Vasyl Golosnoy

Ruhr University of Bochum

Universit├Ątsstra├če 150

Bochum, NRW 44780

Germany

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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22

CROSSREF CITATIONS

23

Scholarly Papers (11)

1.

The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility

Journal of Econometrics, Forthcoming
Number of pages: 34 Posted: 13 Jun 2010 Last Revised: 07 Dec 2011
Vasyl Golosnoy, Bastian Gribisch and Roman Liesenfeld
Ruhr University of Bochum, University of Cologne - Department of Econometrics and Statistics and University of Cologne, Department of Economics
Downloads 294 (141,871)
Citation 14

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Component volatility models, Covariance matrix, Mixed data sampling, Observation-driven models, Realized volatility

2.

The Empirical Similarity Approach for Volatility Prediction

Journal of Banking and Finance, Vol. 40, 2014
Number of pages: 31 Posted: 24 Feb 2014
Vasyl Golosnoy, Alain Hamid and Yarema Okhrin
Ruhr University of Bochum, University of Augsburg and University of Augsburg
Downloads 169 (238,819)

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case based decisions, empirical similarity, forecasting combinations, volatility forecasts

3.

Exponential Smoothing of Realized Portfolio Weights

Number of pages: 35 Posted: 16 Oct 2017 Last Revised: 29 Jul 2019
Ruhr University of Bochum, University of Cologne - Department of Econometrics and Statistics and Ruhr University of Bochum
Downloads 164 (244,876)
Citation 1

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forecast combination, minimum variance portfolio, realized covariance matrix, variance change

4.

Statistical Surveillance of Volatility Forecasting Models

Number of pages: 40 Posted: 07 Mar 2011
Vasyl Golosnoy, Iryna Okhrin and Wolfgang Schmid
Ruhr University of Bochum, affiliation not provided to SSRN and Europa-Universitaet Viadrina
Downloads 160 (250,043)

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Control charts, Integrated volatility, Jumps, Realized volatility, State space model

5.

Statistical Inferences for Realized Portfolio Weights

Number of pages: 24 Posted: 04 Sep 2018
Ruhr University of Bochum, Europa-Universitaet Viadrina, Ruhr University of Bochum and European University Viadrina Frankfurt (Oder)
Downloads 122 (308,765)
Citation 2

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minimum variance portfolio, realized covariance matrix, structural change, control charts, tests for portfolio weights

6.

Intra-Daily Volatility Spillovers between the US and German Stock Markets

Number of pages: 38 Posted: 25 May 2012
Vasyl Golosnoy, Bastian Gribisch and Roman Liesenfeld
Ruhr University of Bochum, University of Cologne - Department of Econometrics and Statistics and University of Cologne, Department of Economics
Downloads 118 (316,266)
Citation 5

Abstract:

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Conditional autoregressive Wishart model, Impulse Response Analysis, Observation-driven models, Realized covariance matrix

7.

Modeling and Forecasting Realized Portfolio Weights

Number of pages: 36 Posted: 22 Dec 2020
Vasyl Golosnoy and Bastian Gribisch
Ruhr University of Bochum and University of Cologne - Department of Econometrics and Statistics
Downloads 83 (397,176)

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M-estimation, Lasso, realized covariances, realized GMVP, VARFIMA

8.

Real Time Monitoring of the US Inflation Expectation Process

Number of pages: 30 Posted: 20 May 2015
Vasyl Golosnoy and Jan Roestel
Ruhr University of Bochum and University of Kiel
Downloads 81 (402,871)
Citation 1

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breakeven inflation, expected inflation, monetary policy, on-line monitoring

9.

Interval Shrinkage Estimators

Number of pages: 21 Posted: 22 Sep 2010
Vasyl Golosnoy and Roman Liesenfeld
Ruhr University of Bochum and University of Cologne, Department of Economics
Downloads 80 (405,739)

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estimation risk, feasible estimators, interval information, mean square error, shrinkage estimator

10.

How Much Would Banks Pay?

Number of pages: 6 Posted: 10 Nov 2016
Vasyl Golosnoy and Markus Pape
Ruhr University of Bochum and Ruhr University of Bochum
Downloads 45 (535,141)

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case-based reasoning, empirical similarity, mortgage-backed securities, settlement size

11.

Unrestricted Maximum Likelihood Estimation of Multivariate Realized Volatility Models

Number of pages: 48 Posted: 20 Apr 2022
Jan Vogler and Vasyl Golosnoy
Ruhr University of Bochum - Faculty of Management and Economics and Ruhr University of Bochum
Downloads 14 (730,964)

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Large Scale Optimization, Dynamic Covariance Models, Financial Portfolios, High-Dimensional Optimization, Realized Covariance Matrix