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

19

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CROSSREF CITATIONS

32

Scholarly Papers (19)

1.

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 466 (93,886)
Citation 3

Abstract:

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GARCH, stochastic volatility, model selection

2.

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 388 (116,076)
Citation 5

Abstract:

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cryptocurrencies, speculative bubbles, wild bootstrap, volatility

3.

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 372 (121,760)

Abstract:

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art index, repeated sales, correlation

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 241 (191,507)
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 177 (254,102)
Citation 2

Abstract:

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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 145 (300,197)
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 138 (312,099)
Citation 4

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

8.

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 102 (388,137)
Citation 2

Abstract:

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SVM, Genetic algorithm, global optmimum, default prediction

9.

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 95 (406,584)
Citation 2

Abstract:

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10.

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 87 (429,846)
Citation 6

Abstract:

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Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

11.

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 74 (472,158)
Citation 2

Abstract:

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Correlation Matrix, Kronecker Product, MTMM, Portfolio Choice

12.

Dynamic Autoregressive Liquidity (DArLiQ)

Number of pages: 99 Posted: 23 Mar 2022 Last Revised: 17 Sep 2022
Christian Hafner, Oliver B. Linton and Linqi Wang
Catholic University of Louvain (UCL) - School of Statistics, University of Cambridge and University of Cambridge - Faculty of Economics
Downloads 60 (526,297)

Abstract:

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Kernel, Nonparametric Estimation, Semiparametric Model, Stock Splits, Structural Change.

13.

BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series

Number of pages: 35 Posted: 09 Dec 2022 Last Revised: 16 Dec 2022
University of Goettingen (Göttingen), University of Goettingen (Göttingen), Catholic University of Louvain (UCL) - School of Statistics and University of Goettingen (Göttingen)
Downloads 53 (557,464)

Abstract:

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BEKK Model, Multivariate GARCH, Leverage Effect, Value-At-Risk, Impulse Response Functions, R

14.

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 48 (581,774)
Citation 3

Abstract:

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

15.

代 DAI Digital Art Index: A robust price index for heterogeneous digital assets

Number of pages: 50 Posted: 14 Dec 2022
IRTG 1792, Humboldt-Universität zu Berlin, Germany, IRTG 1792, Artnet Worldwide Corporation, Catholic University of Louvain (UCL) - School of Statistics and Blockchain Research Center
Downloads 47 (586,794)

Abstract:

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Non-fungible token, digital art, hedonic regression, index construction, robustness

16.

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 41 (619,078)
Citation 2

Abstract:

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

17.

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 19 (774,024)
Citation 1

Abstract:

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

18.

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 3 (931,393)

Abstract:

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Volatility, long memory, fractional integration, quasi‐maximum likelihood

19.

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