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A semiparametric conditional capital asset pricing model

Cai, Zongwu; Ren, Yu; Yang, Bingduo - In: Journal of banking & finance 61 (2015), pp. 117-126

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Functional index coefficient models with variable selection

Cai, Zongwu; Juhl, Ted; Yang, Bingduo - In: Journal of econometrics 189 (2015) 2, pp. 272-284

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Unified tests for a dynamic predictive regression

Yang, Bingduo; Liu, Xiaohui; Peng, Liang; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 684-699

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A unified test for predictability of asset returns regardless of properties of predicting variables

Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159

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Explanatory factors of French retail wine prices

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

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Asymmetric volatility impulse response functions

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

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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

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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.

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An ARCH model without intercept

Hafner, Christian M.; Preminger, Arie - In: Economics letters 129 (2015), pp. 13-17

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