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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

Real-time monitoring of the US inflation expectation process

Golosnoy, Vasyl; Roestel, Jan - In: Macroeconomic dynamics 23 (2019) 6, pp. 2221-2249

Persistent link: https://www.econbiz.de/10012127334

Modeling and forecasting realized portfolio diversification benefits

Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen - In: Journal of risk and financial management : JRFM 12 (2019) 3/116, pp. 1-16

For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the portfolio. In order to make our approach feasible...

Persistent link: https://www.econbiz.de/10012027057

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

Modeling dynamics of metal price series via state space approach with two common factors

Golosnoy, Vasyl; Rossen, Anja - In: Empirical economics : a journal of the Institute for … 54 (2018) 4, pp. 1477-1501

Persistent link: https://www.econbiz.de/10011949567

Flexible shrinkage in portfolio selection

Golosnoy, Vasyl; Okhrin, Yarema - In: Journal of economic dynamics & control 33 (2009) 2, pp. 317-328

Persistent link: https://www.econbiz.de/10003810037

Multivariate CUSUM chart : properties and enhancements

Golosnoy, Vasyl; Ragulin, Sergiy; Schmid, Wolfgang - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 3, pp. 263-279

Persistent link: https://www.econbiz.de/10003888617

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

Dynamic modeling of high-dimensional correlation matrices in finance

Golosnoy, Vasyl; Herwartz, Helmut - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10009672608

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