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Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

Hafner, Christian M. - 1998

Persistent link: https://www.econbiz.de/10000965598

Volatility impulse response functions for multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10001363211

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

Persistent link: https://www.econbiz.de/10011499761

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

A simple model for now-casting volatility series

Breitung, Jörg; Hafner, Christian M. - 2015

Persistent link: https://www.econbiz.de/10011581871

On asymptotic theory for ARCH models

Hafner, Christian M.; Preminger, Arie - 2016

Persistent link: https://www.econbiz.de/10011893997

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014

Persistent link: https://www.econbiz.de/10010394614

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Persistent link: https://www.econbiz.de/10000992362

Volatility impulse response functions for multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut - 2001

Persistent link: https://www.econbiz.de/10001640371

The information content of treasury bond options concerning future volatility and price jumps

Busch, Thomas (contributor); … - 2006

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of associated bond options. Recent nonparametric statistical...

Persistent link: https://www.econbiz.de/10003795294