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~person:"Hafner, Christian M."
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Search: subject:"Impulse Response"
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Volatility
4
ARCH model
2
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Impulse Response Function
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2
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impulse response analysis
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impulse response function
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Hafner, Christian M.
Mirdala, Rajmund
36
Inoue, Atsushi
26
Kilian, Lutz
26
Gupta, Rangan
18
Jalles, João Tovar
16
Lütkepohl, Helmut
16
Antonakakis, Nikolaos
15
Afonso, António
14
MIRDALA, Rajmund
14
Caporale, Guglielmo Maria
13
Karanassou, Marika
13
Moneta, Alessio
12
Eberle, Jonathan
11
Sheng, Xin
11
Wolters, Jürgen
11
Brenner, Thomas
10
Brüggemann, Ralf
10
Sala, Hector
10
Belke, Ansgar
9
Burgstaller, Johann
9
Caballero, Ricardo J.
9
Dijk, Herman K. van
9
Strachan, Rodney W.
9
Caggiano, Giovanni
8
Castelnuovo, Efrem
8
Gouriéroux, Christian
8
Hautsch, Nikolaus
8
Huang, Ruihong
8
Kim, Hyeongwoo
8
Mitze, Timo
8
Sacht, Stephen
8
Alvarez, Fernando
7
Badinger, Harald
7
Ferraresi, Tommaso
7
Giacomini, Raffaella
7
Herwartz, Helmut
7
Kitagawa, Toru
7
Lippi, Francesco
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Marcellino, Massimiliano
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
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International Econometric Review (IER)
2
SFB 373 Discussion Paper
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1
Asymmetric volatility
impulse
response
functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
2
Macroeconomic news surprises and volatility spillover in foreign exchange markets
Ben Omrane, Walid
;
Hafner, Christian M.
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
2
,
pp. 577-607
Persistent link: https://www.econbiz.de/10011292917
Saved in:
3
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model
Omrane, Walid Ben
;
Hafner, Christian M.
- In:
International Econometric Review (IER)
1
(
2009
)
1
,
pp. 50-62
We use an
impulse
response
methodology to analyse the effects of U.S. macroeconomic news announcements on the …
Persistent link: https://www.econbiz.de/10009195486
Saved in:
4
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model
Omrane, Walid Ben
;
Hafner, Christian M.
- In:
International Econometric Review (IER)
1
(
2009
)
1
,
pp. 50-62
We use an
impulse
response
methodology to analyse the effects of U.S. macroeconomic news announcements on the …
Persistent link: https://www.econbiz.de/10012610925
Saved in:
5
Fourth moments of multivariate GARCH processes
Hafner, Christian M.
-
Sonderforschungsbereich 373, Quantifikation und …
-
2000
provided for the kurtosis and co-kurtosis between components. An
impulse
response
function for kurtosis and co-kurtosis is …
Persistent link: https://www.econbiz.de/10010956486
Saved in:
6
Fourth moments of multivariate GARCH processes
Hafner, Christian M.
-
2000
provided for the kurtosis and co-kurtosis between components. An
impulse
response
function for kurtosis and co-kurtosis is …
Persistent link: https://www.econbiz.de/10010310227
Saved in:
7
Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications
Hafner, Christian M.
;
Herwartz, Helmut
-
Sonderforschungsbereich 373, Quantifikation und …
-
1999
volatility measures performs best for most series. To facilitate the interpretation of the results, we plot
impulse
response
…
Persistent link: https://www.econbiz.de/10010956408
Saved in:
8
Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
volatility measures performs best for most series. To facilitate the interpretation of the results, we plot
impulse
response
…
Persistent link: https://www.econbiz.de/10010310024
Saved in:
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