Roman Liesenfeld

University of Cologne, Department of Economics

Albertus-Magnus-Platz

D-50931 Köln

Germany

  • University of Cologne, Department of Economics

SCHOLARLY PAPERS

28

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Scholarly Papers (28)

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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 732 (56,453)
Citation 2

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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 519 (87,515)
Citation 3

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business cycles, regime switching, error correction

3.

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 320 (152,338)
Citation 15

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

4.

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 300 (163,008)
Citation 6

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

5.

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 279 (175,887)
Citation 1

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

6.

Predicting the Global Minimum Variance Portfolio

Number of pages: 53 Posted: 21 Nov 2019 Last Revised: 21 Sep 2021
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 253 (193,983)
Citation 2

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Consistent loss function; Elicitability; Forecasting; Generalized autoregressive score; Recursive least squares; Shrinkage.

7.

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 220 (222,085)
Citation 2

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

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 Ruhr University of Bochum - Faculty of Management and Economics
Downloads 211 (230,959)
Citation 7

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

9.

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 207 (234,969)
Citation 2

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

10.

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

Number of pages: 46 Posted: 31 May 2007
Roman Liesenfeld, Guilherme valle Moura and Jean-Francois Richard
University of Cologne, Department of Economics, University of Kiel - Faculty of Economics and Social Sciences and University of Pittsburgh - Department of Economics
Downloads 154 (304,097)
Citation 2

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

11.

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 134 (339,947)
Citation 5

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

12.

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 124 (360,333)
Citation 1

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

13.

Efficient Filtering in State-Space Representations

Number of pages: 30 Posted: 04 Feb 2009
David N. DeJong, Hariharan Dharmarajan, Roman Liesenfeld and Jean-Francois Richard
University of Pittsburgh - Department of Economics, University of Pittsburgh, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 117 (375,906)
Citation 2

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particle filter, adaption, efficient importance sampling, kernel density 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 Ruhr University of Bochum - Faculty of Management and Economics
Downloads 111 (390,340)
Citation 3

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

15.

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 105 (405,888)
Citation 1

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classification analysis, Monte Carlo experimentation, non-parametric approximation

16.

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

Number of pages: 42 Posted: 23 Aug 2019
Tore Selland Kleppe, Roman Liesenfeld, Guilherme V. Moura and Atle Oglend
University of Stavanger, University of Cologne, Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Stavanger
Downloads 98 (425,879)

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

17.

Efficient Likelihood Evaluation of State-Space Representations

Number of pages: 44 Posted: 11 Feb 2012
David N. DeJong, Roman Liesenfeld, Guilherme V. Moura, Jean-Francois Richard and Hariharan Dharmarajan
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 95 (434,420)
Citation 6

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

18.

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 94 (437,381)

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

19.

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 89 (452,692)

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

20.

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 83 (472,451)
Citation 1

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

21.

Pseudo-Marginal Hamiltonian Monte Carlo with Efficient Importance Sampling

Number of pages: 29 Posted: 03 Jan 2019
Kjartan Kloster Osmundsen, Tore Selland Kleppe and Roman Liesenfeld
University of Stavanger - Department of Mathematics and Physics, University of Stavanger and University of Cologne, Department of Economics
Downloads 82 (475,953)

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

22.

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 80 (482,913)
Citation 2

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

23.

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 68 (528,451)
Citation 3

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

24.

Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices

Number of pages: 31 Posted: 05 Feb 2020
Kjartan Kloster Osmundsen, Tore Selland Kleppe, Roman Liesenfeld and Atle Oglend
University of Stavanger - Department of Mathematics and Physics, University of Stavanger, University of Cologne, Department of Economics and University of Stavanger
Downloads 39 (675,234)

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

25.

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)

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

26.

Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics

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

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Efficient Importance Sampling, Latent Variables, Maximum likelihood

27.

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

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28.

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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