Vasyl Golosnoy : Citation Profile

Ruhr-Universität Bochum

7

H index

5

i10 index

248

Citations

RESEARCH PRODUCTION:

28

Articles

6

Papers

RESEARCH ACTIVITY:

   16 years (2007 - 2023). See details.
   Cites by year: 15
   Journals where Vasyl Golosnoy has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 19 (7.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo641
   Updated: 2026-01-17    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)

Jucknewitz, Roland (6)

Maheu, John (6)

Frisén, Marianne (4)

Zhang, Yaojie (4)

GUPTA, RANGAN (4)

Cites to:

Bollerslev, Tim (36)

Andersen, Torben (36)

Shephard, Neil (35)

Engle, Robert (27)

Gilboa, Itzhak (23)

Diebold, Francis (22)

Hafner, Christian (19)

Bauwens, Luc (19)

Laurent, Sébastien (19)

Hansen, Peter (18)

Lunde, Asger (13)

Main data

Where Vasyl Golosnoy has published?

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

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 (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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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2025Tactical Asset Allocation with Macroeconomic Regime Detection. (2025). Oliveira, Daniel Cunha ; Sandfelder, Dylan ; Dong, Xiaowen ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2503.11499.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2024Characterization of valid auxiliary functions for representations of extreme value distributions and their max‐domains of attraction. (2024). Seifert, Miriam Isabel. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:832-860.

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

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2025Indirect and direct forecasting of volatility-timing portfolios. (2025). Xie, Xiaodu. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006268.

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

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2025Model Risk of Volatility Models. (2025). Lazar, Emese ; Zhang, Ning. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:1-22.

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2025Testing liquidity: A statistical theory based on asset staleness. (2025). Trapin, Luca ; Pollastri, Alessandro ; Pirino, Davide. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:23-40.

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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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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2025Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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2024Portfolio optimisation using alternative risk measures. (2024). Szczygielski, Jan Jakub ; Lorimer, Douglas Austen ; van Schalkwyk, Cornelis Hendrik. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007888.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2025Stock market volatility spillovers from U.S. to China: The pivotal role of Hong Kong. (2025). Chen, Yu-Lun ; Yang, Jimmy J ; Chang, Yu-Ting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000071.

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2024Capturing the timing of crisis evolution: A machine learning and directional wavelet coherence approach to isolating event-specific uncertainty using Google searches with an application to COVID-19. (2024). Obojska, Lidia ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:205:y:2024:i:c:s004016252400115x.

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2024Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model. (2024). Pu, Mingzhe ; Wang, Xizhao ; Zhong, YU ; Sun, Shengxuan. In: Agriculture. RePEc:gam:jagris:v:15:y:2024:i:1:p:67-:d:1556205.

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2024Mechanisms of Stock Selection and Its Capital Weighing in the Portfolio Design Based on the MACD-K-Means-Mean-VaR Model. (2024). , Sukono ; Ibrahim, Riza Andrian ; Johansyah, Muhamad Deni ; Asih, DI ; Rosadi, Dedi. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:2:p:174-:d:1313917.

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2025Empirical similarity for revealing the US interest rate policy: modeling case-based decisions of the FOMC. (2025). Okhrin, Yarema ; Golosnoy, Vasyl. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:6:d:10.1007_s00181-024-02709-6.

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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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2025Partial index tracking enhanced mean–variance portfolio. (2025). Cui, Zhenyu ; Simaan, Majeed ; Cai, Zhaokun. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1206-1224.

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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 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]		article2
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]		article93
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: 93		paper
2020Statistical inferences for realized portfolio weights In: Econometrics and Statistics.
[Full Text][Citation analysis]		article2
2022Correcting Intraday Periodicity Bias in Realized Volatility Measures In: Econometrics and Statistics.
[Full Text][Citation analysis]		article3
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]		article7
2020Bias corrections for exponentially transformed forecasts: Are they worth the effort? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2022Modeling and forecasting realized portfolio weights In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2014The empirical similarity approach for volatility prediction In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
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]		article27
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]		article4
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]		article3
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: 3		paper
2023The effect of intraday periodicity on realized volatility measures In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]		article1
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]		article38
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]		article6
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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