Narrow search
Showing 1 - 10 of 67
Cover Image
Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang - 1997
Persistent link: https://www.econbiz.de/10000971105
Cover Image
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1999
Persistent link: https://www.econbiz.de/10001377688
Cover Image
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
Cover Image
Testing for bubbles in cryptocurrencies with timevarying volatility
Hafner, Christian M. - 2018
Persistent link: https://www.econbiz.de/10011993271
Cover Image
Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018
Persistent link: https://www.econbiz.de/10011993276
Cover Image
Monthly art market returns
Bocart, Fabian Y.R.P.; Ghysels, Eric; Hafner, Christian M. - 2018
Persistent link: https://www.econbiz.de/10011993450
Cover Image
A simple model for now-casting volatility series
Breitung, Jörg; Hafner, Christian M. - 2015
Persistent link: https://www.econbiz.de/10011581871
Cover Image
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
Cover Image
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2016
Persistent link: https://www.econbiz.de/10011589493
Cover Image
Looking backward and looking forward
Gao, Zhengyuan; Hafner, Christian M. - 2016
Persistent link: https://www.econbiz.de/10011589522