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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

Estimating autocorrelations in the presence of deterministic trends

Wang, Shin-huei; Hafner, Christian M. - 2008

Persistent link: https://www.econbiz.de/10003817060

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

Weak diffusion limits of dynamic conditional correlation models

Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2015

Persistent link: https://www.econbiz.de/10010464687

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