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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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Discrete time option pricing with flexible volatility estimation
Hafner, Christian M.; HÄrdle, Wolfgang - In: Finance and Stochastics 4 (2000) 2, pp. 189-207
By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the … prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the … properties of the stationary pricing distribution in the case of a threshold GARCH model. For a stock index series with a …
Persistent link: https://www.econbiz.de/10005759645
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The Euro Introduction and Non-Euro Currencies
van Dijk, Dick; Munandar, Haris; Hafner, Christian M. - 2005
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10010325483
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The Euro Introduction and Non-Euro Currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Instituut - 2005
This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>
Persistent link: https://www.econbiz.de/10011255883
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The Euro Introduction and Non-Euro Currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Institute - 2005
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10005137141
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Semiparametric multivariate volatility models
Rombouts, Jeroen V. K.; Hafner, Christian M. - 2004
Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which …
Persistent link: https://www.econbiz.de/10010296410
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
prices caused by stochastic volatility. …
Persistent link: https://www.econbiz.de/10010310007
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1998
the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard QML inference …. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However … for the autoregressive parameter is negatively affected by misspecification of the volatility process. We show that …
Persistent link: https://www.econbiz.de/10010310056
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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2016
Persistent link: https://www.econbiz.de/10011589493
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1998
the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard QML inference …. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However … for the autoregressive parameter is negatively affected by misspecification of the volatility process. We show that …
Persistent link: https://www.econbiz.de/10010956379