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Christian Matthias Hafner

Institution: Université Catholique de Louvain

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://scholar.google.be/citations?user=faJIXqUAAAAJ&hl=en

First Publication: 2006

Most Recent: 2022

RePEc ID: pha77 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 3.36 0.50 0.00 3.87 74%
Last 10 Years 0.00 4.71 3.20 0.00 7.90 83%
All Time 0.00 10.76 9.59 1.51 21.86 94%

Publication Statistics

Raw Publications 19
Coauthorship-Adjusted Count 18.01

Publications (19)

Year Article Journal Tier Authors
2022 Identification of structural multivariate GARCH models Journal of Econometrics A 3
2021 Exponential-Type GARCH Models With Linear-in-Variance Risk Premium Journal of Business & Economic Statistics A 2
2021 Semiparametric estimation and variable selection for single‐index copula models Journal of Applied Econometrics B 4
2020 Estimation of a multiplicative correlation structure in the large dimensional case Journal of Econometrics A 3
2017 WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS Econometric Theory B 3
2017 AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL Econometric Theory B 2
2016 A simple model for now-casting volatility series International Journal of Forecasting B 2
2015 A note on the Tobit model in the presence of a duration variable Economics Letters C 2
2015 An ARCH model without intercept Economics Letters C 2
2015 Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market Journal of Applied Econometrics B 2
2013 Multivariate Volatility Modeling of Electricity Futures Journal of Applied Econometrics B 3
2012 Dynamic stochastic copula models: estimation, inference and applications Journal of Applied Econometrics B 2
2011 LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION Econometric Theory B 3
2010 Efficient estimation of a multivariate multiplicative volatility model Journal of Econometrics A 2
2009 ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL Econometric Theory B 2
2008 Temporal aggregation of multivariate GARCH processes Journal of Econometrics A 1
2007 SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS Econometric Theory B 2
2006 A Lagrange multiplier test for causality in variance Economics Letters C 2
2006 Volatility impulse responses for multivariate GARCH models: An exchange rate illustration Journal of International Money and Finance B 2