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Roman Liesenfeld · Study

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Roman Liesenfeld

15 works· latest 2022· 3 institutionscluster: provisionalORCID 0000-0001-6996-6215

h-index14

i1015

Citations1,116

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Most cited in this library

Univariate and multivariate stochastic volatility models: estimation and diagnostics2003 · 259 citations
The conditional autoregressive Wishart model for multivariate stock market volatility2011 · 165 citations
Stochastic volatility models: conditional normality versus heavy-tailed distributions2000 · 135 citations
A generalized bivariate mixture model for stock price volatility and trading volume2001 · 106 citations
Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models2006 · 81 citations

Works

15 shown

Predicting the Global Minimum Variance Portfolio

Journal of Business and Economic Statistics·2022·3 authors

20citations

Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns

Journal of Empirical Finance·2018·3 authors·Open access

20citations

Intra-daily volatility spillovers in international stock markets

Journal of International Money and Finance·2015·3 authors

49citations

The conditional autoregressive Wishart model for multivariate stock market volatility

Journal of Econometrics·2011·3 authors·Open access

165citations

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Journal of Business and Economic Statistics·2010·3 authors

59citations

The decline in German output volatility: a Bayesian analysis

Empirical Economics·2008·3 authors·Open access

11citations

Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Econometric Reviews·2006·2 authors·Open access

81citations

A Nonlinear Forecasting Model of GDP Growth

The Review of Economics and Statistics·2005·3 authors·Open access

20citations

Modelling financial transaction price movements: a dynamic integer count data model

Empirical Economics·2005·3 authors

60citations

Univariate and multivariate stochastic volatility models: estimation and diagnostics

Journal of Empirical Finance·2003·2 authors·Open access

259citations

A generalized bivariate mixture model for stock price volatility and trading volume

Journal of Econometrics·2001·1 author

106citations

Stochastic volatility models: conditional normality versus heavy-tailed distributions

Journal of Applied Econometrics·2000·2 authors

135citations

Dynamic BivarSate Mixture Models: Modeling the Behavior of Prices and Trading Volume

Journal of Business and Economic Statistics·1998·1 author

69citations

Dynamic Bivariate Mixture Models: Modeling the Behavior of Prices and Trading Volume

Journal of Business and Economic Statistics·1998·1 author·Open access

32citations

Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions

SSRN Electronic Journal·1997·2 authors·preprint·Open access

30citations