Christian M. Hafner

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Wolfgang Karl HärdleHumboldt-Universität zu Berlin, Ladislaus von Bortkiewicz Professor of StatisticsVerified email at hu-berlin.de
Luc BauwensProfessor of Economics, Université catholique de LouvainVerified email at uclouvain.be
Hans MannerUniversity of GrazVerified email at uni-graz.at
Oliver LintonUNIVERSITY OF CAMBRIDGEVerified email at cam.ac.uk
Jeroen VK RomboutsESSEC Business SchoolVerified email at essec.edu
Philip Hans FransesErasmus School of EconomicsVerified email at ese.eur.nl
Sébastien LaurentAMSE, IAE, Aix-Marseille UniversitéVerified email at iae-aix.com
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamVerified email at ese.eur.nl
Leopold SimarUniversité Catholique de LouvainVerified email at uclouvain.be
Dedy Dwi PrastyoAssociate Professor at Department of Statistics, Institut Teknologi Sepuluh NopemberVerified email at statistika.its.ac.id
Michael McAleerProfessor of Quantitative Finance, Erasmus University RotterdamVerified email at ese.eur.nl
Walid Ben OmraneProfessor of Finance, Goodman School of BusinessVerified email at brocku.ca
Haris MunandarResearch Economist, Bank IndonesiaVerified email at bi.go.id
Diane PierretAssistant Professor, University of LuxembourgVerified email at uni.lu
Linqi WangUniversity of CambridgeVerified email at cam.ac.uk
Rong ChenRong Chen, Professor of Statistics, Rutgers UniversityVerified email at stat.rutgers.edu
Peter bossaertsUniversity of CambridgeVerified email at rioja.caltech.edu
Cathy Yi-Hsuan ChenAdam Smith Business School, University of GlasgowVerified email at glasgow.ac.uk
Zongwu CaiDepartment of Economics, University of KansasVerified email at ku.edu
Prof. Dr. Lijian Yang 杨立坚Center for Statistical Science & Department of Industrial Engineering, Tsinghua UniversityVerified email at tsinghua.edu.cn

Christian M. Hafner

Professor of econometrics, UCL Louvain-la-Neuve

Verified email at uclouvain.be

financial econometrics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Quantile autoregression R Koenker, Z Xiao Journal of the American statistical association 101 (475), 980-990, 2006	769	2006
Statistics of financial markets J Franke, WK Härdle, CM Hafner Springer, 2004	499	2004
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration CM Hafner, H Herwartz Journal of International Money and Finance 25 (5), 719-740, 2006	272*	2006
Handbook of volatility models and their applications L Bauwens, CM Hafner, S Laurent John Wiley & Sons, 2012	242	2012
Dynamic stochastic copula models: Estimation, inference and applications CM Hafner, H Manner Journal of applied econometrics 27 (2), 269-295, 2012	241	2012
A Lagrange multiplier test for causality in variance CM Hafner, H Herwartz Economics letters 93 (1), 137-141, 2006	217	2006
Einführung in die Statistik der Finanzmärkte J Franke, WK Härdle, CM Hafner Springer-Verlag, 2012	191*	2012
A generalized dynamic conditional correlation model: simulation and application to many assets CM Hafner, PH Franses Econometric Reviews 28 (6), 612-631, 2009	189*	2009
Testing for bubbles in cryptocurrencies with time-varying volatility CM Hafner Journal of Financial Econometrics 18 (2), 233-249, 2020	171	2020
On asymptotic theory for multivariate GARCH models CM Hafner, A Preminger Journal of Multivariate Analysis 100 (9), 2044-2054, 2009	137	2009
On the estimation of dynamic conditional correlation models CM Hafner, O Reznikova Computational Statistics & Data Analysis 56 (11), 3533-3545, 2012	128	2012
Testing for causality in variance using multivariate GARCH models CM Hafner, H Herwartz Annales d'Economie et de Statistique, 215-241, 2008	119*	2008
Fourth moment structure of multivariate GARCH models CM Hafner Journal of Financial Econometrics 1 (1), 26-54, 2003	116	2003
Efficient estimation of a multivariate multiplicative volatility model CM Hafner, O Linton Journal of econometrics 159 (1), 55-73, 2010	108	2010
Sentiment-induced bubbles in the cryptocurrency market CYH Chen, CM Hafner Journal of Risk and Financial Management 12 (2), 53, 2019	107	2019
Discrete time option pricing with flexible volatility estimation W Härdle, CM Hafner Finance and Stochastics 4, 189-207, 2000	103	2000
Efficient estimation of a semiparametric dynamic copula model CM Hafner, O Reznikova Computational Statistics & Data Analysis 54 (11), 2609-2627, 2010	102	2010
A one line derivation of EGARCH M McAleer, CM Hafner Econometrics 2 (2), 92-97, 2014	100	2014
Nonlinear time series analysis with applications to foreign exchange rate volatility C Hafner Springer Science & Business Media, 2013	93	2013
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity CM Hafner, H Herwartz Statistica Neerlandica 63 (3), 294-323, 2009	89	2009

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