Roxana Halbleib (Chiriac) : Citation Profile


Are you Roxana Halbleib (Chiriac)?

Universität Konstanz (50% share)
Universität Konstanz (50% share)

4

H index

3

i10 index

140

Citations

RESEARCH PRODUCTION:

6

Articles

11

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 14
   Journals where Roxana Halbleib (Chiriac) has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 5 (3.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch448
   Updated: 2019-11-16    RAS profile: 2018-09-19    
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Relations with other researchers


Works with:

Calzolari, Giorgio (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roxana Halbleib (Chiriac).

Is cited by:

Fengler, Matthias (9)

Degiannakis, Stavros (7)

McAleer, Michael (7)

Weigand, Roland (6)

Asai, Manabu (6)

Hautsch, Nikolaus (5)

Leschinski, Christian (5)

Okhrin, Ostap (5)

Sibbertsen, Philipp (4)

Violante, Francesco (4)

Taylor, Nick (4)

Cites to:

Bollerslev, Tim (16)

Calzolari, Giorgio (9)

Veredas, David (9)

Lombardi, Marco (8)

Voev, Valeri (8)

Renault, Eric (8)

Andersen, Torben (7)

Engle, Robert (7)

Lunde, Asger (7)

Diebold, Francis (7)

Shephard, Neil (7)

Main data


Where Roxana Halbleib (Chiriac) has published?


Working Papers Series with more than one paper published# docs
Working Paper Series of the Department of Economics, University of Konstanz / Department of Economics, University of Konstanz3
Working Papers ECARES / ULB -- Universite Libre de Bruxelles3

Recent works citing Roxana Halbleib (Chiriac) (2018 and 2017)


YearTitle of citing document
2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Bayer, Sebastian ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1704.02213.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2017Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

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2017Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2019Predicting the direction of stock market prices using tree-based classifiers. (2019). Kar, Saibal ; Dey, Sudeepa Roy ; Khaidem, Luckyson ; Saha, Snehanshu ; Basak, Suryoday. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:552-567.

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2018A simple test on structural change in long-memory time series. (2018). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:90-94.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2017Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2018The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility. (2018). Behrendt, Simon ; Schmidt, Alexander . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:355-367.

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2017The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314.

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2017The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Okhrin, Ostap ; Tetereva, Anastasija. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

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2017The Memory of Volatility. (2017). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-601.

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2017Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Hassani, Bertrand K ; Li, Kehan. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16034rr.

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2017Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. (2017). Elst, Harry Vander ; Veredas, David. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:1:p:106-138..

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2019Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95137.

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2018Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts. (2018). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:96272.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: MPRA Paper. RePEc:pra:mprapa:96446.

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2018Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

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2019A Practical Guide to Harnessing the HAR Volatility Model. (2019). Preve, Daniel ; Clements, Adam. In: NCER Working Paper Series. RePEc:qut:auncer:2019_01.

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2018A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1278-6.

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2017A simulation study on the distributions of disturbances in the GARCH model. (2017). Feng, Lingbing ; Zhang, Xibin ; Shi, Yanlin. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1355503.

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2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168222.

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Works by Roxana Halbleib (Chiriac):


YearTitleTypeCited
2008Modelling and Forecasting Multivariate Realized Volatility In: CREATES Research Papers.
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paper102
2011Modelling and forecasting multivariate realized volatility.(2011) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 102
article
2011Forecasting Covariance Matrices: A Mixed Frequency Approach In: CREATES Research Papers.
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paper13
2011Forecasting Covariance Matrices: A Mixed Frequency Approach.(2011) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 13
paper
2012Forecasting Covariance Matrices: A Mixed Frequency Approach.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz.
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This paper has another version. Agregated cites: 13
paper
2012Which model to match? In: Working Papers.
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paper1
2010Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors In: Working Papers ECARES.
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paper4
2011Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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This paper has another version. Agregated cites: 4
article
2011Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors.(2011) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 4
paper
2010A Note on Estimating Wishart Autoagressive Model In: Working Papers ECARES.
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paper0
2014Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood In: Computational Statistics & Data Analysis.
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article2
2012Indirect Estimation of α-Stable Garch Models.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz.
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This paper has another version. Agregated cites: 2
paper
2014Estimating Stable Factor Models By Indirect Inference.(2014) In: Working Paper Series of the Department of Economics, University of Konstanz.
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2012Improving the value at risk forecasts: Theory and evidence from the financial crisis In: Journal of Economic Dynamics and Control.
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article14
2018Estimating stable latent factor models by indirect inference In: Journal of Econometrics.
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2016Forecasting Covariance Matrices: A Mixed Approach In: Journal of Financial Econometrics.
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article1
2010How Risky Is the Value at Risk? In: Working Paper series.
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paper3

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