Details about Vasyl Golosnoy

Access statistics for papers by Vasyl Golosnoy.

Last updated 2023-12-06. Update your information in the RePEc Author Service.

Short-id: pgo641

Working Papers

2016

1. `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers
   Papers, arXiv.org
   See also Journal Article ‘To have what they are having’: portfolio choice for mimicking mean–variance savers, Quantitative Finance, Taylor & Francis Journals (2017) (2017)

2014

2. Modeling dynamics of metal price series via state space approach with two common factors
   HWWI Research Papers, Hamburg Institute of International Economics (HWWI)
   See also Journal Article Modeling dynamics of metal price series via state space approach with two common factors, Empirical Economics, Springer (2018) View citations (2) (2018)

2012

3. Intra-daily volatility spillovers between the US and German stock markets
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics

2010

4. The conditional autoregressive wishart model for multivariate stock market volatility
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (5)
   See also Journal Article The conditional autoregressive Wishart model for multivariate stock market volatility, Journal of Econometrics, Elsevier (2012) View citations (94) (2012)

2009

5. Sequential methodology for signaling business cycle turning points
   Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (1)

2007

6. Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (2)

Journal Articles

2023

1. The effect of intraday periodicity on realized volatility measures
   Metrika: International Journal for Theoretical and Applied Statistics, 2023, 86, (3), 315-342
2. Unrestricted maximum likelihood estimation of multivariate realized volatility models
   European Journal of Operational Research, 2023, 304, (3), 1063-1074

2022

3. Correcting Intraday Periodicity Bias in Realized Volatility Measures
   Econometrics and Statistics, 2022, 23, (C), 36-52 View citations (2)
4. Modeling and forecasting realized portfolio weights
   Journal of Banking & Finance, 2022, 138, (C) View citations (7)

2020

5. Bias corrections for exponentially transformed forecasts: Are they worth the effort?
   International Journal of Forecasting, 2020, 36, (3), 761-780 View citations (1)
6. Statistical inferences for realized portfolio weights
   Econometrics and Statistics, 2020, 14, (C), 49-62 View citations (5)

2019

7. Exponential smoothing of realized portfolio weights
   Journal of Empirical Finance, 2019, 53, (C), 222-237 View citations (9)
8. Modeling and Forecasting Realized Portfolio Diversification Benefits
   JRFM, 2019, 12, (3), 1-16
9. REAL-TIME MONITORING OF THE US INFLATION EXPECTATION PROCESS
   Macroeconomic Dynamics, 2019, 23, (6), 2221-2249 View citations (1)

2018

10. Modeling dynamics of metal price series via state space approach with two common factors
    Empirical Economics, 2018, 54, (4), 1477-1501 View citations (2)
    See also Working Paper Modeling dynamics of metal price series via state space approach with two common factors, HWWI Research Papers (2014) (2014)
11. Sequential monitoring of portfolio betas
    Statistical Papers, 2018, 59, (2), 663-684

2017

12. ‘To have what they are having’: portfolio choice for mimicking mean–variance savers
    Quantitative Finance, 2017, 17, (11), 1645-1653
    See also Working Paper `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers, Papers (2016) (2016)

2015

13. Intra-daily volatility spillovers in international stock markets
    Journal of International Money and Finance, 2015, 53, (C), 95-114 View citations (28)
14. Using information quality for volatility model combinations
    Quantitative Finance, 2015, 15, (6), 1055-1073 View citations (2)

2014

15. Monitoring the mean of multivariate financial time series
    Applied Stochastic Models in Business and Industry, 2014, 30, (3), 328-340
16. The empirical similarity approach for volatility prediction
    Journal of Banking & Finance, 2014, 40, (C), 321-329 View citations (11)

2013

17. Signaling NBER turning points: a sequential approach
    Journal of Applied Statistics, 2013, 40, (2), 438-448 View citations (5)

2012

18. DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (05), 1-22 View citations (3)
19. Statistical Surveillance of Volatility Forecasting Models
    Journal of Financial Econometrics, 2012, 10, (3), 513-543 View citations (5)
20. The conditional autoregressive Wishart model for multivariate stock market volatility
    Journal of Econometrics, 2012, 167, (1), 211-223 View citations (94)
    See also Working Paper The conditional autoregressive wishart model for multivariate stock market volatility, Economics Working Papers (2010) View citations (5) (2010)

2011

21. CUSUM control charts for monitoring optimal portfolio weights
    Computational Statistics & Data Analysis, 2011, 55, (11), 2991-3009 View citations (11)
22. Interval shrinkage estimators
    Journal of Applied Statistics, 2011, 38, (3), 465-477

2010

23. No-transaction bounds and estimation risk
    Quantitative Finance, 2010, 10, (5), 487-493

2009

24. Flexible shrinkage in portfolio selection
    Journal of Economic Dynamics and Control, 2009, 33, (2), 317-328 View citations (12)
25. Multivariate CUSUM chart: properties and enhancements
    AStA Advances in Statistical Analysis, 2009, 93, (3), 263-279 View citations (2)

2008

26. General uncertainty in portfolio selection: A case-based decision approach
    Journal of Economic Behavior & Organization, 2008, 67, (3-4), 718-734 View citations (15)

2007

27. Multivariate Shrinkage for Optimal Portfolio Weights
    The European Journal of Finance, 2007, 13, (5), 441-458 View citations (40)
28. Sequential monitoring of minimum variance portfolio
    AStA Advances in Statistical Analysis, 2007, 91, (1), 39-55 View citations (6)