Bastian Gribisch

University of Cologne - Department of Econometrics and Statistics

Albertus-Magnus-Platz

Cologne, 50923

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

434

CITATIONS

2

Scholarly Papers (3)

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 (115,078)
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 Universit├Ąt Bochum, University of Cologne - Department of Econometrics and Statistics and University of Cologne, Department of Economics
Downloads 86 (215,729)

Abstract:

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

3.

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 (196,599)

Abstract:

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