6
H index
3
i10 index
239
Citations
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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pch448 |
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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 3 |
Working Paper Series of the Department of Economics, University of Konstanz / Department of Economics, University of Konstanz | 2 |
Year | Title of citing document |
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2024 | A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper |
2023 | Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Realized 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. Full description at Econpapers || Download paper |
2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Modeling 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. Full description at Econpapers || Download paper |
2024 | Observation-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. Full description at Econpapers || Download paper |
2024 | Mining 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. Full description at Econpapers || Download paper |
2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. Full description at Econpapers || Download paper |
2024 | Cross-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. Full description at Econpapers || Download paper |
2023 | Challenging 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. Full description at Econpapers || Download paper |
2023 | Time-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. Full description at Econpapers || Download paper |
2023 | DCC- 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. Full description at Econpapers || Download paper |
2024 | Outlier-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. Full description at Econpapers || Download paper |
2023 | The 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.. Full description at Econpapers || Download paper |
2023 | Composite 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. Full description at Econpapers || Download paper |
2023 | Liquidity 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. Full description at Econpapers || Download paper |
2023 | Heterogeneous 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. Full description at Econpapers || Download paper |
2023 | Tail 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | Modelling and Forecasting Multivariate Realized Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 171 |
2011 | Modelling and forecasting multivariate realized volatility.(2011) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 171 | article | |
2011 | Forecasting Covariance Matrices: A Mixed Frequency Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
2011 | Forecasting Covariance Matrices: A Mixed Frequency Approach.(2011) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2012 | Forecasting 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 | |
2012 | Which model to match? In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 6 |
2011 | Forecasting 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 | |
2011 | Forecasting 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 | |
2010 | A Note on Estimating Wishart Autoagressive Model In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2014 | Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 7 |
2014 | Estimating 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 | |
2012 | Improving the value at risk forecasts: Theory and evidence from the financial crisis In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 28 |
2018 | Estimating stable latent factor models by indirect inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
2016 | Forecasting Covariance Matrices: A Mixed Approach In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
2010 | How Risky Is the Value at Risk? In: Working Paper series. [Full Text][Citation analysis] | paper | 3 |
2022 | Realized Quantiles* In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2019 | How 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] | paper | 0 |
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