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Disambiguation of "Hafner, Christian M."

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Volatility impulse responses for multivariate GARCH models: An exchange rate illustration

, and . Journal of International Money and Finance, 25 (5): 719--740 (August 2006)

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Christian Häfner

Christian Hafner

Christian Hafner

Christian Häfner

Christian Häfner

 

Other publications of authors with the same name

Simple approximations for option pricing under mean reversion and stochastic volatility.. Comput. Stat., 18 (3): 339-353 (2003)Econometric analysis of volatile art markets., and . Comput. Stat. Data Anal., 56 (11): 3091-3104 (2012)Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models. Journal of Statistical Planning and Inference, 68 (2): 247--269 (May 15, 1998)Volatility impulse responses for multivariate GARCH models: An exchange rate illustration, and . Journal of International Money and Finance, 25 (5): 719--740 (August 2006)Durations, volume and the prediction of financial returns in transaction time. Quantitative Finance, 5 (2): 145--152 (2005)Nonlinear time series analysis with applications to foreign exchange rate volatility. Contributions to economics Physica-Verl., Heidelberg u.a., (1998)A Lagrange multiplier test for causality in variance, and . Economics Letters, 93 (1): 137-141 (October 2006)available at http://ideas.repec.org/a/eee/ecolet/v93y2006i1p137-141.html.Temporal aggregation of multivariate GARCH processes. Journal of Econometrics, 142 (1): 467--483 (January 2008)Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis, and . Journal of Empirical Finance, 8 (1): 1--34 (March 2001)Advances in Econometrics, , and . Volume 20, Part 1, chapter Semi-Parametric Modelling of Correlation Dynamics, page 59--103. JAI, (2006)