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Details about Roxana Halbleib (Chiriac)

E-mail:
Workplace:Fachbereich Wirtschaftswissenschaften (Department of Economics), Universität Konstanz (University of Constance), (more information at EDIRC)
Zentrum für Finanzen und Ökonometrie (Center for Finance and Econometrics), Fachbereich Wirtschaftswissenschaften (Department of Economics), Universität Konstanz (University of Constance), (more information at EDIRC)

Access statistics for papers by Roxana Halbleib (Chiriac).

Last updated 2022-07-24. Update your information in the RePEc Author Service.

Short-id: pch448


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Working Papers

2019

  1. How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice
    VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association Downloads

2014

  1. Estimating Stable Factor Models By Indirect Inference
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads
    Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2012) Downloads

    See also Journal Article Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (9) (2014)

2012

  1. Forecasting Covariance Matrices: A Mixed Frequency Approach
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads View citations (4)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) Downloads View citations (11)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (11)
  2. Which model to match?
    Working Papers, Banco de España Downloads View citations (1)

2011

  1. Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads View citations (2)

    See also Journal Article Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors, Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter (2011) Downloads View citations (5) (2011)

2010

  1. A Note on Estimating Wishart Autoagressive Model
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. How Risky Is the Value at Risk?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (3)

2008

  1. Modelling and Forecasting Multivariate Realized Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article Modelling and forecasting multivariate realized volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (166) (2011)

Journal Articles

2022

  1. Realized Quantiles*
    Journal of Business & Economic Statistics, 2022, 40, (3), 1346-1361 Downloads

2018

  1. Estimating stable latent factor models by indirect inference
    Journal of Econometrics, 2018, 205, (1), 280-301 Downloads View citations (5)

2016

  1. Forecasting Covariance Matrices: A Mixed Approach
    Journal of Financial Econometrics, 2016, 14, (2), 383-417 Downloads View citations (4)

2014

  1. Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood
    Computational Statistics & Data Analysis, 2014, 76, (C), 158-171 Downloads View citations (9)
    See also Working Paper Estimating Stable Factor Models By Indirect Inference, Working Paper Series of the Department of Economics, University of Konstanz (2014) Downloads (2014)

2012

  1. Improving the value at risk forecasts: Theory and evidence from the financial crisis
    Journal of Economic Dynamics and Control, 2012, 36, (8), 1212-1228 Downloads View citations (26)

2011

  1. Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 134-152 Downloads View citations (5)
    See also Working Paper Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors, ULB Institutional Repository (2011) View citations (5) (2011)
  2. Modelling and forecasting multivariate realized volatility
    Journal of Applied Econometrics, 2011, 26, (6), 922-947 View citations (166)
    See also Working Paper Modelling and Forecasting Multivariate Realized Volatility, CREATES Research Papers (2008) Downloads View citations (2) (2008)
 
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