Christian M. Hafner

Economics and Econometrics · 2003–2018

A researcher in the Science corpus: 16 papers; trusts 70 researchers and is trusted by 59 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 99 citations into it; #1,741 of 23,481 by trust here, #4,999 by citations
• Finance — 98 citations into it; #591 of 10,518 by trust here, #1,477 by citations
• Statistics and Probability — 41 citations into it; #4,872 of 12,932 by trust here, #5,857 by citations
• Management Science and Operations Research — 12 citations into it
• Economics & Operations Research — 6 citations into it
• Information Systems — 6 citations into it

Whom Christian M. Hafner trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Y. Tse
3. Tim Bollerslev
4. Fabienne Comte
5. R. Weide
6. Offer Lieberman
7. S. Ling
8. Albert K. Tsui
9. Michael Mcaleer
10. Christian Francq

Who trusts Christian M. Hafner overall

1. R. Brüggemann
2. D. Almeida
3. Ş. Nazlıoğlu
4. A. Belke
5. Diaa Noureldin
6. Farid Boussama
7. Helmut Herwartz
8. Carsten Jentsch
9. Teresa Serra
10. Cristina Amado

Papers from Christian M. Hafner's perspective

Ordered by how strongly the researchers Christian M. Hafner trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Asymptotic theory for multivariate GARCH processes
4. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
5. ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (Econometric Theory)
6. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
7. Dynamic Conditional Correlation
8. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
9. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
10. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Their papers

• A Lagrange multiplier test for causality in variance (2006) — 170 citations
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (2009) — 80 citations
• Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity (2009) — 55 citations
• Efficient estimation of a multivariate multiplicative volatility model (2010) — 101 citations
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009) — 50 citations
• Volatility impulse responses for multivariate GARCH models: An exchange rate illustration (2006) — 168 citations
• Temporal aggregation of multivariate GARCH processes (2004) — 48 citations
• A One Line Derivation of EGARCH (2014) — 82 citations
• Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility (2018) — 116 citations
• Analytical quasi maximum likelihood inference in multivariate volatility models (2003) — 61 citations
• The “wrong skewness” problem in stochastic frontier models: A new approach (2018) — 57 citations
• LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION (2011) — 54 citations
• Quantile autoregression. Commentary (2006) — 193 citations
• Semi-Parametric Modelling of Correlation Dynamics (2005) — 55 citations
• Statistics of Financial Markets: An Introduction (2004) — 124 citations
• Fourth Moment Structure of Multivariate GARCH Models (2003) — 76 citations