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Journal Article
Gribisch, Bastian, Hartkopf, Jan Patrick and Liesenfeld, Roman (2020). Factor state-space models for high-dimensional realized covariance matrices of asset returns. J. Empir. Financ., 55. S. 1 - 21. AMSTERDAM: ELSEVIER. ISSN 1879-1727
Grothe, Oliver, Kleppe, Tore Selland and Liesenfeld, Roman (2019). The Gibbs sampler with particle efficient importance sampling for state-space models*. Econom. Rev., 38 (10). S. 1152 - 1176. PHILADELPHIA: TAYLOR & FRANCIS INC. ISSN 1532-4168
Kleppe, Tore Selland, Liesenfeld, Roman ORCID: 0000-0001-6996-6215, Moura, Guilherme Valle and Oglend, Atle
(2022).
Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility.
Econom. Stat., 23.
S. 105 - 128.
AMSTERDAM:
ELSEVIER.
ISSN 2452-3062
Liesenfeld, Roman, Richard, Jean-Francois and Vogler, Jan (2017). Likelihood-Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes. J. Appl. Econom., 32 (3). S. 600 - 621. HOBOKEN: WILEY. ISSN 1099-1255
Osmundsen, Kjartan Kloster, Kleppe, Tore Selland and Liesenfeld, Roman ORCID: 0000-0001-6996-6215
(2021).
Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models.
J. Comput. Graph. Stat., 30 (4).
S. 906 - 920.
PHILADELPHIA:
TAYLOR & FRANCIS INC.
ISSN 1537-2715
Osmundsen, Kjartan Kloster, Kleppe, Tore Selland, Liesenfeld, Roman ORCID: 0000-0001-6996-6215 and Oglend, Atle
(2021).
Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices.
Econometrics, 9 (4).
BASEL:
MDPI.
ISSN 2225-1146
Reh, Laura ORCID: 0000-0002-8083-0535, Krueger, Fabian and Liesenfeld, Roman
(2023).
Predicting the Global Minimum Variance Portfolio.
J. Bus. Econ. Stat., 41 (2).
S. 440 - 453.
PHILADELPHIA:
TAYLOR & FRANCIS INC.
ISSN 1537-2707