Vasyl Golosnoy : Citation Profile

Are you Vasyl Golosnoy?

Ruhr-Universität Bochum

7

H index

5

i10 index

220

Citations

RESEARCH PRODUCTION:

28

Articles

6

Papers

RESEARCH ACTIVITY:

   16 years (2007 - 2023). See details.
   Cites by year: 13
   Journals where Vasyl Golosnoy has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 19 (7.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo641
   Updated: 2024-12-03    RAS profile: 2023-12-06    
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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:

Bauwens, Luc (14)

Parolya, Nestor (12)

Asai, Manabu (10)

Mazur, Stepan (9)

Storti, Giuseppe (7)

Kondor, Imre (6)

Maheu, John (6)

Jucknewitz, Roland (6)

Frisén, Marianne (4)

Hansen, Peter (4)

Pape, Andreas (4)

Cites to:

Andersen, Torben (36)

Bollerslev, Tim (36)

Shephard, Neil (35)

Engle, Robert (27)

Gilboa, Itzhak (23)

Diebold, Francis (22)

Hafner, Christian (19)

Laurent, Sébastien (19)

Bauwens, Luc (19)

Hansen, Peter (18)

Lunde, Asger (13)

Main data

Where Vasyl Golosnoy has published?

Journals with more than one article published# docs
Quantitative Finance3
AStA Advances in Statistical Analysis2
Journal of Banking & Finance2
Econometrics and Statistics2
Journal of Applied Statistics2

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 (2024 and 2023)

YearTitle of citing document
2023Sampling 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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2024A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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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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2023Characterization of valid auxiliary functions for representations of extreme value distributions and their max-domains of attraction. (2023). Seifert, Miriam Isabel. In: Papers. RePEc:arx:papers:2311.15355.

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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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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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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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2024COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2024). Casarin, Roberto ; Billio, Monica ; Iacopini, Matteo ; Costola, Michele. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:113-131.

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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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2023The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Hao ; Xu, Yongan. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005625.

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2023Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521922002587.

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2023Modeling volatility and dependence of European carbon and energy prices. (2023). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006791.

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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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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Market momentum amplifies market volatility risk: Evidence from China’s equity market. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001245.

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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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2023Dynamic asymmetric connectedness in technological sectors. (2023). el Khoury, Rim ; Alqaralleh, Huthaifa ; Alshater, Muneer M. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000470.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023.

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2023Returns and Volatility Spillover between Nigeria and Selected Global Stock Markets: A Diebold-Yilmaz Approach. (2023). Karimo, Tari M ; Atoi, Ngozi V ; Tumala, Mohammed M. In: Economia Internazionale / International Economics. RePEc:ris:ecoint:0943.

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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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2023Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Korkusuz, Burak. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02290-w.

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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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Works by Vasyl Golosnoy:

YearTitleTypeCited
2016`To Have What They are Having: Portfolio Choice for Mimicking Mean-Variance Savers In: Papers.
[Full Text][Citation analysis]		paper0
2017‘To have what they are having’: portfolio choice for mimicking mean–variance savers.(2017) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2019REAL-TIME MONITORING OF THE US INFLATION EXPECTATION PROCESS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article1
2011CUSUM control charts for monitoring optimal portfolio weights In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article9
2009Flexible shrinkage in portfolio selection In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
2012The conditional autoregressive Wishart model for multivariate stock market volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article88
2010The conditional autoregressive wishart model for multivariate stock market volatility.(2010) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 88		paper
2020Statistical inferences for realized portfolio weights In: Econometrics and Statistics.
[Full Text][Citation analysis]		article1
2022Correcting Intraday Periodicity Bias in Realized Volatility Measures In: Econometrics and Statistics.
[Full Text][Citation analysis]		article1
2023Unrestricted maximum likelihood estimation of multivariate realized volatility models In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2019Exponential smoothing of realized portfolio weights In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article5
2020Bias corrections for exponentially transformed forecasts: Are they worth the effort? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2022Modeling and forecasting realized portfolio weights In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2014The empirical similarity approach for volatility prediction In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2008General uncertainty in portfolio selection: A case-based decision approach In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article15
2015Intra-daily volatility spillovers in international stock markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article23
2019Modeling and Forecasting Realized Portfolio Diversification Benefits In: JRFM.
[Full Text][Citation analysis]		article0
2012Statistical Surveillance of Volatility Forecasting Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2007Sequential monitoring of minimum variance portfolio In: AStA Advances in Statistical Analysis.
[Full Text][Citation analysis]		article5
2009Multivariate CUSUM chart: properties and enhancements In: AStA Advances in Statistical Analysis.
[Full Text][Citation analysis]		article0
2018Modeling dynamics of metal price series via state space approach with two common factors In: Empirical Economics.
[Full Text][Citation analysis]		article2
2014Modeling dynamics of metal price series via state space approach with two common factors.(2014) In: HWWI Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2023The effect of intraday periodicity on realized volatility measures In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]		article0
2018Sequential monitoring of portfolio betas In: Statistical Papers.
[Full Text][Citation analysis]		article0
2007Multivariate Shrinkage for Optimal Portfolio Weights In: The European Journal of Finance.
[Full Text][Citation analysis]		article37
2011Interval shrinkage estimators In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article0
2013Signaling NBER turning points: a sequential approach In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article4
2010No-transaction bounds and estimation risk In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2015Using information quality for volatility model combinations In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2014Monitoring the mean of multivariate financial time series In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article0
2012DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article2
2012Intra-daily volatility spillovers between the US and German stock markets In: Economics Working Papers.
[Full Text][Citation analysis]		paper0
2007Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance In: Economics Working Papers.
[Full Text][Citation analysis]		paper1
2009Sequential methodology for signaling business cycle turning points In: Kiel Working Papers.
[Full Text][Citation analysis]		paper0

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