Roxana Halbleib (Chiriac) : Citation Profile

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

6

H index

3

i10 index

259

Citations

RESEARCH PRODUCTION:

7

Articles

12

Papers

RESEARCH ACTIVITY:

   14 years (2008 - 2022). See details.
   Cites by year: 18
   Journals where Roxana Halbleib (Chiriac) has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 6 (2.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch448
   Updated: 2025-12-27    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)

Jucknewitz, Roland (6)

Xu, Yongdeng (6)

Clements, Adam (6)

Lucas, Andre (6)

Hautsch, Nikolaus (6)

Cites to:

Bollerslev, Tim (16)

Calzolari, Giorgio (11)

Voev, Valeri (11)

Renault, Eric (10)

Veredas, David (10)

Lunde, Asger (10)

Lombardi, Marco (9)

Shephard, Neil (9)

Hansen, Peter (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 Konstanz3

Recent works citing Roxana Halbleib (Chiriac) (2025 and 2024)

YearTitle of citing document
2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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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). Li, Yingying ; Lu, Wenbin ; Wan, Runzhe ; Song, Rui. 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). Wang, Yifu ; Hardle, Wolfgang Karl ; Lu, Wanbo ; Ren, Rui ; Lin, Min-Bin. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001789.

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

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2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Zaharieva, Martina Danielova ; Lopes, Hedibert F ; Virbickait, Audron. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

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2025Learning about tail risk: Machine learning and combination with regularization in market risk management. (2025). Wang, Jianzhou ; Lu, Helen ; Zhang, Dongxue ; Xing, Qianyi. In: Omega. RePEc:eee:jomega:v:133:y:2025:i:c:s0305048324002135.

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2025Modelling Value-at-Risk and Expected Shortfall for a Small Capital Market: Do Fractionally Integrated Models and Regime Shifts Matter?. (2025). Souffargi, Wafa ; Boubaker, Adel. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:4:p:203-:d:1630710.

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2025The Integration of Value-at-Risk in Assessing ESG-Based Collaborative Synergies in Cross-Border Acquisitions: Real Options Approach. (2025). Irjevskis, Andrejs. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:8:p:459-:d:1727263.

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2024Forecasting Realized Covariances Using HAR-Type Models. (2024). Manner, Hans ; Tafakori, Laleh ; Quiroz, Matias. In: Graz Economics Papers. RePEc:grz:wpaper:2024-20.

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2024Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas. (2024). Valle, Cristiano Arbex ; Mesquita, Caio Mario ; Machado, Adriano Cesar. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:5:d:10.1007_s10614-023-10387-2.

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2025The exponential HEAVY model: an improved approach to volatility modeling and forecasting. (2025). Xu, Yongdeng. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01358-1.

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2024Google Trends and Bitcoin volatility forecast. (2024). Peresetsky, Anatoly ; Teterin, M. In: Journal of the New Economic Association. RePEc:nea:journl:y:2024:i:64:p:118-135.

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2024Modeling the distribution of jet fuel price returns based on fat-tail stable Paretian distribution. (2024). Zhang, Shengda ; Lin, Shuang ; Xu, Zhizhen ; He, Fan ; Wang, Chaofeng. In: PLOS ONE. RePEc:plo:pone00:0309975.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2025Can Ethereum predict Bitcoin’s volatility?. (2025). Peresetsky, Anatoly ; Teterin, Maksim. In: Applied Econometrics. RePEc:ris:apltrx:0516.

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2024A Modified Network DEA Model for Bank Efficiency Analysis Considering Risk Factors. (2024). Fattahi, Fatemeh ; Afzalinejad, Mohammad ; Hadi, Ali ; Lotfi, Farhad Hosseinzadeh. In: SN Operations Research Forum. RePEc:spr:snopef:v:5:y:2024:i:4:d:10.1007_s43069-024-00379-9.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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2024Forecasting Bitcoin returns: Econometric time series analysis vs. machine learning. (2024). Koubova, Jana ; Berger, Theo. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:7:p:2904-2916.

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2025Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279.

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Works by Roxana Halbleib (Chiriac):

YearTitleTypeCited
2008Modelling and Forecasting Multivariate Realized Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper185
2011Modelling and forecasting multivariate realized volatility.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 185		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]		article8
2012Indirect Estimation of α-Stable Garch Models.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
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: 8		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]		article31
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]		article5
2010How Risky Is the Value at Risk? In: Working Paper series.
[Full Text][Citation analysis]		paper4
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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