Roman Liesenfeld

University of Cologne, Department of Economics

Albertus-Magnus-Platz

D-50931 Köln

Germany

SCHOLARLY PAPERS

29

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Top 16,562

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16

CROSSREF CITATIONS

37

Scholarly Papers (29)

1.

Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions

Number of pages: 22 Posted: 30 Dec 1997
Roman Liesenfeld and Robert Jung
University of Cologne, Department of Economics and University of Hohenheim - Institute of Economics
Downloads 704 (36,953)
Citation 1

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2.

A Non-Linear Forecasting Model of GDP Growth

Number of pages: 40 Posted: 13 Aug 2003
David N. DeJong, Roman Liesenfeld and Jean-Francois Richard
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 482 (60,507)
Citation 3

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business cycles, regime switching, error correction

3.

Identifying Common Long-Range Dependence in Volume and Volatility Using High-Frequency Data

Number of pages: 22 Posted: 31 Aug 2002
Roman Liesenfeld
University of Cologne, Department of Economics
Downloads 267 (118,743)
Citation 1

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Fractional integration, Fractional cointegration, Mixture-of-distributions models, Spectral analysis

4.

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 263 (120,614)
Citation 3

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

5.

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Number of pages: 37 Posted: 22 Jul 2008 Last Revised: 27 Jul 2008
Robert Jung, Roman Liesenfeld and Jean-Francois Richard
University of Hohenheim - Institute of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 253 (126,634)
Citation 3

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Dynamic latent variables, Importance sampling, Mixture of distribution models, Poisson distribution, Simulated Maximum Likelihood

6.

A Structural Break in U.S. GDP?

Number of pages: 26 Posted: 13 Aug 2003
David N. DeJong, Roman Liesenfeld and Jean-Francois Richard
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 197 (160,026)
Citation 2

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business cycles, encompassing, regime switching, error correction, conditional heteroscedasticity

7.

Improving MCMC Using Efficient Importance Sampling

Number of pages: 34 Posted: 19 May 2006
Roman Liesenfeld and Jean-Francois Richard
University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 186 (168,541)
Citation 2

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Autoregressive models, Bayesian posterior analysis, Dynamic latent variables, Gibbs sampling, Metropolis Hastings, Stochastic volatility

8.

Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables

Number of pages: 42 Posted: 04 Jan 2013 Last Revised: 16 Apr 2015
Roman Liesenfeld, Jean-Francois Richard and Jan Vogler
University of Cologne, Department of Economics, University of Pittsburgh - Department of Economics and University of Cologne, Department of Economics
Downloads 174 (179,833)
Citation 5

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count data models, discrete choice models, firm location choice, importance sampling, Monte Carlo integration, spatial econometrics

9.

Dynamic Panel Probit Models for Current Account Reversals and Their Efficient Estimation

Number of pages: 46 Posted: 31 May 2007
University of Cologne, Department of Economics, University of Kiel - Faculty of Economics and Social Sciences and University of Pittsburgh - Department of Economics
Downloads 138 (217,251)
Citation 1

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Panel data, Dynamic discrete choice, Importance sampling, Monte Carlo integration, State dependence, Spillover effects

10.

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 113 (252,717)
Citation 2

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

11.

The Multinomial Multiperiod Probit Model: Identification and Efficient Estimation

Number of pages: 45 Posted: 17 Sep 2007
Roman Liesenfeld and Jean-Francois Richard
University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 101 (273,227)
Citation 1

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discrete choice, importance sampling, Monte-Carlo integration, panel data, parameter identification, simulated maximum likelihood

12.

Efficient Filtering in State-Space Representations

Number of pages: 30 Posted: 04 Feb 2009
University of Pittsburgh - Department of Economics, University of Pittsburgh, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 95 (284,480)
Citation 2

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particle filter, adaption, efficient importance sampling, kernel density approximation

13.

Timing Structural Change: A Conditional Probabilistic Approach

Number of pages: 25 Posted: 13 Aug 2003
David N. DeJong, Roman Liesenfeld and Jean-Francois Richard
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 88 (298,595)
Citation 1

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classification analysis, Monte Carlo experimentation, non-parametric approximation

14.

Likelihood Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes

Number of pages: 49 Posted: 11 Jun 2015 Last Revised: 16 Jun 2015
Roman Liesenfeld, Jean-Francois Richard and Jan Vogler
University of Cologne, Department of Economics, University of Pittsburgh - Department of Economics and University of Cologne, Department of Economics
Downloads 86 (302,993)
Citation 1

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Broken-windows hypothesis, Efficient Importance sampling, Empirical crime model, Out-of-sample crime forecasts, Spatio-temporal econometrics

15.

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 75 (328,703)

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

16.

Efficient Likelihood Evaluation of State-Space Representations

Number of pages: 44 Posted: 11 Feb 2012
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics, University of Pittsburgh - Department of Economics and University of Pittsburgh
Downloads 72 (336,291)
Citation 3

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dynamic stochastic general equilibrium model, efficient importance sampling, kernel density approximation, particle filter

17.

Efficient High-Dimensional Importance Sampling in Mixture Frameworks

Number of pages: 42 Posted: 26 Nov 2011
Tore Selland Kleppe and Roman Liesenfeld
University of Stavanger and University of Cologne, Department of Economics
Downloads 66 (352,428)

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Dynamic latent variable model, Importance sampling, Marginalized likelihood, Mixture, Monte Carlo, Realized Volatility, Stochastic volatility

18.

The Decline in German Output Volatility: A Bayesian Analysis

Number of pages: 32 Posted: 28 Feb 2006
Christian Aßmann, Roman Liesenfeld and Jens Hogrefe
University of Bamberg - Department of Economics, University of Cologne, Department of Economics and University of Kiel - Faculty of Economics and Social Sciences
Downloads 64 (358,110)
Citation 2

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business cycle models, Gibbs sampling, Markov Chain Monte Carlo, regime switching models, structural breaks

19.

The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models

Number of pages: 43 Posted: 07 Jan 2016 Last Revised: 22 Feb 2017
Oliver Grothe, Tore Selland Kleppe and Roman Liesenfeld
KIT, University of Stavanger and University of Cologne, Department of Economics
Downloads 62 (364,055)

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Ancestor sampling, Dynamic latent variable models, Efficient importance sampling, Markov chain Monte Carlo, Sequential importance sampling

20.

Dynamic Modeling of the Global Minimum Variance Portfolio

Number of pages: 44 Posted: 21 Nov 2019
Laura Reh, Fabian Krüger and Roman Liesenfeld
University of Cologne - Department of Economics, Karlsruhe Institute of Technology and University of Cologne, Department of Economics
Downloads 44 (424,442)

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Consistent loss function, Elicitability, Generalized autoregressive score, Recursive least squares, Forecasting

21.

Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility

Number of pages: 42 Posted: 23 Aug 2019
University of Stavanger, University of Cologne, Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Stavanger
Downloads 40 (440,314)

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Commodities, Bayesian inference, Dynamic Nelson-Siegel model, State space model, Wishart stochastic volatility

22.

Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns

Number of pages: 46 Posted: 13 Nov 2018 Last Revised: 16 Nov 2018
Bastian Gribisch, Jan Patrick Hartkopf and Roman Liesenfeld
University of Cologne - Department of Econometrics and Statistics, University of Cologne and University of Cologne, Department of Economics
Downloads 37 (452,836)

Abstract:

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factor model, realized covariance, state-space model, bayesian inference, wishart distribution

23.

Pseudo-Marginal Hamiltonian Monte Carlo with Efficient Importance Sampling

Number of pages: 29 Posted: 03 Jan 2019
University of Stavanger - Department of Mathematics and Physics, University of Stavanger and University of Cologne, Department of Economics
Downloads 18 (553,632)

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Hamiltonian Monte Carlo, Efficient Importance Sampling, Bayesian Hierarchical Models, State Space Models

24.

Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices

Number of pages: 31 Posted: 05 Feb 2020
University of Stavanger - Department of Mathematics and Physics, University of Stavanger, University of Cologne, Department of Economics and University of Stavanger
Downloads 9 (611,281)

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Commodity price dynamics, Bayesian posterior analysis, Particle marginal Metropolis Hastings, State-space model

25.

Determinants and Dynamics of Current Account Reversals: An Empirical Analysis

Oxford Bulletin of Economics and Statistics, Vol. 72, No. 4, pp. 486-517, August 2010
Number of pages: 32 Posted: 21 Jun 2010
University of Cologne, Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and affiliation not provided to SSRN
Downloads 2 (662,853)
Citation 1
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26.

Modelling Financial Transaction Price Movements: A Dynamic Integer Count Data Model

Empirical Economics, Vol. 30, No. 4, pp. 795-825, 2006
Posted: 15 Jun 2006
Roman Liesenfeld, Ingmar Nolte and Winfried Pohlmeier
University of Cologne, Department of Economics, Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

Abstract:

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financial transaction prices, autoregressive conditional multinomial model, GLARMA, count data, market microstructure effects

27.

Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics

Journal of Empirical Finance, Forthcoming
Posted: 12 Dec 2002
Roman Liesenfeld and Jean-Francois Richard
University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics

Abstract:

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Efficient Importance Sampling, Latent Variables, Maximum likelihood

28.

Testing the Bivariate Mixture Hypothesis Using German Stock Market Data

Universitaet Tuebingen,Wirtschaftswissenschaftliche Fakultaet,Diskussionsbeitrag Nr. 67.
Posted: 02 Jul 1998
Robert Jung and Roman Liesenfeld
University of Hohenheim - Institute of Economics and University of Cologne, Department of Economics

Abstract:

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29.

Trading Volume and the Short and Long-Run Components of Volatility

Posted: 08 Jan 1998
Roman Liesenfeld
University of Cologne, Department of Economics

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