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Analytical quasi maximum likelihood inference in multivariate volatility models

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

Persistent link: https://www.econbiz.de/10001784026

Identification of structural multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018

Persistent link: https://www.econbiz.de/10011993276

Correlation impulse response functions

Hafner, Christian M.; Herwartz, Helmut - In: Finance research letters 57 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014513333

Identification of structural multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - In: Journal of econometrics 227 (2022) 1, pp. 212-227

Persistent link: https://www.econbiz.de/10013441647

Temporal agregation of multivariate GARCH processes

Hafner, Christian M. - In: Journal of econometrics 142 (2008) 1, pp. 467-483

Persistent link: https://www.econbiz.de/10003608211

Fourth moments of multivariate GARCH processes

Hafner, Christian M. - 2000

This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis...

Persistent link: https://www.econbiz.de/10009612043