Roman Liesenfeld

Available identifiers

Publication	Date of Publication	Type
Predicting the Global Minimum Variance Portfolio	2024-03-05	Paper
Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models	2022-03-29	Paper
The Gibbs sampler with particle efficient importance sampling for state-space models*	2022-03-04	Paper
Interval shrinkage estimators	2020-09-30	Paper
Efficient importance sampling in mixture frameworks	2018-11-23	Paper
The conditional autoregressive Wishart model for multivariate stock market volatility	2016-08-15	Paper
Efficient estimation of probit models with correlated errors	2016-08-01	Paper
The dynamic invariant multinomial probit model: identification, pretesting and estimation	2016-07-25	Paper
Efficient Likelihood Evaluation of State-Space Representations	2013-05-28	Paper
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity	2011-04-13	Paper
Improving MCMC, using efficient importance sampling	2010-03-30	Paper
Time series of count data: Modeling, estimation and diagnostics	2009-04-06	Paper
Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models	2006-08-28	Paper
Estimating time series models for count data using efficient importance sampling	2004-09-22	Paper
A generalized bivariate mixture model for stock price volatility and trading volume	2001-10-10	Paper

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