Bastian Gribisch

University of Cologne - Department of Econometrics and Statistics

Albertus-Magnus-Platz

Cologne, 50923

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

462

CITATIONS

2

Scholarly Papers (4)

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 Universität Bochum, University of Cologne - Department of Econometrics and Statistics and University of Cologne, Department of Economics
Downloads 188 (116,931)
Citation 2

Abstract:

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

2.

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 Universität Bochum, University of Cologne - Department of Econometrics and Statistics and University of Cologne, Department of Economics
Downloads 86 (219,929)

Abstract:

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

3.

Exponential Smoothing of Realized Portfolio Weights

Number of pages: 27 Posted: 16 Oct 2017
Vasyl Golosnoy, Bastian Gribisch and Miriam Isabel Seifert
Ruhr Universität Bochum, University of Cologne - Department of Econometrics and Statistics and Ruhr-University Bochum
Downloads 0

Abstract:

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

4.

A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns

Number of pages: 37 Posted: 29 Jan 2016 Last Revised: 09 Sep 2016
Jeremias Bekierman and Bastian Gribisch
University of Cologne - Department of Econometrics and Statistics and University of Cologne - Department of Econometrics and Statistics
Downloads 0 (189,667)

Abstract:

Efficient Importance Sampling, Intraday Stochastic Volatility, Mixed Frequency, Realized Volatility.