Christian M Hafner
Biographic Data
| ID | 8920148 |
|---|---|
| NAME | Christian M Hafner |
| GIVEN NAMES | Christian M |
| FAMILY NAME | Hafner |
| SIGNATURE | HAFNER C M |
| AFFILIATIONS | UCLouvain |
| VERIFIED | No |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 5 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market
Independent component analysis has emerged as a promising approach for revealing structural relationships in multivariate dynamic systems, particularly in scenarios with limited knowledge of causal patterns. This article introduces a robust kernel-based maximum likelihood (KML) estimation method that accommodates the distributional characteristics of the structural sources of data variation. Our Monte Carlo study demonstrates the superior perform…
Dynamic Score-Driven Independent Component Analysis
A model for dynamic independent component analysis is introduced where the dynamics are driven by the score of the pseudo likelihood with respect to the rotation angle of model innovations. While conditional second moments are invariant with respect to rotations, higher conditional moments are not, which may have important implications for applications. The pseudo maximum likelihood estimator of the model is shown to be consistent and asymptotica…
Semiparametric estimation and variable selection for single‐index copula models
A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single‐index copula, we propose a simultaneous variable selection and estimation procedure. This method allows for choosing the most relevant state variables by using a penalized estimation with large sample properties derived. Simulation results demonstrate the good performance of the method…
Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
One of the implications of the intertemporal capital asset pricing model is that the risk premium of the market portfolio is a linear function of its variance. Yet, estimation theory of classical GARCH-in-mean models with linear-in-variance risk premium requires strong assumptions and is incomplete. We show that exponential-type GARCH models such as EGARCH or Log-GARCH are more natural in dealing with linear-in-variance risk premia. For the popul…
The Spread of the Covid-19 Pandemic in Time and Space
As the COVID-19 pandemic has had a profound impact on public health and global economies in 2020; it is crucial to understand how it developed and spread in time and space. This paper contributes to the growing literature by considering the dynamics of country-wise growth rates of infection numbers. Low-order serial correlation of growth rates is predominantly negative with cycles of two to four days for most countries. The results of fitted spat…
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The Spread of the Covid-19 Pandemic in Time and Space
As the COVID-19 pandemic has had a profound impact on public health and global economies in 2020; it is crucial to understand how it developed and spread in time and space. This paper contributes to the growing literature by considering the dynamics of country-wise growth rates of infection numbers. Low-order serial correlation of growth rates is predominantly negative with cycles of two to four days for most countries. The results of fitted spat…
Semiparametric estimation and variable selection for single‐index copula models
A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single‐index copula, we propose a simultaneous variable selection and estimation procedure. This method allows for choosing the most relevant state variables by using a penalized estimation with large sample properties derived. Simulation results demonstrate the good performance of the method…
Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
One of the implications of the intertemporal capital asset pricing model is that the risk premium of the market portfolio is a linear function of its variance. Yet, estimation theory of classical GARCH-in-mean models with linear-in-variance risk premium requires strong assumptions and is incomplete. We show that exponential-type GARCH models such as EGARCH or Log-GARCH are more natural in dealing with linear-in-variance risk premia. For the popul…
Dynamic Score-Driven Independent Component Analysis
A model for dynamic independent component analysis is introduced where the dynamics are driven by the score of the pseudo likelihood with respect to the rotation angle of model innovations. While conditional second moments are invariant with respect to rotations, higher conditional moments are not, which may have important implications for applications. The pseudo maximum likelihood estimator of the model is shown to be consistent and asymptotica…
Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market
Independent component analysis has emerged as a promising approach for revealing structural relationships in multivariate dynamic systems, particularly in scenarios with limited knowledge of causal patterns. This article introduces a robust kernel-based maximum likelihood (KML) estimation method that accommodates the distributional characteristics of the structural sources of data variation. Our Monte Carlo study demonstrates the superior perform…
Econometrics (5 works) · Economics (4 works) · Mathematics (4 works) · Statistics (4 works) · Estimator (3 works) · Computer Science (2 works) · Financial Risk and Volatility Modeling (2 works) · Macroeconomics (2 works) · 2019-20 coronavirus outbreak (1 work) · Artificial Intelligence (1 work)