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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 2018-09-19. Update your information in the RePEc Author Service.

Short-id: pch448


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Working Papers

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 in Computational Statistics & Data Analysis (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 CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (8)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) Downloads View citations (9)
  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 (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads View citations (2)

    See also Journal Article in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) (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
    See also Journal Article in Journal of Applied Econometrics (2011)

Journal Articles

2018

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

2016

  1. Forecasting Covariance Matrices: A Mixed Approach
    Journal of Financial Econometrics, 2016, 14, (2), 383-417 Downloads View citations (3)

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 (6)
    See also Working Paper (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 (20)

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 (2)
    See also Working Paper (2011)
  2. Modelling and forecasting multivariate realized volatility
    Journal of Applied Econometrics, 2011, 26, (6), 922-947 View citations (129)
    See also Working Paper (2008)
 
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