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subject:"Deutschland"
subject:"Forecasting model"
~person:"Hafner, Christian M."
~subject:"ARCH-Modell"
~subject:"Estimation"
~type_genre:"Article in journal"
~type_genre:"Forschungsbericht"
~type_genre:"Konferenzschrift"
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Deutschland
Forecasting model
ARCH-Modell
Estimation
Estimation theory
15
Schätztheorie
15
Time series analysis
6
Zeitreihenanalyse
6
ARCH model
5
Volatility
5
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4
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Hafner, Christian M.
Francq, Christian
18
Linton, Oliver
16
Kumbhakar, Subal
15
Zakoïan, Jean-Michel
14
Baltagi, Badi H.
13
Cai, Zongwu
13
Gao, Jiti
13
Kumar, Dilip
13
Lütkepohl, Helmut
13
Su, Liangjun
13
Tauchen, George Eugene
13
Teräsvirta, Timo
13
Phillips, Peter C. B.
12
Kapetanios, George
11
Tsionas, Efthymios G.
11
Koop, Gary
10
Todorov, Viktor
10
Baillie, Richard
9
Lesage, James P.
9
Li, Jia
9
Rahbek, Anders
9
Bauwens, Luc
8
Bollerslev, Tim
8
Demetrescu, Matei
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Lee, Lung-fei
8
Li, Qi
8
Maheswaran, S.
8
Pesaran, M. Hashem
8
Ramírez, Miguel D.
8
Tsay, Ruey S.
8
Wang, Shouyang
8
Westerlund, Joakim
8
Jochmans, Koen
7
Kim, Donggyu
7
Li, Guodong
7
Ling, Shiqing
7
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Econometric theory
2
Economics letters
1
Finance research letters
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
The econometrics journal
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ECONIS (ZBW)
7
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1
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
Saved in:
2
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
3
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
Saved in:
4
Volatility of price indices for heterogeneous goods with applications to the fine art market
Bocart, Fabian Y. R.
;
Hafner, Christian M.
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10011327602
Saved in:
5
Locally stationary factor models : identification and nonparametric estimation
Motta, Giovanni
;
Hafner, Christian M.
;
Sachs, Rainer von
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1279-1319
Persistent link: https://www.econbiz.de/10009489713
Saved in:
6
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
;
Preminger, Arie
- In:
Econometric theory
25
(
2009
)
2
,
pp. 336-363
Persistent link: https://www.econbiz.de/10003818293
Saved in:
7
Causality and forecasting in temporally aggregated multivariate GARCH processes
Hafner, Christian M.
- In:
The econometrics journal
12
(
2009
)
1
,
pp. 127-146
Persistent link: https://www.econbiz.de/10003841978
Saved in:
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