User profiles for Christian M. Hafner
Christian M. HafnerProfessor of econometrics, UCL Louvain-la-Neuve Verified email at uclouvain.be Cited by 5559 |
[BOOK][B] Handbook of volatility models and their applications
A complete guide to the theory and practice of volatility models in financial engineering
Volatility has become a hot topic in this era of instant communications, spawning a great deal of …
Volatility has become a hot topic in this era of instant communications, spawning a great deal of …
Dynamic stochastic copula models: Estimation, inference and applications
We propose a new dynamic copula model in which the parameter characterizing dependence
follows an autoregressive process. As this model class includes the Gaussian copula with …
follows an autoregressive process. As this model class includes the Gaussian copula with …
Testing for bubbles in cryptocurrencies with time-varying volatility
CM Hafner - Journal of Financial Econometrics, 2020 - academic.oup.com
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and
extreme volatility. While it is difficult to assess an intrinsic value to a specific cryptocurrency…
extreme volatility. While it is difficult to assess an intrinsic value to a specific cryptocurrency…
[HTML][HTML] On asymptotic theory for multivariate GARCH models
CM Hafner, A Preminger - Journal of Multivariate Analysis, 2009 - Elsevier
… For m = 4 , we find by simulations 2 that γ 4 ( Δ ) = − 0.1411 < 0 . Our first result is based on …
Hafner acknowledges financial support by the Fonds Spéciaux de Recherche (FSR 05) of the …
Hafner acknowledges financial support by the Fonds Spéciaux de Recherche (FSR 05) of the …
[BOOK][B] Statistics of financial markets
Universitext is a series of textbooks that presents material from a wide variety of mathematical
disciplines at master’s level and beyond. The books, often well classtested by their author, …
disciplines at master’s level and beyond. The books, often well classtested by their author, …
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
CM Hafner, H Herwartz - Journal of International Money and Finance, 2006 - Elsevier
We introduce a new concept of impulse response functions tracing the effects of independent
shocks on volatility through time while avoiding typical orthogonalization and ordering …
shocks on volatility through time while avoiding typical orthogonalization and ordering …
A Lagrange multiplier test for causality in variance
CM Hafner, H Herwartz - Economics letters, 2006 - Elsevier
We adapt the Lagrange multiplier (LM) principle to test for noncausality in variance of financial
returns. The new test is compared with a Portmanteau statistic [Cheung, YW, Ng, LK, 1996…
returns. The new test is compared with a Portmanteau statistic [Cheung, YW, Ng, LK, 1996…
On the estimation of dynamic conditional correlation models
CM Hafner, O Reznikova - Computational Statistics & Data Analysis, 2012 - Elsevier
The maximum likelihood estimator applied to the dynamic conditional correlation model is
severely biased in high dimensions. This is, in particular, the case where the cross-section …
severely biased in high dimensions. This is, in particular, the case where the cross-section …
[HTML][HTML] Sentiment-induced bubbles in the cryptocurrency market
Cryptocurrencies lack clear measures of fundamental values and are often associated with
speculative bubbles. This paper introduces a new way of testing for speculative bubbles …
speculative bubbles. This paper introduces a new way of testing for speculative bubbles …
Efficient estimation of a multivariate multiplicative volatility model
We propose a multivariate generalization of the multiplicative volatility model of Engle and
Rangel (2008), which has a nonparametric long run component and a unit multivariate …
Rangel (2008), which has a nonparametric long run component and a unit multivariate …