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Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10011475912

New characteristics for portfolio surveillance

Golosnoy, Vasyl; Okhrin, Iryna; Schmid, Wolfgang - 2008

Persistent link: https://www.econbiz.de/10003800417

Statistical surveillance of volatility forecasting models

Golosnoy, Vasyl; Okhrin, Irena; Schmid, Wolfgang - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 513-543

Persistent link: https://www.econbiz.de/10009571510

The conditional autoregressive Wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of econometrics 167 (2012) 1, pp. 211-223

Persistent link: https://www.econbiz.de/10009551424

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)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Persistent link: https://www.econbiz.de/10009539877

The empirical similarity approach for volatility prediction

Golosnoy, Vasyl; Hamid, Alain; Okhrin, Yarema - In: Journal of banking & finance 40 (2014), pp. 321-329

Persistent link: https://www.econbiz.de/10010402690

Sequential monitoring of minimum variance portfolio

Golosnoy, Vasyl - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 1, pp. 39-55

Persistent link: https://www.econbiz.de/10003437331

Bias corrections for exponentially transformed forecasts : are they worth the effort?

Demetrescu, Matei; Golosnoy, Vasyl; Titova, Anna - In: International journal of forecasting 36 (2020) 3, pp. 761-780

Persistent link: https://www.econbiz.de/10012496846

Statistical Surveillance of Volatility Forecasting Models

Golosnoy, Vasyl; Okhrin, Iryna; Schmid, Wolfgang - 2011

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...

Persistent link: https://www.econbiz.de/10014185270

Intra-Daily Volatility Spillovers between the US and German Stock Markets

Golosnoy, Vasyl - 2012

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Persistent link: https://www.econbiz.de/10013106045