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Mathematics

D-Index
36
Citations
4740
World Ranking
2667
National Ranking
36

Overview

Christian M. Hafner is affiliated with Université Catholique de Louvain in Belgium. Their research spans the fields of Economics, Econometrics, and Finance, with a total of 49 publications within these areas. The main subfields they work in include Economics and Econometrics, Finance, General Economics, Econometrics and Finance, Information Systems, and Management Science and Operations Research.

The scientific contributions of Christian M. Hafner cover various topics, particularly focusing on Financial Risk and Volatility Modeling, Market Dynamics and Volatility, Complex Systems and Time Series Analysis, Financial Markets and Investment Strategies, Monetary Policy and Economic Impact, Blockchain Technology Applications and Security, and Art History and Market Analysis.

Their frequent publication venues are:

  • SSRN Electronic Journal
  • Journal of Business and Economic Statistics
  • Journal of Econometrics
  • Journal of Risk and Financial Management
  • International Journal of Environmental Research and Public Health

Christian M. Hafner has collaborated regularly with several co-authors, including:

  • Helmut Herwartz
  • Linqi Wang
  • Oliver B. Linton
  • Fabian Bocart
  • Markus J. Fülle

Among their recent papers are:

  • The Spread of the Covid-19 Pandemic in Time and Space, 2020, International Journal of Environmental Research and Public Health
  • Identification of Structural Multivariate GARCH Models, 2020, Journal of Econometrics
  • A Dynamic Conditional Score Model for the Log Correlation Matrix, 2021, Journal of Econometrics
  • Alternative Assets and Cryptocurrencies, 2020, Journal of Risk and Financial Management
  • Asymmetric Volatility Impulse Response Functions, 2022, Economics Letters

Best Publications

  • Statistics of financial markets

    Jürgen Franke;Wolfgang Karl Härdle;Christian Matthias Hafner

  • Quantile autoregression. Commentary

    Roger Koenker;Zhijie Xiao;Jianqing Fan;Yingying Fan

  • A Lagrange multiplier test for causality in variance

    Christian M. Hafner;Helmut Herwartz

  • Dynamic stochastic copula models: Estimation, inference and applications

    Christian M. Hafner;Hans Manner

  • Volatility impulse response functions for multivariate GARCH models: an exchange rate illustration

    Christian M. Hafner;Helmut Herwartz

  • Handbook of Volatility Models and Their Applications

    Luc Bauwens;Christian M. Hafner;Sebastien Laurent

  • Testing for bubbles in cryptocurrencies with time-varying volatility

    Christian M Hafner

  • On asymptotic theory for multivariate GARCH models

    Christian M. Hafner;Arie Preminger

  • Fourth Moment Structure of Multivariate GARCH Models

    Christian M. Hafner

  • On the estimation of dynamic conditional correlation models

    Christian M. Hafner;Olga Reznikova

  • Efficient estimation of a multivariate multiplicative volatility model

    Christian M. Hafner;Oliver B. Linton

  • Statistics of Financial Markets: An Introduction

    Jürgen Franke;Wolfgang Karl Härdle;Christian Matthias Hafner

  • Discrete time option pricing with flexible volatility estimation

    Wolfgang Karl Härdle;Christian Hafner

  • A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets

    Christian M. Hafner;Philip Hans Franses

  • Efficient estimation of a semiparametric dynamic copula model

    Christian M. Hafner;Olga Reznikova

  • A One Line Derivation of EGARCH

    Michael McAleer;Christian M. Hafner

  • Handbook of Volatility Models and Their Applications: Bauwens/Handbook of Volatility Models and Their Applications

    Luc Bauwens;Christian Hafner;Sebastien Laurent

  • Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

    Christian M. Hafner

  • MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES

    Luc Bauwens;Christian M. Hafner;Diane Pierret

  • Analytical quasi maximum likelihood inference in multivariate volatility models

    Christian M. Hafner;Helmut Herwartz

  • Multivariate mixed normal conditional heteroskedasticity

    L. Bauwens;C. M. Hafner;J. V. K. Rombouts

  • Testing causality in variance using multivariate GARCH models

    Christian Hafner;Helmut Herwartz

Frequent Co-Authors

Wolfgang Karl Härdle
Wolfgang Karl Härdle Humboldt-Universität zu Berlin
Helmut Herwartz
Helmut Herwartz University of Göttingen
Oliver Linton
Oliver Linton University of Cambridge
Luc Bauwens
Luc Bauwens Université Catholique de Louvain
Dick van Dijk
Dick van Dijk Erasmus University Rotterdam
Philip Hans Franses
Philip Hans Franses Erasmus University Rotterdam
Peter Bossaerts
Peter Bossaerts University of Cambridge
Sébastien Laurent
Sébastien Laurent Aix-Marseille University
Michael McAleer
Michael McAleer Erasmus University Rotterdam
Léopold Simar
Léopold Simar Université Catholique de Louvain

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