Roxana Halbleib

University of Konstanz

Universitaetsstr. 10

Box: D 124

78457 Konstanz

Germany

http://econometrics.wiwi.uni-konstanz.de/staff/halbleib.htm

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 16,545

in Total Papers Citations

9

CROSSREF CITATIONS

57

Scholarly Papers (9)

1.

Improving the Value at Risk Forecasts: Theory and Evidence from the Financial Crisis

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 34 Posted: 15 Apr 2010 Last Revised: 25 Oct 2011
Roxana Halbleib and Winfried Pohlmeier
University of Konstanz and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 407 (101,120)
Citation 8

Abstract:

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Value-at-Risk, Optimal Forecast Combination, Quantile Regression, Method of Moments, Financial Crisis

2.

Forecasting Covariance Matrices: A Mixed Frequency Approach

Forthcoming in Journal of Financial Econometrics published by Oxford University Press.
Number of pages: 34 Posted: 15 Jan 2011 Last Revised: 13 Jan 2015
Roxana Halbleib and Valeri Voev
University of Konstanz and Aarhus University - CREATES
Downloads 382 (108,737)
Citation 1

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Multivariate volatility, Volatility forecasting, High-frequency data, Realized variance, Realized covariance

3.

Modelling and Forecasting Multivariate Realized Volatility

Journal of Applied Econometrics, Vol. 26, pp. 922-947, 2011
Number of pages: 40 Posted: 03 Sep 2008 Last Revised: 07 Jan 2015
Roxana Halbleib and Valeri Voev
University of Konstanz and Aarhus University - CREATES
Downloads 374 (111,338)

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Forecasting, Fractional integration, Stochastic dominance, Portfolio optimization, Realized covariance

4.

Which Model to Match?

Number of pages: 44 Posted: 17 Jan 2012 Last Revised: 18 Oct 2015
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, University of Konstanz and Vlerick Business School
Downloads 248 (171,116)
Citation 52

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Auxiliary model, efficient method of moments, indirect inference, information criteria

5.

Forecasting Multivariate Volatility Using the Varfima Model on Realized Covariance Cholesky Factors

Journal of Economics and Statistics, Vol. 231, No. 1, pp. 134-152, 2011, ECARES working paper 2010‐041
Number of pages: 26 Posted: 03 Nov 2010 Last Revised: 25 Oct 2011
Roxana Halbleib and Valeri Voev
University of Konstanz and Aarhus University - CREATES
Downloads 226 (186,921)

Abstract:

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Forecasting, Stochastic dominance, Portfolio optimization, Realized covariance

6.

A Latent Factor Model for Forecasting Realized Volatilities

GSDS Working Paper No. 2017-14
Number of pages: 55 Posted: 17 Aug 2017
Giorgio Calzolari, Roxana Halbleib and Aygul Zagidullina
Universita di Firenze - Dipartimento di Statistica, University of Konstanz and University of Konstanz - Department of Economics
Downloads 177 (233,197)

Abstract:

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Long Memory, Component Model, Dynamic Factor Model, Factor-GARCH Model, Indirect Inference

7.

A Note on Estimating Wishart Autoregressive Model

ECARES working paper 2010‐043
Number of pages: 14 Posted: 15 Apr 2010 Last Revised: 16 Jan 2011
Roxana Halbleib
University of Konstanz
Downloads 141 (281,033)

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Wishart Autoregressive Process, Asymptotic Properties, Realized Co- Variance, Log-Normal Distribution

8.

How Informative Is High-Frequency Data for Tail Risk Estimation and Forecasting? An Intrinsic Time Perspective

GSDS Working Paper No. 2018-04
Number of pages: 36 Posted: 11 Oct 2018
Timo Dimitriadis and Roxana Halbleib
University of Hohenheim and University of Konstanz
Downloads 130 (299,132)

Abstract:

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Value at Risk, Expected Shortfall, Intrinsic Time, Subordinated Process, High-Frequency Data, Scaling Law

9.

Estimating Stable Latent Factor Models by Indirect Inference

Number of pages: 37 Posted: 08 Jan 2015 Last Revised: 13 Apr 2016
Giorgio Calzolari and Roxana Halbleib
Universita di Firenze - Dipartimento di Statistica and University of Konstanz
Downloads 109 (339,167)

Abstract:

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Symmetric Multivariate alpha-stable Distribution, Latent Factor Models, Indirect Inference, Multivariate Student’s t Distribution, Discrete Spectral Measures, GARCH Models