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Statistics of financial markets : an introduction

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

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

Statistics of financial markets : an introduction

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

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

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

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

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

A simple model for now-casting volatility series

Breitung, Jörg; Hafner, Christian M. - In: International journal of forecasting 32 (2016) 4, pp. 1247-1255

Persistent link: https://www.econbiz.de/10011622143

Weak diffusion limits of dynamic conditional correlation models

Hafner, Christian M.; Laurent, Sébastien; Violante, … - In: Econometric theory 33 (2017) 3, pp. 691-716

Persistent link: https://www.econbiz.de/10011810186

An almost closed form estimator for the EGARCH model

Hafner, Christian M.; Linton, Oliver - In: Econometric theory 33 (2017) 4, pp. 1013-1038

Persistent link: https://www.econbiz.de/10011810237

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