WorldCat Identities

Hafner, Christian

Overview
Works: 132 works in 316 publications in 2 languages and 3,557 library holdings
Genres: Software  Handbooks and manuals  Bibliography 
Roles: Author, Other, Editor, Contributor
Publication Timeline
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Most widely held works by Christian Hafner
Statistics of financial markets : an introduction by Jürgen Franke( )

58 editions published between 2004 and 2015 in English and held by 1,592 WorldCat member libraries worldwide

"Statistics of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, value-at-risk, copulas, and statistics of the extremes."--BOOK JACKET
Handbook of volatility models and their applications by Luc Bauwens( )

12 editions published in 2012 in English and held by 710 WorldCat member libraries worldwide

"The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"--
Nonlinear time series analysis with applications to foreign exchange rate volatility by Christian M Hafner( Book )

17 editions published between 1996 and 2013 in English and German and held by 225 WorldCat member libraries worldwide

The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments
Post-modern electromagnetics : using intelligent Maxwell solvers by Christian Hafner( Book )

13 editions published between 1998 and 1999 in English and Undetermined and held by 223 WorldCat member libraries worldwide

Einführung in die Statistik der Finanzmärkte by Jürgen Franke( Book )

9 editions published between 1999 and 2004 in German and held by 218 WorldCat member libraries worldwide

E-book Version unter www.xplore-stat.de/ebooks/ebooks.html
The generalized multipole technique for computational electromagnetics by Christian Hafner( Book )

9 editions published in 1990 in English and held by 211 WorldCat member libraries worldwide

The 3D electrodynamic wave simulator : 3D MMP software and user's guide by Christian Hafner( Book )

9 editions published in 1993 in English and held by 51 WorldCat member libraries worldwide

Statistics of Financial Markets an Introduction by Jürgen Franke( )

7 editions published between 2008 and 2015 in English and held by 25 WorldCat member libraries worldwide

Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic. For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation. Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. Härdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4. "Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled "R and Matlab Code," which you will find on the right-hand side of the webpage."
Beiträge zur Berechnung der Ausbreitung elektromagnetischer Wellen in zylindrischen Strukturen mit Hilfe des Point-Matching-Verfahrens by Christian Hafner( Book )

2 editions published in 1980 in German and held by 17 WorldCat member libraries worldwide

Testing for causality in variance using multivariate GARCH models empirical evidence for Germany( )

3 editions published in 2004 in English and held by 17 WorldCat member libraries worldwide

Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate GARCH (or BEKK), and construct a Wald test on noncausality in variance. We compare both approaches to testing causality in variance in terms of asymptotic and finite sample properties. The Wald test is shown to have superior power properties under a sequence of local alternatives. Furthermore, we show by simulation that the Wald test is quite robust to misspecification of the order of the BEKK model, but that empirical power decreases substantially when asymmetries in volatility are ignored. Keywords: causality, multivariate volatility, local power
MaX-1 : a visual electromagnetics platform for PCs by Christian Hafner( Book )

1 edition published in 1998 in English and held by 12 WorldCat member libraries worldwide

Volatility impulse response functions for multivariate GARCH models by Christian Hafner( Book )

7 editions published between 1998 and 2001 in English and held by 12 WorldCat member libraries worldwide

Fourth moments of multivariate GARCH processes by Christian Hafner( Book )

7 editions published between 2000 and 2001 in English and held by 11 WorldCat member libraries worldwide

This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis between components. An impulse response function for kurtosis and co-kurtosis is defined that allows to analyse the expectation of the (co-)kurtosis conditional on an initial shock. For a bivariate exchange rate series, these functions indicate that there is a trade-off between conditional variance and conditional kurtosis: the conditional variance increases with the size of the shocks, hut the conditional kurtosis decreases. -- multivariate GARCH ; fourth moments ; kurtosis ; co-kurtosis ; impulse response function
Discrete time option pricing with flexible volatility estimation by Wolfgang Härdle( Book )

5 editions published in 1997 in English and Undetermined and held by 10 WorldCat member libraries worldwide

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the properties of the stationary pricing distribution in the case of a threshold GARCH model. For a stock index series with a pronounced leverage effect, simulated threshold GARCH option prices are substantially closer to observed market prices than the Black/Scholes and simulated GARCH prices
Komplikationsrate und Risikofaktoren für intraoperative Komplikationen bei Phakoemulsifikationen von Operateuren am Anfang ihrer Ausbildung by Andrea Briszi( )

1 edition published in 2012 in German and held by 9 WorldCat member libraries worldwide

The euro introduction and non-euro currencies by Dick van Dijk( Book )

4 editions published between 2005 and 2006 in English and held by 7 WorldCat member libraries worldwide

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the formal decision to proceed with the euro was made in December 1996 and at the time of the actual introduction of the euro in January 1999. In particular, we document that most correlations were substantially lower during the intermittent period. We also find breaks in unconditional volatilities at the same points in time, but these are of a much smaller magnitude comparatively
The tear = Die Thrane by F Gumbert( )

8 editions published between 1850 and 1861 in 3 languages and held by 7 WorldCat member libraries worldwide

Erfolgreiche Umsetzung philanthropischer Vorhaben in der Vermögensplanung by Christian Hafner( )

1 edition published in 2009 in German and held by 6 WorldCat member libraries worldwide

Building a framework for an efficient IT governance by Christian Häfner( Book )

1 edition published in 2009 in English and held by 6 WorldCat member libraries worldwide

MaX-1 : a visual electromagnetics platform for PCs by Christian Hafner( )

2 editions published in 1998 in English and held by 5 WorldCat member libraries worldwide

Based on multiple multipole (MMP) technique and generalized finite difference (GFD) scheme, a graphic platform for computational electromagnetics containing tools for the visualization and animation of electromagnetic fields as well as numeric semi-analytic and analytic Maxwell techniques. Features online manual and tutorial, input files of all examples, and AVI movie files
 
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Audience level: 0.58 (from 0.36 for Handbook o ... to 0.97 for Erfolgreic ...)

Statistics of financial markets : an introduction Statistics of Financial Markets an Introduction
Covers
Nonlinear time series analysis with applications to foreign exchange rate volatilityPost-modern electromagnetics : using intelligent Maxwell solversEinführung in die Statistik der FinanzmärkteThe generalized multipole technique for computational electromagneticsStatistics of Financial Markets an IntroductionMaX-1 : a visual electromagnetics platform for PCsMaX-1 : a visual electromagnetics platform for PCs
Alternative Names
Hafner, C.

Hafner, C. 1967-

Hafner, Christian.

Hafner, Christian 1967-

Hafner, Christian M.

Hafner, Christian Matthias

Hafner, Christian Matthias 1967-

Languages
English (152)

German (20)