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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

Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

Hafner, Christian M. - 1998

Persistent link: https://www.econbiz.de/10000965598

Kernel estimation of financial time series

Hafner, Christian M. - In: Quantitative Verfahren im Finanzmarktbereich, (pp. 223-239). 1996

Persistent link: https://www.econbiz.de/10001319158

Temporal aggregation of multivariate GARCH processes

Hafner, Christian M. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002186310

Causality and forecasting in temporally aggregated multivariate GARCH processes

Hafner, Christian M. - In: The econometrics journal 12 (2009) 1, pp. 127-146

Persistent link: https://www.econbiz.de/10003841978

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang - 1997

Persistent link: https://www.econbiz.de/10000971105

A new method for volatility estimation with applications in foreign exchange rate series

Bossaerts, Peter L. - In: Finanzmarktanalyse und -prognose mit innovativen …, (pp. 71-83). 1996

Persistent link: https://www.econbiz.de/10001318071

A note on the Tobit model in the presence of a duration variable

Hafner, Christian M.; Preminger, Arie - In: Economics letters 126 (2015), pp. 47-50

Persistent link: https://www.econbiz.de/10011376392

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

Estimation of a multiplicative covariance structure in the large dimensional case

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

Persistent link: https://www.econbiz.de/10011565160