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~person:"Gribisch, Bastian"
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Gribisch, Bastian
McAleer, Michael
66
Gupta, Rangan
58
Bollerslev, Tim
45
Ma, Feng
37
Pierdzioch, Christian
37
Asai, Manabu
35
Andersen, Torben G.
26
Medeiros, Marcelo C.
24
Sévi, Benoît
24
Caporin, Massimiliano
22
Chevallier, Julien
22
Bonato, Matteo
21
Diebold, Francis X.
21
Degiannakis, Stavros
20
Audrino, Francesco
17
Barunik, Jozef
17
Watanabe, Toshiaki
17
Yu, Jun
17
Christensen, Bent Jesper
16
Gillas, Konstantinos Gkillas
16
Patton, Andrew J.
16
Scharth, Marcel
16
Allen, David E.
15
Baruník, Jozef
15
Chang, Chia-Lin
15
Corsi, Fulvio
15
Gallo, Giampiero M.
15
Meddahi, Nour
15
Nielsen, Morten Ørregaard
15
Nonejad, Nima
15
Opschoor, Anne
15
Rossi, Eduardo
15
Voev, Valeri
15
Hansen, Peter Reinhard
14
Hautsch, Nikolaus
14
Hounyo, Ulrich
14
Liao, Yin
14
Lucas, André
14
Lunde, Asger
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Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
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1
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ECONIS (ZBW)
9
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1
Modeling and forecasting
realized
portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
Saved in:
2
Modeling
realized
covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian
;
Hartkopf, Jan Patrick
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
Saved in:
3
Dynamic principal component CAW models for high-dimensional
realized
covariance matrices
Gribisch, Bastian
;
Stollenwerk, Michael
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
Saved in:
4
Factor state-space models for high-dimensional
realized
covariance matrices of asset returns
Gribisch, Bastian
;
Hartkopf, Jan Patrick
;
Liesenfeld, Roman
- In:
Journal of empirical finance
55
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
Saved in:
5
Exponential smoothing of
realized
portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Seifert, Miriam
- In:
Journal of empirical finance
53
(
2019
),
pp. 222-237
Persistent link: https://www.econbiz.de/10012171651
Saved in:
6
A latent dynamic factor approach to forecasting multivariate stock market volatility
Gribisch, Bastian
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 621-651
Persistent link: https://www.econbiz.de/10011949857
Saved in:
7
A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian
-
2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional
realized
covariance matrices of … empirical application to 5-dimensional and 30-dimensional
realized
covariance matrices of daily New York Stock Exchange (NYSE …
Persistent link: https://www.econbiz.de/10010341025
Saved in:
8
Intra-daily volatility spillovers between the US and German stock markets
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
-
2012
Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the
realized
(co …
Persistent link: https://www.econbiz.de/10010308958
Saved in:
9
Intra-daily volatility spillovers between the US and German stock markets
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
-
Institut für Volkswirtschaftslehre, …
-
2012
Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the
realized
(co …
Persistent link: https://www.econbiz.de/10010954815
Saved in:
10
Estimating stochastic volatility models using
realized
measures
Bekierman, Jeremias
;
Gribisch, Bastian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
3
,
pp. 279-300
Persistent link: https://www.econbiz.de/10011507527
Saved in:
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