Christian M. Hafner
Selected Publications
An almost closed form estimator for the EGARCH model
The exponential GARCH (EGARCH) model introduced by Nelson (1991) is a popular model for discrete time […]
Estimation of a multiplicative covariance structure in the large dimensional case
We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this […]
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Estimation of a Multiplicative Covariance Structure
We consider a Kronecker product structure for large covariance matrices, which has the feature that the […]