25
Bauwens, Luc
24
Maravall Herrero, Agustín
24
Perron, Pierre
24
Leybourne, Stephen James
23
McAleer, Michael
23
Nielsen, Bent
23
Brännäs, Kurt
22
Cavaliere, Giuseppe
22
Chambers, Marcus J.
22
Haldrup, Niels
22
Peng, Bin
22
Dong, Chaohua
21
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ECONIS (ZBW)
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1
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
2
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
3
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
4
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
5
An ARCH model without intercept
Hafner, Christian M.
;
Preminger, Arie
- In:
Economics letters
129
(
2015
),
pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
Saved in:
6
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
-
2009
Persistent link: https://www.econbiz.de/10003942464
Saved in:
7
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003375885
Saved in:
8
Deciding between GARCH and stochastic volatility via strong decision rules
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003329726
Saved in:
9
Semi-parametric modelling of correlation dynamics
Hafner, Christian M.
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003010850
Saved in:
10
Temporal aggregation of multivariate GARCH processes
Hafner, Christian M.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002186310
Saved in:
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