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Temporal agregation of multivariate GARCH processes
Hafner, Christian M. - In: Journal of econometrics 142 (2008) 1, pp. 467-483
Persistent link: https://www.econbiz.de/10003608211
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Temporal aggregation of multivariate GARCH processes
Hafner, Christian M. - In: Journal of econometrics 142 (2008) 1, pp. 467-483
Persistent link: https://www.econbiz.de/10007894501
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Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10008455136
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Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
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Estimation of a multiplicative correlation structure in the large dimensional case
Hafner, Christian M.; Linton, Oliver; Tang, Haihan - In: Journal of econometrics 217 (2020) 2, pp. 431-470
Persistent link: https://www.econbiz.de/10012482816
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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
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A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.; Wang, Linqi - In: Journal of econometrics 237 (2023) 2,2, pp. 1-18
Persistent link: https://www.econbiz.de/10014471519