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Trending mixture copula models with copula selection
Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2018
Persistent link: https://www.econbiz.de/10011965829
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Local government efficiency : the case of Moroccan municipalities
El Mehdi, Rachida; Hafner, Christian M. - In: African development review 26 (2014) 1, pp. 88-101
Persistent link: https://www.econbiz.de/10011313841
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Volatility of price indices for heterogeneous goods with applications to the fine art market
Bocart, Fabian Y. R.; Hafner, Christian M. - In: Journal of applied econometrics 30 (2015) 2, pp. 291-312
Persistent link: https://www.econbiz.de/10011327602
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A simple model for now-casting volatility series
Breitung, Jörg; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010484185
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Statistics of financial markets : an introduction
Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2015 - 4. ed.
Persistent link: https://www.econbiz.de/10010485660
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Fair revaluation of wine as an investment
Bocart, Fabian Y. R. P.; Hafner, Christian M. - In: Journal of wine economics 10 (2015) 2, pp. 190-203
Persistent link: https://www.econbiz.de/10011403120
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...
Persistent link: https://www.econbiz.de/10010392823
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010438068
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Structural analysis of portfolio risk using beta impulse response functions
Hafner, Christian M.; Herwartz, Helmut - 1998
Persistent link: https://www.econbiz.de/10000992252
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Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Persistent link: https://www.econbiz.de/10000992362