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Testing for causality in variance using multivariate GARCH models
Hafner, Christian M., (2004)
Testing for causality in variance using multivariate GARCH model
Hafner, Christian M., (2008)
Time-varying market price of risk in the CAPM : approaches, empirical evidence and implications
Hafner, Christian M., (1998)
Structural analysis of portfolio risk using beta impulse response functions
Volatility impulse response functions for multivariate GARCH models