Christian Matthias Hafner : Citation Profile

Université Catholique de Louvain

24

H index

43

i10 index

1697

Citations

RESEARCH PRODUCTION:

81

Articles

221

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1995 - 2026). See details.
   Cites by year: 54
   Journals where Christian Matthias Hafner has often published
   Relations with other researchers
   Recent citing documents: 115.    Total self citations: 65 (3.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha77
   Updated: 2026-09-26    RAS profile: 2026-09-11    
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Relations with other researchers

Works with:

LINTON, OLIVER (8)

Bauwens, Luc (4)

Papavassiliou, Vassilios (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Matthias Hafner.

Is cited by:

Chang, Chia-Lin (86)

Caporin, Massimiliano (69)

Bauwens, Luc (30)

Ruiz, Esther (24)

Härdle, Wolfgang (22)

Fengler, Matthias (20)

Fiorentini, Gabriele (20)

Sentana, Enrique (20)

Savva, Christos (19)

Hotta, Luiz (18)

Asai, Manabu (18)

Cites to:

Engle, Robert (78)

Bollerslev, Tim (61)

Härdle, Wolfgang (39)

Drost, Feike C. (38)

Bauwens, Luc (37)

Ginsburgh, Victor (32)

Laurent, Sébastien (26)

LINTON, OLIVER (21)

OOSTERLINCK, Kim (18)

Rombouts, Jeroen (18)

Taschini, Luca (15)

Main data

Where Christian Matthias Hafner has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics5
Econometric Theory5
Journal of Econometrics5
Journal of Applied Econometrics4
Economics Letters4
Computational Statistics & Data Analysis4
Econometric Reviews3
JRFM3
Statistica Neerlandica3
Journal of Financial Econometrics2
Econometrics2
Computational Statistics2
International Econometric Review (IER)2
Econometrics Journal2
Mathematics and Computers in Simulation (MATCOM)2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)63
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)38
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes10
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk6
IRTG 1792 Discussion Papers / Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"3
Tinbergen Institute Discussion Papers / Tinbergen Institute3
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2
CeMMAP working papers / Institute for Fiscal Studies2
Post-Print / HAL2
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)2
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2

Recent works citing Christian Matthias Hafner (2026 and 2025)

YearTitle of citing document
2025Modeling prices from speculative markets: bursting bubbles or deflating balloons?. (2025). Wang, Linqi ; Harvey, Andrew ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025008.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Tensor dynamic conditional correlation model: A new way to pursuit Holy Grail of investing. (2025). Zhu, KE ; Yu, Cheng. In: Papers. RePEc:arx:papers:2502.13461.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Sarafidis, Vasilis ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios ; Kapetanios, George. In: Papers. RePEc:arx:papers:2506.21100.

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2025Approximate Factor Model with S-vine Copula Structure. (2025). Li, Yu-Ning ; Han, Jialing. In: Papers. RePEc:arx:papers:2508.11619.

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2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

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2026Predictive Accuracy versus Interpretability in Energy Markets: A Copula-Enhanced TVP-SVAR Analysis. (2026). SADEFO KAMDEM, Jules ; Gnandi, Kpante Emmanuel ; Pokou, Fredy. In: Papers. RePEc:arx:papers:2601.19321.

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2026Leveraging Large Language Models for Sentiment Analysis: Multi-Modal Analysis of Decentralands MANA Token. (2026). Zhang, Luyao ; Sun, Greg ; Yu, Michael ; Yuan, Jing ; Tsai, Peiting ; Wu, Xintong. In: Papers. RePEc:arx:papers:2605.20192.

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2026Climate-Conditioned Cascade Modeling for Multi-Peril Reinsurance: Analysis and Controlled Numerical Applications. (2026). Shokrollahi, F ; Salavati, E ; Karimi, N. In: Papers. RePEc:arx:papers:2608.09456.

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2025Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles. (2025). Magnani, Monia ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25252.

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2026Monetary Policy and Taylor Reaction Functions: Business Cycles, Central Bank Governance and Central Bankers’ Preferences. (2026). Masciandaro, Donato. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp26270.

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2026Cryptoization and Volatility of the Exchange Rate in Nigeria. (2026). Napari, Ayuba. In: Economic Studies journal. RePEc:bas:econst:y:2026:i:1:p:98-115.

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2025Density Forecast Transformations. (2025). Mogliani, Matteo ; Odendahl, Florens. In: Working papers. RePEc:bfr:banfra:1027.

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2024Efficiency of local public spending in Cameroon: Does population size matter?. (2024). Tameko, Gautier Tchoffo ; Wangbara, Djondandi ; Ongo, Bruno Emmanuel. In: African Development Review. RePEc:bla:afrdev:v:36:y:2024:i:2:p:362-376.

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2026Banking on Banksy: Banksy Prints as an Investment. (2026). Kenjegalieva, Aliya ; Witty, Oliver. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:78:y:2026:i:2:p:443-457.

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2026Multivariate Stochastic Volatility Model with Block Correlations. (2026). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Working Papers. RePEc:boa:wpaper:202638.

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2025Multivariate AutoRegressive Smooth Liquidity (MARSLiQ). (2025). Wang, L ; Hafner, C M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2569.

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2025Multivariate AutoRegressive Smooth Liquidity (MARSLiQ). (2025). Wang, L ; Hafner, C M ; Linton, O B. In: Janeway Institute Working Papers. RePEc:cam:camjip:2529.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2026Long Memory and Asymmetric Uncertainty Effects on Stock Returns and Volatility: A Fractional Integration Approach. (2026). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Crdenas, Jesus Pantoja. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12806.

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2025Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions. (2025). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Strohsal, Till. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2110.

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2025Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions. (2025). Strohsal, Till ; Lütkepohl, Helmut ; Ltkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2146.

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2025Spillover Effects between Financial and Physical Copper Markets. (2025). Capliez-Wahart, Romain. In: EconomiX Working Papers. RePEc:drm:wpaper:2025-40.

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2026Employee Green Behavior as a Unidimensional Construct: Psychometric Evidence from Higher Education Institutions. (2026). Suliman, Abubakr ; Alowais, Abdelaziz Abdalla. In: International Review of Management and Marketing. RePEc:eco:journ3:v:16:y:2026:i:5:id:23697.

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2025Testing for co-explosive behavior between mortgages loans and house prices in the Spanish economy. (2025). Esteve, Vicente ; Blanco-Arroyo, Omar ; Prats, Maraia A. In: Working Papers. RePEc:eec:wpaper:2515.

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2026Co-moving systems with explosive regressors and time-varying volatility: Evidence from the Spanish housing market. (2026). Esteve, Vicente ; Blanco-Arroyo, Omar ; Prats, Maraia A. In: Working Papers. RePEc:eec:wpaper:2601.

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2025Region detection and image clustering via sparse Kronecker product decomposition. (2025). Feng, Long ; Yang, Guang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:211:y:2025:i:c:s0167947325001021.

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2025Modelling dynamic interdependence in nonstationary variances with an application to carbon markets. (2025). Amado, Cristina ; Campos-Martins, Susana. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000284.

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2025Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach. (2025). Hommes, Cars ; di Francesco, Tommaso. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:175:y:2025:i:c:s0165188925000582.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2025Nonlinear hedging climate policy uncertainty: A dynamic mixed copula approach. (2025). Han, Yingwei ; Li, Jie. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001774.

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2026On completing the connectedness analysis—A bootstrap-based DCC-GARCH approach. (2026). Huai, Jingliang ; Wang, Bin ; Cheung, Adrian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:81:y:2026:i:c:s1062940825001664.

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2025Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables. (2025). Maral, Emerson Fernandes ; de Prince, Diogo ; Valls, Pedro L. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005561.

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2025Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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2025Estimating time-varying networks for high-dimensional time series. (2025). Chen, Jia ; Li, Degui ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002926.

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2025Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958.

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2026Inference for time-varying factor models under local stationarity. (2026). Hong, Yongmiao ; Zhou, Zhou ; Wu, Weichi. In: Journal of Econometrics. RePEc:eee:econom:v:253:y:2026:i:c:s0304407625002076.

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2026Probability distributions for realized covariance measures. (2026). Stollenwerk, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407625000089.

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2026A multivariate realized GARCH model. (2026). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407625000946.

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2026Sign-based tests for structural changes in multivariate volatility. (2026). Zhang, Zhenhuan ; Xiao, Zhijie ; Wu, Jilin. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pb:s0304407626000321.

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2026Convolution-t distributions. (2026). Hansen, Peter ; Tong, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pb:s0304407626000333.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2025Macroeconomic regime change and the size of supply chain disruption and energy supply shocks. (2025). Tornese, Tommaso ; de Santis, Roberto A. In: European Economic Review. RePEc:eee:eecrev:v:178:y:2025:i:c:s0014292125001278.

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2026Macroprudential policy and bank systemic risk: Does inflation targeting matter?. (2026). Choi, Woon Gyu ; ben Naceur, Sami ; Belkhir, Mohamed ; Mugrabi, Farah ; Candelon, Bertrand. In: Emerging Markets Review. RePEc:eee:ememar:v:71:y:2026:i:c:s1566014125001463.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Herwartz, Helmut ; Theilen, Bernd. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2025Energy commodities and U.S. housing: Long-run Price and volatility integration with comparative evidence from non-energy markets. (2025). Soytas, Ugur ; Nazlioglu, Saban ; Salvino, Robert ; Gormus, Alper. In: Energy Economics. RePEc:eee:eneeco:v:152:y:2025:i:c:s0140988325008370.

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2025Cross-regional spillover effects of sustainability indices: A heteroscedasticity-robust VAR approach. (2025). Sugano, Saki ; Motegi, Kaiji. In: International Review of Financial Analysis. RePEc:eee:finana:v:108:y:2025:i:pa:s1057521925007653.

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2026Modelling time-varying volatility interactions. (2026). Campos-Martins, Susana ; Amado, Cristina. In: International Review of Financial Analysis. RePEc:eee:finana:v:111:y:2026:i:c:s1057521926000256.

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2025Gold and cryptocurrencies as safe-havens: Lessons from wartime. (2025). Pastn-Henrquez, Boris ; Tapia-Grien, Pablo ; Seplveda-Velsquez, Jorge. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004933.

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2025Invest in depth or breadth? The influence of multidisciplinary practices on the valuation and legitimation of living artists. (2025). Faye, Benoit. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325007081.

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2025The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers. (2025). Li, Jie ; Smallwood, Aaron D. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000134.

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2025How do emotions drive market dynamics? A tale of spillovers in cryptocurrency markets. (2025). Liang, Weizhong ; Ye, Qiang ; Duan, Kun ; Urquhart, Andrew ; Huang, Yingying. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:103:y:2025:i:c:s1042443125000927.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2025Predicting value at risk for cryptocurrencies with generalized random forests. (2025). Buse, Rebekka ; Schienle, Melanie ; Grgen, Konstantin. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1199-1222.

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2025The M6 forecasting competition: Bridging the gap between forecasting and investment decisions. (2025). Swanson, Norman ; Petropoulos, Fotios ; Spiliotis, Evangelos ; Gaba, Anil ; Makridakis, Spyros ; Hollyman, Ross. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1315-1354.

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2026Asymmetric models for realized covariances. (2026). Bauwens, Luc ; Dzuverovic, Emilija ; Hafner, Christian. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:2:p:640-656.

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2025Listening to the Market: Music sentiment and cryptocurrency returns. (2025). Yarovaya, Larisa ; Naeem, Muhammad Abubakr ; Younus, Mehak ; Hadhri, Sinda. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001299.

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2025The oil industry chain under climate risk: Evidence from Chinas listed oil companies. (2025). Qin, Jingrui ; Liu, Dun ; Liang, Chao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:40:y:2025:i:c:s2405851325000637.

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2026The impact of public climate sentiment on systemic risk: Evidence from commodity and stock market systems. (2026). Ma, Pan ; Wang, Kun ; Yan, Jingjing. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:41:y:2026:i:c:s2405851325000820.

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2024Green cryptocurrencies and portfolio diversification in the era of greener paths. (2024). Sensoy, Ahmet ; khurram, Muhammad usman ; Vo, Xuan Vinh ; Ali, Fahad. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:191:y:2024:i:c:s1364032123009954.

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2026From resource curse to financial opportunity: A quantile-based frontier analysis of resources conversion efficiency in Southeast Asia. (2026). Asongu, Simplice ; Agozie, Divine Q ; Gyamfi, Bright Akwasi ; Yadav, Ashutosh. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:228:y:2026:i:c:s1364032125012559.

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2025Exploring volatility reactions in cryptocurrency markets using intraday macroeconomic news analysis. (2025). Savaser, Tanseli ; ben Omrane, Walid ; Sebai, Saber ; Saadi, Samir ; Dabbou, Halim. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006720.

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2024The influence of the bank–firm relationship on enterprises’ technological innovation efficiency: Evidence from China. (2024). Du, Shanxing ; Yin, Lei ; Chen, GE. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1583-1600.

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2025Exploring dynamic extreme dependence of oil and agricultural markets. (2025). Fikru, Mahelet ; Lahiani, Amine ; Kisswani, Khalid M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001959.

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2025Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak. (2025). Lucey, Brian ; Ahmed, Abdullahi D ; Abedin, Mohammad Zoynul ; Huang, Qingcheng ; Zeng, Hongjun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003404.

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2025A hybrid deep learning model for cryptocurrency returns forecasting: Comparison of the performance of financial markets and impact of external variables. (2025). Jirou, Ismail ; Jebabli, Ikram ; Lahiani, Amine. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003684.

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2025The role of whale investors in the bitcoin market. (2025). Shen, Dehua ; Shi, Guiqiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002648.

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2025Determinants of primary healthcare efficiency in the Brazilian Legal Amazon: A hybrid approach using Data Envelopment Analysis and Tobit regression. (2025). Azevedo, Lus Filipe ; Baiao, Fernanda Araujo ; Cyrino, Fernando Luiz ; Peres, Igor Tona. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:101:y:2025:i:c:s0038012125001065.

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2025Bitcoin trade volume in decentralized markets: International evidence. (2025). Giménez Roche, Gabriel ; Gimnez, Gabriel A ; Nol, Antoine ; Sauce, Loc. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:214:y:2025:i:c:s004016252500085x.

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2025A Bivariate Copula–Driven Multi-State Model for Statistical Analysis in Medical Research. (2025). Martnez-Flrez, Guillermo ; Tovar-Faln, Roger ; Brango, Hugo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3072-:d:1757144.

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2024Forecasting Realized Covariances Using HAR-Type Models. (2024). Manner, Hans ; Tafakori, Laleh ; Quiroz, Matias. In: Graz Economics Papers. RePEc:grz:wpaper:2024-20.

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2024Seek and Ye Shall Find: An Empirical Examination of the Effects of Seeking Real-Time Feedback on Employee Performance Evaluations. (2024). Kumar, Subodha ; Rivera, Michael ; Jiang, Cheng. In: Information Systems Research. RePEc:inm:orisre:v:35:y:2024:i:2:p:783-806.

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2026Estimating Dynamic Intergenerational Mobility Via A Mixed Copula Method. (2026). Luo, Xuelong ; Long, Wei ; Liu, Guannan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202604.

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2025Panel Stochastic Frontier Analysis with Positive Skewness. (2025). Hafner, Christian M ; el Mehdi, Rachida. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10646-w.

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2025Realized Real-Time GARCH: A Joint Model for Returns, Realized Measures and Current Information. (2025). Wu, Zhimin ; Cai, Guanghui. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:4:d:10.1007_s10614-024-10805-z.

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2025Skewness Issues in Quantifying Efficiency: Insights from Stochastic Frontier Panel Models Based on Closed Skew Normal Approximations. (2025). Wied, Dominik ; Haschka, Rouven E. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:5:d:10.1007_s10614-025-10857-9.

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2026Volatility Transmission Between Oil and Stock Markets: A Extreme-BEKK-GARCH Model. (2026). Huai, Jingliang. In: Computational Economics. RePEc:kap:compec:v:67:y:2026:i:5:d:10.1007_s10614-025-11002-2.

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2024The wrong skewness problem in stochastic frontier analysis: a review. (2024). Papadopoulos, Alecos ; Parmeter, Christopher F. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:61:y:2024:i:2:d:10.1007_s11123-023-00708-w.

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2024“Wrong” skewness and endogenous regressors in stochastic frontier models: an instrument-free copula approach with an application to estimate firm efficiency in Vietnam. (2024). Haschka, Rouven E. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:62:y:2024:i:1:d:10.1007_s11123-024-00722-6.

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2026Cryptocurrency risk management using Lévy processes and time-varying volatility. (2026). Yueh, Meng-Lan ; Wu, Hai-Tang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:66:y:2026:i:1:d:10.1007_s11156-025-01393-6.

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2026Design and valuation of cryptocurrencies. (2026). Shi, Yanghua ; Eska, Fabian E ; Uhrig-Homburg, Marliese ; Theissen, Erik. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:67:y:2026:i:1:d:10.1007_s11156-025-01447-9.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Aslanidis, Nektarios ; Bariviera, Aurelio ; Sarafidis, Vasilis ; Kapetanios, George. In: MPRA Paper. RePEc:pra:mprapa:125124.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2026A Study of the Impact of Crypto Assets on Portfolio Risk Management (2019€“2022). (2026). Takahashi, Hiroshi ; Liu, Mengyao ; Jotaki, Hiroaki. In: Journal of Interdisciplinary Economics. RePEc:sae:jinter:v:38:y:2026:i:2:p:139-157.

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2024Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. (2024). Sensoy, Ahmet ; Mahapatra, Biplab ; Banerjee, Ameet Kumar ; Fabozzi, Frank ; Pradhan, H K. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05865-1.

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2025Model-based vs. agnostic methods for the prediction of time-varying covariance matrices. (2025). Xidonas, Panos ; Poignard, Benjamin ; Fermanian, Jean-David. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06238-4.

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2025Predicting the volatility of Bitcoin returns based on kernel regression. (2025). Balcilar, Mehmet ; Anli, Sera ; Zmen, Mehmet. In: Annals of Operations Research. RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-023-05490-4.

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2026Precious metals and currency risk: testing hedging effectiveness and safe-haven properties across trading frequencies during periods of market distress. (2026). Palumbo, Dario. In: Annals of Operations Research. RePEc:spr:annopr:v:357:y:2026:i:1:d:10.1007_s10479-025-06824-0.

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2025A machine learning based regulatory risk index for cryptocurrencies. (2025). Ni, Xinwen ; Xie, Taojun ; Zuo, Xiaorui ; Hrdle, Wolfgang Karl. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:7:d:10.1007_s00180-025-01629-y.

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2026Dynamic risk spillovers from crude oil to agricultural commodities: a Markov-switching copula approach. (2026). Li, Jinzhi. In: Empirical Economics. RePEc:spr:empeco:v:70:y:2026:i:1:d:10.1007_s00181-025-02855-5.

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2024Energy efficiency in the Indian transportation sector: effect on carbon emissions. (2024). Shahbaz, Muhammad ; Mahapatra, Bamadev ; Irfan, Mohd. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:3:d:10.1007_s10668-023-02981-z.

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2025Portfolio risk of cryptocurrency inclusion: a comparison among conventional cryptocurrencies and asset-backed cryptocurrencies. (2025). Husain, Afzol ; Yii, Kwang-Jing ; Fung, Chorng Yuan ; Busulwa, Richard. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:3:d:10.1007_s40822-025-00320-3.

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2026Digital assets: risks, regulations, mitigation. (2026). Papavassiliou, Vassilios ; Filipovska, Olivija ; Będowska-Sójka, Barbara ; Teng, Huei-Wen ; Yildirim, Ozgur ; Goundar, Sam ; Skaftadttir, Hanna Kristn ; Moukas, Alexios-Ioannis ; Bdowska-Sjka, Barbara ; Thomaidis, Nikolaos S ; Xhumari, Elda ; Iannario, Maria ; Molnr, Blint ; Apostol, Elena-Simona ; Kabainskas, Audrius ; Schwendner, Peter ; Kabaklarli, Esra ; Bolesta, Karolina ; Hafner, Christian M ; Akar, Mutlu ; Baals, Lennart John ; Korba, Szabolcs ; Truic, Ciprian-Octavian ; Pele, Daniel Traian ; Coita, Ioana Florina ; Arakelian, Veni ; Osterrieder, Joerg ; Pisoni, Galena ; Weinberg, Abraham Itzhak ; Hrdle, Wolfgang Karl ; Shala, Albulena ; Nasir, Jamal Abdul. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00848-y.

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2025A fractional Hawkes process for illiquidity modeling. (2025). Dupret, Jean-Loup ; Hainaut, Donatien. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:1:d:10.1007_s11579-024-00379-7.

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2025The effects of aggregation and sampling on periodic INGARCH processes. (2025). Zhu, Fukang ; Su, Bing. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:88:y:2025:i:6:d:10.1007_s00184-025-00995-3.

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2026The effects of aggregation and sampling on periodic INGARCH processes. (2026). Zhu, Fukang ; Su, Bing. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:89:y:2026:i:2:d:10.1007_s00184-025-00995-3.

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2025Finite mixture copulas for modeling dependence in longitudinal count data. (2025). Chattopadhyay, Subhajit. In: METRON. RePEc:spr:metron:v:83:y:2025:i:2:d:10.1007_s40300-025-00292-z.

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2024Endogeneity in stochastic frontier models with wrong skewness: copula approach without external instruments. (2024). Haschka, Rouven E. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:3:d:10.1007_s10260-024-00750-4.

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More than 100 citations found, this list is not complete...

Works by Christian Matthias Hafner:

YearTitleTypeCited
2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
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2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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2014Local Government Efficiency: The Case of Moroccan Municipalities In: African Development Review.
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2013Local government efficiency: The case of Moroccan municipalities.(2013) In: LIDAM Discussion Papers ISBA.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: LIDAM Reprints ISBA.
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2014Local Government Efficiency: The Case of Moroccan Municipalities.(2014) In: African Development Review.
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2008Testing for Causality in Variance Usinf Multivariate GARCH Models In: Annals of Economics and Statistics.
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2004Testing for causality in variance using multivariate GARCH models.(2004) In: Econometric Institute Research Papers.
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2004Testing for Causality in Variance using Multivariate GARCH Models.(2004) In: Economics Working Papers.
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2010On the estimation of dynamic conditional correlation models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper58
2012On the estimation of dynamic conditional correlation models.(2012) In: LIDAM Reprints ISBA.
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2012On the estimation of dynamic conditional correlation models.(2012) In: Computational Statistics & Data Analysis.
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2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Multivariate volatility modeling of electricity futures.(2011) In: SFB 649 Discussion Papers.
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2011On heterogeneous latent class models with applications to the analysis of rating scores In: LIDAM Discussion Papers ISBA.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: LIDAM Reprints ISBA.
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2014On heterogeneous latent class models with applications to the analysis of rating scores.(2014) In: Computational Statistics.
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2011On heterogeneous latent class models with applications to the analysis of rating scores.(2011) In: SFB 649 Discussion Papers.
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2011Econometric analysis of volatile art markets In: LIDAM Discussion Papers ISBA.
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2012Econometric analysis of volatile art markets.(2012) In: LIDAM Reprints ISBA.
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2011Econometric analysis of volatile art markets.(2011) In: LIDAM Discussion Papers CORE.
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2012Econometric analysis of volatile art markets.(2012) In: Computational Statistics & Data Analysis.
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2011Econometric analysis of volatile art markets.(2011) In: SFB 649 Discussion Papers.
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2011Asymmetries in Business Cycles and the Role of Oil Production In: LIDAM Discussion Papers ISBA.
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2011Volatility Models In: LIDAM Discussion Papers ISBA.
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2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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2012Volatility of price indices for heterogeneous goods In: LIDAM Discussion Papers ISBA.
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2012Volatility of price indices for heterogeneous goods.(2012) In: SFB 649 Discussion Papers.
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2012Inference in stochastic frontier analysis with dependent error terms In: LIDAM Discussion Papers ISBA.
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: LIDAM Reprints ISBA.
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2014Inference in stochastic frontier analysis with dependent error terms.(2014) In: Mathematics and Computers in Simulation (MATCOM).
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2013Fair re-valuation of wine as an investment In: LIDAM Discussion Papers ISBA.
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2015Fair Revaluation of Wine as an Investment.(2015) In: LIDAM Reprints ISBA.
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2013Fair re-valuation of wine as an investment.(2013) In: LIDAM Discussion Papers CORE.
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2015Fair Revaluation of Wine as an Investment*.(2015) In: Journal of Wine Economics.
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2013Fair re-valuation of wine as an investment.(2013) In: SFB 649 Discussion Papers.
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2013An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper5
2013Support Vector Machines with Evolutionary Feature Selection for Default Prediction In: LIDAM Discussion Papers ISBA.
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2012Support vector machines with evolutionary feature selection for default prediction.(2012) In: SFB 649 Discussion Papers.
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2013The €œwrong skewness€Ω problem in stochastic frontier models: A new approach In: LIDAM Discussion Papers ISBA.
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2015The €œwrong skewness€Ω problem in stochastic frontier models: A new approach.(2015) In: LIDAM Discussion Papers ISBA.
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2018The €œwrong skewness€Ω problem in stochastic frontier models: A new approach.(2018) In: LIDAM Reprints ISBA.
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2013Macroeconomic news surprises and volatility spillover in foreign exchange markets In: LIDAM Discussion Papers ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: LIDAM Reprints ISBA.
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2015Macroeconomic news surprises and volatility spillover in foreign exchange markets.(2015) In: Empirical Economics.
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2014A note on the Tobit model in the presence of a duration variable In: LIDAM Discussion Papers ISBA.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints ISBA.
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2014A note on the Tobit model in the presence of a duration variable.(2014) In: LIDAM Discussion Papers CORE.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: LIDAM Reprints CORE.
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2015A note on the Tobit model in the presence of a duration variable.(2015) In: Economics Letters.
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2014A simple model for now-casting volatility series In: LIDAM Discussion Papers ISBA.
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2015A simple model for now-casting volatility series.(2015) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Discussion Papers ISBA.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints ISBA.
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2014A simple model for now-casting volatility series.(2014) In: LIDAM Discussion Papers CORE.
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2016A Simple Model for Now-Casting Volatility Series.(2016) In: LIDAM Discussion Papers CORE.
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2016A simple model for now-casting volatility series.(2016) In: LIDAM Reprints CORE.
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2016A simple model for now-casting volatility series.(2016) In: International Journal of Forecasting.
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2015The effect of additive outliers on a fractional unit root test In: LIDAM Discussion Papers ISBA.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: LIDAM Reprints ISBA.
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2016The Effect of Additive Outliers on Fractional Unit Root Tests.(2016) In: LIDAM Reprints CORE.
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2016The effect of additive outliers on a fractional unit root test.(2016) In: AStA Advances in Statistical Analysis.
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2015An augmented Taylor rule for the Federal Reserve€™s response to asset prices In: LIDAM Discussion Papers ISBA.
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2016An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA.
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2017An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA.
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2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
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2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
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2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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2016Heterogeneous Liquidity Effects in Corporate Bond Spreads In: LIDAM Discussion Papers ISBA.
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2017Heterogeneous Liquidity Effects in Corporate Bond Spreads.(2017) In: LIDAM Reprints ISBA.
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2017On asymptotic theory for ARCH(infinite) models In: LIDAM Discussion Papers ISBA.
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2017On Asymptotic Theory for ARCH (infinity) Models.(2017) In: LIDAM Reprints ISBA.
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2016On Asymptotic Theory for ARCH(infinite) Models.(2016) In: LIDAM Discussion Papers CORE.
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2017On asymptotic theory for ARCH([infinite]) models.(2017) In: LIDAM Reprints CORE.
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2017Asymmetries in Business Cycles and the Role of Oil Prices In: LIDAM Discussion Papers ISBA.
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2019Asymmetries in Business Cycles and the Role of Oil Prices.(2019) In: LIDAM Reprints ISBA.
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2019ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES.(2019) In: Macroeconomic Dynamics.
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2020Dynamic score driven independent component analysis In: LIDAM Discussion Papers ISBA.
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2022Dynamic score driven independent component analysis.(2022) In: LIDAM Reprints ISBA.
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2023Dynamic Score-Driven Independent Component Analysis.(2023) In: Journal of Business & Economic Statistics.
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2020Dynamic portfolio selection with sector-specific regularization In: LIDAM Discussion Papers ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints ISBA.
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2022Dynamic portfolio selection with sector-specific regularization.(2022) In: LIDAM Reprints LFIN.
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2024Dynamic portfolio selection with sector-specific regularization.(2024) In: Econometrics and Statistics.
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2021Teaching statistical inference without normality In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
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2023Dynamic Autoregressive Liquidity (DArLiQ).(2023) In: LIDAM Reprints ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: Cambridge Working Papers in Economics.
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2024Dynamic Autoregressive Liquidity (DArLiQ).(2024) In: Journal of Business & Economic Statistics.
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2022DAI Digital Art Index : a robust price index for heterogeneous digital assets In: LIDAM Discussion Papers ISBA.
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2026DAI digital art index: a robust price index for heterogeneous digital assets.(2026) In: LIDAM Reprints ISBA.
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2022Asymmetric volatility impulse response functions In: LIDAM Discussion Papers ISBA.
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2023Asymmetric volatility impulse response functions.(2023) In: LIDAM Reprints ISBA.
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2023Asymmetric volatility impulse response functions.(2023) In: Economics Letters.
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2023Causal inference with (partially) independent shocks and structural signals on the global crude oil market In: LIDAM Discussion Papers ISBA.
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2023Mitigating Digital Asset Risks In: LIDAM Discussion Papers ISBA.
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2024The effect of stock splits on liquidity in a dynamic model In: LIDAM Discussion Papers ISBA.
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2024Asymmetric Models for Realized Covariances In: LIDAM Discussion Papers ISBA.
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2026Asymmetric models for realized covariances.(2026) In: LIDAM Reprints ISBA.
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2024Asymmetric Models for Realized Covariances.(2024) In: LIDAM Discussion Papers CORE.
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2026Asymmetric models for realized covariances.(2026) In: LIDAM Reprints CORE.
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2026Asymmetric models for realized covariances.(2026) In: International Journal of Forecasting.
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2025Modeling prices from speculative markets: bursting bubbles or deflating balloons? In: LIDAM Discussion Papers ISBA.
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2025Modeling Prices from Speculative Markets: Bursting Bubbles or Deflating Balloons?.(2025) In: Cambridge Working Papers in Economics.
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2026An ARCH-in-Mean Model without Intercept In: LIDAM Discussion Papers ISBA.
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2010Locally Stationary Factor Models: Identification And Nonparametric Estimation In: LIDAM Reprints ISBA.
[Citation analysis]		paper29
2011Locally Stationary Factor Models: Identification And Nonparametric Estimation.(2011) In: LIDAM Reprints ISBA.
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2011LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION.(2011) In: Econometric Theory.
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1995A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series In: SFB 373 Discussion Papers.
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1996Foreign Exchange Rates Have Surprising Volatility In: SFB 373 Discussion Papers.
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1997Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models In: SFB 373 Discussion Papers.
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1998Flexible stochastic volatility structures for high frequency financial data In: SFB 373 Discussion Papers.
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1999Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications In: SFB 373 Discussion Papers.
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