Universitaetsstr. 10
Box: D 124
78457 Konstanz
Germany
http://econometrics.wiwi.uni-konstanz.de/staff/halbleib.htm
University of Konstanz
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Value-at-Risk, Optimal Forecast Combination, Quantile Regression, Method of Moments, Financial Crisis
Multivariate volatility, Volatility forecasting, High-frequency data, Realized variance, Realized covariance
Forecasting, Fractional integration, Stochastic dominance, Portfolio optimization, Realized covariance
Auxiliary model, efficient method of moments, indirect inference, information criteria
Forecasting, Stochastic dominance, Portfolio optimization, Realized covariance
Long Memory, Component Model, Dynamic Factor Model, Factor-GARCH Model, Indirect Inference
Wishart Autoregressive Process, Asymptotic Properties, Realized Co- Variance, Log-Normal Distribution
Value at Risk, Expected Shortfall, Intrinsic Time, Subordinated Process, High-Frequency Data, Scaling Law
Symmetric Multivariate alpha-stable Distribution, Latent Factor Models, Indirect Inference, Multivariate Student’s t Distribution, Discrete Spectral Measures, GARCH Models
