Christian Hafner

Catholic University of Louvain (UCL) - School of Statistics

Voie du Roman Pay

34 B-1348 Louvain-La-Neuve, 1348

Belgium

Tinbergen Institute

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

16

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33

CROSSREF CITATIONS

32

Scholarly Papers (16)

1.

Monthly Art Market Returns

Number of pages: 28 Posted: 26 Feb 2020
Fabian Bocart, Eric Ghysels and Christian Hafner
Artnet Worldwide Corporation, University of North Carolina Kenan-Flagler Business School and Catholic University of Louvain (UCL) - School of Statistics
Downloads 341 (112,098)

Abstract:

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art index, repeated sales, correlation

2.

Deciding between GARCH and Stochastic Volatility Via Strong Decision Rules

CORE Discussion Paper No. 2006/42
Number of pages: 28 Posted: 04 Aug 2006
Arie Preminger and Christian Hafner
University of Haifa - Department of Economics and Catholic University of Louvain (UCL) - School of Statistics
Downloads 331 (115,428)
Citation 3

Abstract:

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GARCH, stochastic volatility, model selection

3.

Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility

Number of pages: 28 Posted: 26 Jan 2018
Christian Hafner
Catholic University of Louvain (UCL) - School of Statistics
Downloads 328 (116,615)
Citation 19

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cryptocurrencies, speculative bubbles, wild bootstrap, volatility

4.

Semi-Parametric Modelling of Correlation Dynamics

Econometric Institute Report No. EI 2005-26
Number of pages: 47 Posted: 27 Sep 2005
Catholic University of Louvain (UCL) - School of Statistics, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 229 (168,332)
Citation 4

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Multivariate GARCH, dynamic conditional correlation, kernel regression, minimum variance portfolio, tracking error minimization

5.

An Almost Closed Form Estimator for the EGARCH Model

Number of pages: 28 Posted: 01 Sep 2012 Last Revised: 27 Apr 2015
Christian Hafner and Oliver B. Linton
Catholic University of Louvain (UCL) - School of Statistics and University of Cambridge
Downloads 168 (222,699)
Citation 2

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Autocorrelations, Generalized Error Distribution, Method of Moments Estimator, Newton-Raphson

6.

Asymptotic Theory for a Factor GARCH Model

CORE Discussion Paper No. 2006/71
Number of pages: 28 Posted: 15 Nov 2006
Christian Hafner and Arie Preminger
Catholic University of Louvain (UCL) - School of Statistics and University of Haifa - Department of Economics
Downloads 138 (261,726)
Citation 1

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Multivariate GARCH, factor model, geometric ergodicity, maximum likelihood, consistency, asymptotic normality

7.

The Euro Introduction and Non-Euro Currencies

Tinbergen Institute Discussion Paper No. TI 2005-044/4
Number of pages: 35 Posted: 20 May 2005
Haris Munandar, Christian Hafner and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Economics, Catholic University of Louvain (UCL) - School of Statistics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 130 (273,938)
Citation 4

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Exchange rates, multivariate GARCH, dynamic conditional correlation, structural breaks

8.

Efficient Estimation of a Multivariate Multiplicative Volatility Model

LSE STICERD Research Paper No. EM541
Number of pages: 53 Posted: 08 Feb 2010
Christian Hafner and Oliver B. Linton
Catholic University of Louvain (UCL) - School of Statistics and University of Cambridge
Downloads 82 (373,023)
Citation 2

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9.

Multivariate Mixed Normal Conditional Heteroskedasticity

CORE Discussion Paper No. 2006/12
Number of pages: 23 Posted: 15 Jul 2006
Luc Bauwens, Christian Hafner and J. V. K. Rombouts
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and HEC Montreal
Downloads 78 (384,009)
Citation 6

Abstract:

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Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

10.

Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case

Number of pages: 83 Posted: 20 May 2016 Last Revised: 18 Oct 2018
Christian Hafner, Oliver B. Linton and Haihan Tang
Catholic University of Louvain (UCL) - School of Statistics, University of Cambridge and University of Cambridge, Faculty of Economics, Students
Downloads 63 (430,988)
Citation 2

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Correlation Matrix, Kronecker Product, MTMM, Portfolio Choice

11.

Support Vector Machines with Evolutionary Feature Selection for Default Prediction

SFB 649 Discussion Paper 2012-030
Number of pages: 26 Posted: 07 Jan 2017
Wolfgang K. Härdle, Dedy Prastyo and Christian Hafner
Blockchain Research Center, Humboldt University of Berlin and Catholic University of Louvain (UCL) - School of Statistics
Downloads 60 (441,565)
Citation 2

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SVM, Genetic algorithm, global optmimum, default prediction

12.

Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets

Number of pages: 36 Posted: 29 Jan 2018
Walid Ben Omrane and Christian Hafner
Brock University - Department of Finance, Operations and Information Systems (FOIS) and Catholic University of Louvain (UCL) - School of Statistics
Downloads 33 (559,972)
Citation 3

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Foreign exchange markets, Volatility spillover, News surprises, Impulse response Analysis, High frequency data

13.

Multivariate Volatility Modeling of Electricity Futures

Journal of Applied Econometrics, 28/5, 743-761, 2013
Number of pages: 24 Posted: 09 May 2017
Luc Bauwens, Christian Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 27 (594,963)
Citation 2

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Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures

14.

Multivariate Volatility Modeling of Electricity Futures: Online Appendix

Number of pages: 6 Posted: 10 May 2017
Luc Bauwens, Christian Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 9 (725,904)
Citation 1

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Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures

15.

On Asymptotic Theory for Arch (∞) Models

Journal of Time Series Analysis, Vol. 38, Issue 6, pp. 865-879, 2017
Number of pages: 15 Posted: 18 Oct 2017
Christian Hafner and Arie Preminger
Catholic University of Louvain (UCL) - School of Statistics and University of Haifa - Department of Economics
Downloads 0 (810,442)
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Volatility, long memory, fractional integration, quasi‐maximum likelihood

16.

Fourth Moment Structure of Multivariate GARCH Models

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 26-54, 2003
Posted: 29 Feb 2008
Christian Hafner
Catholic University of Louvain (UCL) - School of Statistics

Abstract:

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multivariate GARCH, fourth moments, kurtosis, cokurtosis, spherical distribution