E-LIB Suche - Ergebnisse für: Liesenfeld, Roman

1

Dynamic Modeling and Forecasting of Financial Portfolio Wei..:

Reh, Laura Annabelle , 2022

2

Predicting the Global Minimum Variance Portfolio:

Reh, Laura ; Krüger, Fabian ; Liesenfeld, Roman
Journal of Business & Economic Statistics. 41 (2022) 2 - p. 440-452 , 2022

Link: https://doi.org/10.1080/..

3

Analyzing Commodity Futures Using Factor State-Space Models..:

Kleppe, Tore Selland ; Liesenfeld, Roman ; Moura, Guilherme Valle.
Econometrics and Statistics. 23 (2022) - p. 105-127 , 2022

Link: https://doi.org/10.1016/..

4

Importance Sampling-Based Transport Map Hamiltonian Monte C..:

Osmundsen, Kjartan Kloster ; Kleppe, Tore Selland ; Liesenfeld, Roman
Journal of Computational and Graphical Statistics. 30 (2021) 4 - p. 906-919 , 2021

Link: https://doi.org/10.1080/..

5

Estimating the Competitive Storage Model with Stochastic Tr..:

Osmundsen, Kjartan Kloster ; Kleppe, Tore Selland ; Liesenfeld, Roman.
Econometrics. 9 (2021) 4 - p. 40 , 2021

Link: https://doi.org/10.3390/..

6

Gerd Ronning:

Jung, Robert ; Kukuk, Martin ; Liesenfeld, Roman
AStA Wirtschafts- und Sozialstatistisches Archiv. 14 (2020) 2 - p. 121-124 , 2020

Link: https://doi.org/10.1007/..

7

Factor state–space models for high-dimensional realized cov..:

Gribisch, Bastian ; Hartkopf, Jan Patrick ; Liesenfeld, Roman
Journal of Empirical Finance. 55 (2020) - p. 1-20 , 2020

Link: https://doi.org/10.1016/..

8

The Gibbs sampler with particle efficient importance sampli..:

Grothe, Oliver ; Kleppe, Tore Selland ; Liesenfeld, Roman
Econometric Reviews. 38 (2018) 10 - p. 1152-1175 , 2018

Link: https://doi.org/10.1080/..

9

LIKELIHOOD-BASED INFERENCE AND PREDICTION IN SPATIO-TEMPORA..:

LIESENFELD, ROMAN ; RICHARD, JEAN-FRANÇOIS ; VOGLER, JAN
Journal of Applied Econometrics. 32 (2017) 3 - p. 600-620 , 2017

Link: https://www.jstor.org/st..

10

Likelihood Evaluation of High-Dimensional Spatial Latent Ga..:

, In: Advances in Econometrics; Spatial Econometrics: Qualitative and Limited Dependent Variables,

Liesenfeld, Roman ; Richard, Jean-François ; Vogler, Jan - p. 35-77 , 2016

Link: https://doi.org/10.1108/..

11

Likelihood‐Based Inference and Prediction in Spatio‐Tempora..:

Liesenfeld, Roman ; Richard, Jean‐François ; Vogler, Jan
Journal of Applied Econometrics. 32 (2016) 3 - p. 600-620 , 2016

Link: https://doi.org/10.1002/..

12

Intra-daily volatility spillovers in international stock ma..:

Golosnoy, Vasyl ; Gribisch, Bastian ; Liesenfeld, Roman
Journal of International Money and Finance. 53 (2015) - p. 95-114 , 2015

Link: https://doi.org/10.1016/..

13

Efficient importance sampling in mixture frameworks:

Kleppe, Tore Selland ; Liesenfeld, Roman
Computational Statistics & Data Analysis. 76 (2014) - p. 449-463 , 2014

Link: https://doi.org/10.1016/..

14

Efficient Likelihood Evaluation of State-Space Representati..:

DeJONG, DAVID N. ; LIESENFELD, ROMAN ; MOURA, GUILHERME V...
The Review of Economic Studies. 80 (2013) 2 (283) - p. 538-567 , 2013

Link: https://www.jstor.org/st..

15

The conditional autoregressive Wishart model for multivaria..:

Golosnoy, Vasyl ; Gribisch, Bastian ; Liesenfeld, Roman
Journal of Econometrics. 167 (2012) 1 - p. 211-223 , 2012

Link: https://doi.org/10.1016/..