Details about Roxana Halbleib (Chiriac)
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
- 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
2014
- Estimating Stable Factor Models By Indirect Inference
Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 
Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2012) 
See also Journal Article Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood, Computational Statistics & Data Analysis, Elsevier (2014) View citations (9) (2014)
2012
- Forecasting Covariance Matrices: A Mixed Frequency Approach
Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz View citations (4)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) View citations (11) CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (11)
- Which model to match?
Working Papers, Banco de España View citations (1)
2011
- Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) 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) View citations (6) (2011)
2010
- A Note on Estimating Wishart Autoagressive Model
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- How Risky Is the Value at Risk?
Working Paper series, Rimini Centre for Economic Analysis View citations (4)
2008
- Modelling and Forecasting Multivariate Realized Volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
See also Journal Article Modelling and forecasting multivariate realized volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (176) (2011)
Journal Articles
2022
- Realized Quantiles*
Journal of Business & Economic Statistics, 2022, 40, (3), 1346-1361
2018
- Estimating stable latent factor models by indirect inference
Journal of Econometrics, 2018, 205, (1), 280-301 View citations (6)
2016
- Forecasting Covariance Matrices: A Mixed Approach
Journal of Financial Econometrics, 2016, 14, (2), 383-417 View citations (4)
2014
- Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood
Computational Statistics & Data Analysis, 2014, 76, (C), 158-171 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) (2014)
2012
- Improving the value at risk forecasts: Theory and evidence from the financial crisis
Journal of Economic Dynamics and Control, 2012, 36, (8), 1212-1228 View citations (29)
2011
- 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 View citations (6)
See also Working Paper Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors, ULB Institutional Repository (2011) View citations (6) (2011)
- Modelling and forecasting multivariate realized volatility
Journal of Applied Econometrics, 2011, 26, (6), 922-947 View citations (176)
See also Working Paper Modelling and Forecasting Multivariate Realized Volatility, CREATES Research Papers (2008) View citations (2) (2008)
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