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~source:"econis"
~subject:"Estimation theory"
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Gribisch, Bastian
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Predicting the global minimum variance portfolio
Reh, Laura
;
Krüger, Fabian
;
Liesenfeld, Roman
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 440-452
Persistent link: https://www.econbiz.de/10014448239
Saved in:
2
Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian
;
Hartkopf, Jan Patrick
;
Liesenfeld, Roman
- In:
Journal of empirical finance
55
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
Saved in:
3
The Gibbs sampler with particle efficient importance sampling for state-space models
Grothe, Oliver
;
Kleppe, Tore Selland
;
Liesenfeld, Roman
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1152-1175
Persistent link: https://www.econbiz.de/10012181399
Saved in:
4
Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of international money and finance
53
(
2015
),
pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
Saved in:
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