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Asymmetric volatility impulse response functions

Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 222 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014232851

Identification of structural multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - In: Journal of econometrics 227 (2022) 1, pp. 212-227

Persistent link: https://www.econbiz.de/10013441647

Dynamic score-driven independent component analysis

Hafner, Christian M.; Herwartz, Helmut - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 298-308

Persistent link: https://www.econbiz.de/10014448140

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

Explanatory factors of French retail wine prices

Hafner, Christian M. - In: Applied economics letters 32 (2025) 2, pp. 259-262

Persistent link: https://www.econbiz.de/10015195281

Estimating autocorrelations in the presence of deterministic trends

Wang, Shin-huei; Hafner, Christian M. - In: Journal of time series econometrics 3 (2011) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10009623568

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10010392823

Statistics of financial markets : an introduction

Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2015 - 4. ed.

Persistent link: https://www.econbiz.de/10010485660

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

Statistics of financial markets : an introduction

Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2019 - Fifth edition

Persistent link: https://www.econbiz.de/10012000638