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Multivariate volatility modeling of electricity futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011
Persistent link: https://www.econbiz.de/10009161059
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Multivariate volatility modeling of electricity futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index … new model achieves higher forecasting performance compared to a standard DCC model. -- electricity futures ; dynamic …
Persistent link: https://www.econbiz.de/10009349215
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Multivariate volatility modeling of electricity futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - In: Journal of applied econometrics 28 (2013) 5, pp. 743-761
Persistent link: https://www.econbiz.de/10010351104
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Testing for bubbles in cryptocurrencies with timevarying volatility
Hafner, Christian M. - 2018
Persistent link: https://www.econbiz.de/10011993271
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On asymptotic theory for ARCH models
Hafner, Christian M.; Preminger, Arie - 2016
Persistent link: https://www.econbiz.de/10011893997
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Inference in stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: Mathematics and Computers in Simulation (MATCOM) 102 (2014) C, pp. 131-143
Stochastic frontier analysis (SFA) is often used to estimate technical efficiency of entities such as firms, countries … bootstrap algorithm which is suitable for the dependence case. This allows us to estimate the efficiency percentile confidence …
Persistent link: https://www.econbiz.de/10010870390
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Inference in stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: Mathematics and Computers in Simulation (MATCOM) 102 (2014) C, pp. 104-116
Stochastic frontier analysis (SFA) is often used to estimate technical efficiency of entities such as firms, countries … bootstrap algorithm which is suitable for the dependence case. This allows us to estimate the efficiency percentile confidence …
Persistent link: https://www.econbiz.de/10010785223
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Local government efficiency : the case of Moroccan municipalities
El Mehdi, Rachida; Hafner, Christian M. - In: African development review 26 (2014) 1, pp. 88-101
Persistent link: https://www.econbiz.de/10011313841
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Panel stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: International econometric review 13 (2021) 2, pp. 24-40
In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs … algorithm is proposed for statistical inference on the Technical Efficiency (TE) measures. Results for Moroccan policy of the … production and sales of drinking water from 2001 to 2007 identify the most and least efficient provinces, and a generally …
Persistent link: https://www.econbiz.de/10012816131
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Panel stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: International Econometric Review (IER) 13 (2021) 2, pp. 24-40
In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs … algorithm is proposed for statistical inference on the Technical Efficiency (TE) measures. Results for Moroccan policy of the … production and sales of drinking water from 2001 to 2007 identify the most and least efficient provinces, and a generally …
Persistent link: https://www.econbiz.de/10014518980