Roxana Halbleib (Chiriac) : Citation Profile

Are you Roxana Halbleib (Chiriac)?

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

6

H index

3

i10 index

239

Citations

RESEARCH PRODUCTION:

7

Articles

11

Papers

RESEARCH ACTIVITY:

   14 years (2008 - 2022). See details.
   Cites by year: 17
   Journals where Roxana Halbleib (Chiriac) has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 6 (2.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch448
   Updated: 2024-12-03    RAS profile: 2022-07-24    
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Relations with other researchers

Works with:

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 (11)

Okhrin, Ostap (10)

Bauwens, Luc (10)

Asai, Manabu (9)

Degiannakis, Stavros (7)

Medeiros, Marcelo (6)

Lucas, Andre (6)

Hautsch, Nikolaus (6)

Jucknewitz, Roland (6)

Clements, Adam (5)

Leschinski, Christian (5)

Cites to:

Bollerslev, Tim (16)

Voev, Valeri (11)

Calzolari, Giorgio (11)

Veredas, David (10)

Lunde, Asger (10)

Renault, Eric (10)

Hansen, Peter (9)

Shephard, Neil (9)

Lombardi, Marco (9)

Engle, Robert (8)

Mittnik, Stefan (7)

Main data

Where Roxana Halbleib (Chiriac) has published?

Working Papers Series with more than one paper published# docs
Working Papers ECARES / ULB -- Universite Libre de Bruxelles3
Working Paper Series of the Department of Economics, University of Konstanz / Department of Economics, University of Konstanz2

Recent works citing Roxana Halbleib (Chiriac) (2024 and 2023)

YearTitle of citing document
2024A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2023Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052.

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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179.

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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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2024Cross-exchange crypto risk: A high-frequency dynamic network perspective. (2024). Ren, Rui ; Lin, Min-Bin ; Lu, Wanbo ; Wang, Yifu ; Hardle, Wolfgang Karl. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001789.

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2023Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2023The Determinants of Volatility Timing Performance. (2023). Taylor, Nick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:1228-1257..

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2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

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2023Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3.

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2023Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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Works by Roxana Halbleib (Chiriac):

YearTitleTypeCited
2008Modelling and Forecasting Multivariate Realized Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper171
2011Modelling and forecasting multivariate realized volatility.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 171		article
2011Forecasting Covariance Matrices: A Mixed Frequency Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2011Forecasting Covariance Matrices: A Mixed Frequency Approach.(2011) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has nother 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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2012Which model to match? In: Working Papers.
[Full Text][Citation analysis]		paper1
2010Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors In: Working Papers ECARES.
[Full Text][Citation analysis]		paper6
2011Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2011Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors.(2011) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2010A Note on Estimating Wishart Autoagressive Model In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2014Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article7
2014Estimating Stable Factor Models By Indirect Inference.(2014) In: Working Paper Series of the Department of Economics, University of Konstanz.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2012Improving the value at risk forecasts: Theory and evidence from the financial crisis In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article28
2018Estimating stable latent factor models by indirect inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2016Forecasting Covariance Matrices: A Mixed Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article4
2010How Risky Is the Value at Risk? In: Working Paper series.
[Full Text][Citation analysis]		paper3
2022Realized Quantiles* In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2019How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice In: VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy.
[Full Text][Citation analysis]		paper0

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