Bastian Gribisch

University of Cologne - Department of Econometrics and Statistics

Albertus-Magnus-Platz

Cologne, 50923

Germany

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 39,234

SSRN RANKINGS

Top 39,234

in Total Papers Downloads

809

CITATIONS

2

Scholarly Papers (7)

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 Universit├Ąt Bochum, University of Cologne - Department of Econometrics and Statistics and University of Cologne, Department of Economics
Downloads 188 (112,500)
Citation 2

Abstract:

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

2.

Estimating Stochastic Volatility Models Using Realized Measures

Number of pages: 36 Posted: 18 Feb 2014
Jeremias Bekierman and Bastian Gribisch
University of Cologne - Department of Econometrics and Statistics and University of Cologne - Department of Econometrics and Statistics
Downloads 104 (141,005)

Abstract:

Efficient Importance Sampling, Leverage Effect, Parameter-driven models, Realized volatility, Stochastic Volatility Model

3.

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 Universit├Ąt Bochum, University of Cologne - Department of Econometrics and Statistics and University of Cologne, Department of Economics
Downloads 86 (212,030)

Abstract:

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

4.

Multivariate Wishart Stochastic Volatility and Changes in Regime

Number of pages: 40 Posted: 10 Nov 2012
Bastian Gribisch
University of Cologne - Department of Econometrics and Statistics
Downloads 73 (207,771)

Abstract:

Multivariate stochastic volatility, Dynamic correlations, Wishart distribution, Markov switching, Markov chain Monte Carlo

5.

A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility

Number of pages: 49 Posted: 04 May 2013 Last Revised: 04 Sep 2015
Bastian Gribisch
University of Cologne - Department of Econometrics and Statistics
Downloads 68 (213,450)

Abstract:

Latent factor models, Covariance matrix, Matrix logarithm, Realized volatility

6.

Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices

Number of pages: 35 Posted: 22 Dec 2016 Last Revised: 11 Feb 2017
Bastian Gribisch and Michael Stollenwerk
University of Cologne - Department of Econometrics and Statistics and University of Cologne
Downloads 0 (425,530)

Abstract:

Realized volatility, Covariance matrix, Spectral Decomposition, Time-Series Models.

7.

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 (204,941)

Abstract:

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