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Roman Liesenfeld
Roman Liesenfeld
Universität zu Köln, Institut für Ökonometrie und Statistik
Verified email at statistik.uni-koeln.de
Title
Cited by
Cited by
Year
Univariate and multivariate stochastic volatility models: estimation and diagnostics
R Liesenfeld, JF Richard
Journal of empirical finance 10 (4), 505-531, 2003
3292003
Time series of count data: modeling, estimation and diagnostics
RC Jung, M Kukuk, R Liesenfeld
Computational Statistics & Data Analysis 51 (4), 2350-2364, 2006
2212006
Stochastic volatility models: conditional normality versus heavy‐tailed distributions
R Liesenfeld, RC Jung
Journal of applied Econometrics 15 (2), 137-160, 2000
2172000
The conditional autoregressive Wishart model for multivariate stock market volatility
V Golosnoy, B Gribisch, R Liesenfeld
Journal of Econometrics 167 (1), 211-223, 2012
1962012
A generalized bivariate mixture model for stock price volatility and trading volume
R Liesenfeld
Journal of econometrics 104 (1), 141-178, 2001
1662001
Dynamic bivarsate mixture models: Modeling the behavior of prices and trading volume
R Liesenfeld
Journal of Business & Economic Statistics 16 (1), 101-109, 1998
1251998
Classical and Bayesian analysis of univariate and multivariate stochastic volatility models
R Liesenfeld, JF Richard
Econometric Reviews 25 (2-3), 335-360, 2006
972006
Modelling financial transaction price movements: a dynamic integer count data model
R Liesenfeld, I Nolte, W Pohlmeier
Empirical Economics 30, 795-825, 2006
952006
Dynamic factor models for multivariate count data: An application to stock-market trading activity
RC Jung, R Liesenfeld, JF Richard
Journal of Business & Economic Statistics 29 (1), 73-85, 2011
672011
Intra-daily volatility spillovers in international stock markets
V Golosnoy, B Gribisch, R Liesenfeld
Journal of International Money and Finance 53, 95-114, 2015
612015
Efficient likelihood evaluation of state-space representations
DN DeJong, R Liesenfeld, GV Moura, JF Richard, H Dharmarajan
Review of Economic Studies 80 (2), 538-567, 2013
572013
Improving MCMC, using efficient importance sampling
R Liesenfeld, JF Richard
Computational statistics & data analysis 53 (2), 272-288, 2008
442008
Estimating time series models for count data using efficient importance sampling
RC Jung, R Liesenfeld
AStA Advances in Statistical Analysis 4 (85), 387-407, 2001
432001
Likelihood evaluation of high-dimensional spatial latent Gaussian models with non-Gaussian response variables
R Liesenfeld, JF Richard, J Vogler
Spatial Econometrics: Qualitative and Limited Dependent Variables 37, 35-77, 2016
28*2016
A nonlinear forecasting model of GDP growth
DN DeJong, R Liesenfeld, JF Richard
Review of Economics and Statistics 87 (4), 697-708, 2005
282005
Efficient estimation of probit models with correlated errors
R Liesenfeld, JF Richard
Journal of Econometrics 156 (2), 367-376, 2010
262010
Likelihood‐Based Inference and Prediction in Spatio‐Temporal Panel Count Models for Urban Crimes
R Liesenfeld, JF Richard, J Vogler
Journal of applied econometrics 32 (3), 600-620, 2017
242017
Determinants and dynamics of current account reversals: An empirical analysis
R Liesenfeld, G Valle Moura, JF Richard
Oxford Bulletin of Economics and Statistics 72 (4), 486-517, 2010
232010
Monte Carlo methods and Bayesian computation: importance sampling
R Liesenfeld, JF Richard
Elsevier, 2015
202015
Estimation of dynamic bivariate mixture models: comments on Watanabe (2000)
R Liesenfeld, JF Richard
Journal of Business & Economic Statistics 21 (4), 570-576, 2003
192003
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