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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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Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …
Persistent link: https://www.econbiz.de/10009351507
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Econometric analysis of volatile art markets
Bocart, Fabian Y.R.P.; Hafner, Christian M. - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3091-3104
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …
Persistent link: https://www.econbiz.de/10010617650
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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y.R.P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …
Persistent link: https://www.econbiz.de/10010550537
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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
multivariate GARCH model with exogenous news effects, we find that the initial impact of positive news on the volatility of the … that an important part of the impact on the Yen and Pound is induced by volatility spillover from the Euro. …
Persistent link: https://www.econbiz.de/10009195486
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An ARCH model without intercept
Hafner, Christian M.; Preminger, Arie - In: Economics Letters 129 (2015) C, pp. 13-17
parameter, the volatility process diverges to infinity at least in probability, and it has been shown that no consistent … the interesting case of log volatility following a random walk, which is called the stability case. For the ARCH(1) model …
Persistent link: https://www.econbiz.de/10011263447
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Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2011
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …
Persistent link: https://www.econbiz.de/10009467133
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Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2011
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …
Persistent link: https://www.econbiz.de/10010281564
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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012
-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …
Persistent link: https://www.econbiz.de/10010318789