Roman Liesenfeld

MaRDI QIDQ205403zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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

Research outcomes over time

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