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subject:"Volatility"
type_genre:"Article in journal"
~person:"Hafner, Christian M."
~subject:"Autoregressive conditional duration"
~subject:"Theory"
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Autoregressive conditional duration
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Hafner, Christian M.
Phillips, Peter C. B.
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Li, Qi
25
Baltagi, Badi H.
23
McAleer, Michael
23
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Giles, David E. A.
19
Krämer, Walter
19
Gouriéroux, Christian
18
Horowitz, Joel
18
King, Maxwell L.
18
Ullah, Aman
18
Lee, Lung-fei
17
Tauchen, George Eugene
17
Granger, C. W. J.
16
Kumar, Dilip
16
Robinson, Peter M.
16
Srivastava, Virendra K.
16
Wooldridge, Jeffrey M.
16
Ghysels, Eric
15
Hahn, Jinyong
15
Linton, Oliver
15
Schmidt, Peter
15
Kelejian, Harry H.
14
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Bai, Jushan
13
Bera, Anil K.
13
Godfrey, L. G.
13
Lütkepohl, Helmut
13
Perron, Pierre
13
Rilstone, Paul
13
Smith, Richard J.
13
Teräsvirta, Timo
13
Dufour, Jean-Marie
12
Franses, Philip Hans
12
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12
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Economics letters
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1
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:
2
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:
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
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
Saved in:
5
Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang
;
Hafner, Christian M.
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 189-207
Persistent link: https://www.econbiz.de/10001486714
Saved in:
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