Vasyl Golosnoy : Citation Profile


Are you Vasyl Golosnoy?

Ruhr-Universität Bochum

5

H index

3

i10 index

127

Citations

RESEARCH PRODUCTION:

14

Articles

6

Papers

RESEARCH ACTIVITY:

   9 years (2007 - 2016). See details.
   Cites by year: 14
   Journals where Vasyl Golosnoy has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 8 (5.93 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo641
   Updated: 2019-10-06    RAS profile: 2017-01-29    
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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 Vasyl Golosnoy.

Is cited by:

Asai, Manabu (7)

Parolya, Nestor (6)

Bauwens, Luc (6)

Kondor, Imre (6)

Storti, Giuseppe (5)

Maheu, John (5)

McAleer, Michael (5)

Frisén, Marianne (4)

Weigand, Roland (4)

Fengler, Matthias (3)

Heiden, Moritz (3)

Cites to:

Bollerslev, Tim (19)

Andersen, Torben (18)

Engle, Robert (17)

Diebold, Francis (15)

Schmeidler, David (14)

Gilboa, Itzhak (14)

Santa-Clara, Pedro (8)

Shephard, Neil (8)

Ledoit, Olivier (7)

Valkanov, Rossen (7)

Wolf, Michael (7)

Main data


Where Vasyl Golosnoy has published?


Journals with more than one article published# docs
Journal of Applied Statistics2
Quantitative Finance2
AStA Advances in Statistical Analysis2

Working Papers Series with more than one paper published# docs
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics3

Recent works citing Vasyl Golosnoy (2018 and 2017)


YearTitle of citing document
2017Making Case-Based Decision Theory Directly Observable. (2017). Wakker, Peter ; Filko, Martin ; Kothiyal, Amit ; Bleichrodt, Han. In: American Economic Journal: Microeconomics. RePEc:aea:aejmic:v:9:y:2017:i:1:p:123-51.

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2018Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1602.08297.

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2018Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema. In: Papers. RePEc:arx:papers:1611.01958.

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2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

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2018Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1709.08755.

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2019Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (2017). Parolya, Nestor ; Schmid, Wolfgang ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1710.09587.

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2019Multivariate Fractional Components Analysis. (2018). 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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2019Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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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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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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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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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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2017Normative portfolio theory. (2017). Fu, Yufen ; Blazenko, George W. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:240-251.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2019Testing out-of-sample portfolio performance. (2019). Pohlmeier, Winfried ; Kazak, Ekaterina. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:540-554.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2017The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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2018Modeling financial market volatility in transition markets: a multivariate case. (2018). Oikonomikou, Leoni Eleni . In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:307-322.

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2019Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization. (2019). Papp, Gabor ; Kondor, Imre ; Caccioli, Fabio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100294.

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2018A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns. (2018). Clements, Adam ; O'Neill, Robert ; Becker, Ralf. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:7-:d:132320.

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2018Bayesian inference for the tangent portfolio. (2018). Bauder, David ; Okhrin, Yarema ; Mazur, Stepan ; Bodnar, Taras. In: Working Papers. RePEc:hhs:oruesi:2018_002.

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2019An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003.

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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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2019Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; Gupta, Rangan ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951.

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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Working Paper series. RePEc:rim:rimwps:18-02.

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2018Modeling dynamics of metal price series via state space approach with two common factors. (2018). Rossen, Anja ; Golosnoy, Vasyl. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1267-9.

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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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2017Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices. (2017). Smirnov, Sergey V ; Petronevich, Anna V ; Kondrashov, Nikolay V. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:13:y:2017:i:1:d:10.1007_s41549-017-0014-9.

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2018Sequential monitoring of portfolio betas. (2018). Golosnoy, Vasyl. In: Statistical Papers. RePEc:spr:stpapr:v:59:y:2018:i:2:d:10.1007_s00362-016-0783-6.

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2017Estimating the turning point location in shifted exponential model of time series. (2017). Cammarota, Camillo . In: Journal of Applied Statistics. RePEc:taf:japsta:v:44:y:2017:i:7:p:1269-1281.

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2017A generalized pivotal quantity approach to portfolio selection. (2017). , Philip ; Zhu, Yuanyuan ; Mathew, Thomas . In: Journal of Applied Statistics. RePEc:taf:japsta:v:44:y:2017:i:8:p:1402-1420.

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2017The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:4:p:513-527.

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2019Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190051.

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Works by Vasyl Golosnoy:


YearTitleTypeCited
2016`To Have What They are Having: Portfolio Choice for Mimicking Mean-Variance Savers In: Papers.
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2011CUSUM control charts for monitoring optimal portfolio weights In: Computational Statistics & Data Analysis.
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article9
2009Flexible shrinkage in portfolio selection In: Journal of Economic Dynamics and Control.
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article5
2012The conditional autoregressive Wishart model for multivariate stock market volatility In: Journal of Econometrics.
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article46
2010The conditional autoregressive wishart model for multivariate stock market volatility.(2010) In: Economics Working Papers.
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This paper has another version. Agregated cites: 46
paper
2014The empirical similarity approach for volatility prediction In: Journal of Banking & Finance.
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article5
2008General uncertainty in portfolio selection: A case-based decision approach In: Journal of Economic Behavior & Organization.
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article11
2015Intra-daily volatility spillovers in international stock markets In: Journal of International Money and Finance.
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article7
2012Statistical Surveillance of Volatility Forecasting Models In: Journal of Financial Econometrics.
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article1
2007Sequential monitoring of minimum variance portfolio In: AStA Advances in Statistical Analysis.
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article5
2009Multivariate CUSUM chart: properties and enhancements In: AStA Advances in Statistical Analysis.
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article1
2007Multivariate Shrinkage for Optimal Portfolio Weights In: The European Journal of Finance.
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article29
2011Interval shrinkage estimators In: Journal of Applied Statistics.
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article0
2013Signaling NBER turning points: a sequential approach In: Journal of Applied Statistics.
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article4
2010No-transaction bounds and estimation risk In: Quantitative Finance.
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article0
2015Using information quality for volatility model combinations In: Quantitative Finance.
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article2
2012Intra-daily volatility spillovers between the US and German stock markets In: Economics Working Papers.
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paper0
2007Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance In: Economics Working Papers.
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2014Modeling dynamics of metal price series via state space approach with two common factors In: HWWI Research Papers.
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2009Sequential methodology for signaling business cycle turning points In: Kiel Working Papers.
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