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A one line derivation of DCC : application of a vector random coefficient moving average process

Hafner, Christian M.; McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010410197

A one line derivation of DCC : application of a vector random coefficient moving average process

Hafner, Christian M.; McAleer, Michael - 2014 - Revised: July 2014

One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC … rather than a dynamic conditional correlation model; (ii) provides the motivation, which is presently missing, for … standardization of the conditional covariance model to obtain the conditional correlation model; and (iii) shows that the appropriate …

Persistent link: https://www.econbiz.de/10010374571

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001413478

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001568288

Simple approximations for option pricing under mean reversion and stochastic volatility

Hafner, Christian M. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001784022

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460

Monthly art market returns

Bocart, Fabian Y.R.P.; Ghysels, Eric; Hafner, Christian M. - 2018

Persistent link: https://www.econbiz.de/10011993450

A dynamic conditional score model for the log correlation matrix

Hafner, Christian M.; Wang, Linqi - 2019

Persistent link: https://www.econbiz.de/10012215223

Monthly art market returns

Bocart, Fabian Y. R. P.; Ghysels, Eric; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 13 (2020) 5/100, pp. 1-22

a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation …

Persistent link: https://www.econbiz.de/10012304909

Estimation of a multiplicative covariance structure

Hafner, Christian M.; Linton, Oliver; Tang, Haihan - 2016

We consider a Kronecker product structure for large covariance matrices, which has the feature that the number of free parameters increases logarithmically with the dimensions of the matrix. We propose an estimation method of the free parameters based on the log linear property of this...

Persistent link: https://www.econbiz.de/10011471948