Quantile autoregression R Koenker, Z Xiao Journal of the American statistical association 101 (475), 980-990, 2006 | 733 | 2006 |
Statistics of financial markets J Franke, WK Härdle, CM Hafner Springer, 2004 | 486 | 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 | 267* | 2006 |
Handbook of volatility models and their applications L Bauwens, CM Hafner, S Laurent John Wiley & Sons, 2012 | 229 | 2012 |
Dynamic stochastic copula models: Estimation, inference and applications CM Hafner, H Manner Journal of applied econometrics 27 (2), 269-295, 2012 | 229 | 2012 |
A Lagrange multiplier test for causality in variance CM Hafner, H Herwartz Economics letters 93 (1), 137-141, 2006 | 212 | 2006 |
Einführung in die Statistik der Finanzmärkte J Franke, WK Härdle, CM Hafner Springer-Verlag, 2012 | 189* | 2012 |
A generalized dynamic conditional correlation model: simulation and application to many assets CM Hafner, PH Franses Econometric Reviews 28 (6), 612-631, 2009 | 184* | 2009 |
Testing for bubbles in cryptocurrencies with time-varying volatility CM Hafner Journal of Financial Econometrics 18 (2), 233-249, 2020 | 156 | 2020 |
On asymptotic theory for multivariate GARCH models CM Hafner, A Preminger Journal of Multivariate Analysis 100 (9), 2044-2054, 2009 | 129 | 2009 |
On the estimation of dynamic conditional correlation models CM Hafner, O Reznikova Computational Statistics & Data Analysis 56 (11), 3533-3545, 2012 | 127 | 2012 |
Testing for causality in variance using multivariate GARCH models CM Hafner, H Herwartz Annales d'Economie et de Statistique, 215-241, 2008 | 117* | 2008 |
Fourth moment structure of multivariate GARCH models CM Hafner Journal of Financial Econometrics 1 (1), 26-54, 2003 | 115 | 2003 |
Efficient estimation of a multivariate multiplicative volatility model CM Hafner, O Linton Journal of econometrics 159 (1), 55-73, 2010 | 107 | 2010 |
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 |
Sentiment-induced bubbles in the cryptocurrency market CYH Chen, CM Hafner Journal of Risk and Financial Management 12 (2), 53, 2019 | 98 | 2019 |
A one line derivation of EGARCH M McAleer, CM Hafner Econometrics 2 (2), 92-97, 2014 | 95 | 2014 |
Nonlinear time series analysis with applications to foreign exchange rate volatility C Hafner Springer Science & Business Media, 2013 | 92 | 2013 |
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity CM Hafner, H Herwartz Statistica Neerlandica 63 (3), 294-323, 2009 | 84 | 2009 |