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Semiparametric estimation and variable selection for single‐index copula models

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Persistent link: https://www.econbiz.de/10012535494

An ARCH model without intercept

Hafner, Christian M.; Preminger, Arie - In: Economics letters 129 (2015), pp. 13-17

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Estimating autocorrelations in the presence of deterministic trends

Wang, Shin-huei; Hafner, Christian M. - In: Journal of time series econometrics 3 (2011) 2, pp. 1-23

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A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10010392823

Support Vector Machines with Evolutionary ModelÂ Selection for DefaultÂ Prediction

Härdle, Wolfgang Karl; Prastyo, Dedy Dwi; Hafner, … - In: The Oxford handbook of applied nonparametric and …. 2014

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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

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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

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Asymmetries in business cycles and the role of oil prices

Daniel, Betty Carolyn; Hafner, Christian M.; Simar, Léopold - In: Macroeconomic dynamics 23 (2019) 4, pp. 1622-1648

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Weak diffusion limits of dynamic conditional correlation models

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An almost closed form estimator for the EGARCH model

Hafner, Christian M.; Linton, Oliver - In: Econometric theory 33 (2017) 4, pp. 1013-1038

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