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2022
Golosnoy, Vasyl and Gribisch, Bastian (2022). Modeling and forecasting realized portfolio weights. J. Bank Financ., 138. AMSTERDAM: ELSEVIER. ISSN 1872-6372
2021
Bekierman, Jeremias and Gribisch, Bastian (2021). A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns. J. Financ. Econom., 19 (3). S. 496 - 531. OXFORD: OXFORD UNIV PRESS. ISSN 1479-8417
Gribisch, Bastian and Eckernkemper, Tobias (2021). Intraday conditional value at risk: A periodic mixed-frequency generalized autoregressive score approach. J. Forecast., 40 (5). S. 883 - 911. HOBOKEN: WILEY. ISSN 1099-131X
2020
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
Gribisch, Bastian and Stollenwerk, Michael (2020). Dynamic principal component CAW models for high-dimensional realized covariance matrices. Quant. Financ., 20 (5). S. 799 - 822. ABINGDON: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD. ISSN 1469-7696
2019
Golosnoy, Vasyl, Gribisch, Bastian and Seifert, Miriam Isabel (2019). Exponential smoothing of realized portfolio weights. J. Empir. Financ., 53. S. 222 - 238. AMSTERDAM: ELSEVIER. ISSN 1879-1727
2018
Gribisch, Bastian (2018). A latent dynamic factor approach to forecasting multivariate stock market volatility. Empir. Econ., 55 (2). S. 621 - 652. HEIDELBERG: PHYSICA-VERLAG GMBH & CO. ISSN 1435-8921
2016
Bekierman, Jeremias and Gribisch, Bastian (2016). Estimating stochastic volatility models using realized measures. Stud. Nonlinear Dyn. Econom., 20 (3). S. 279 - 301. BERLIN: WALTER DE GRUYTER GMBH. ISSN 1558-3708
Gribisch, Bastian (2016). Multivariate Wishart stochastic volatility and changes in regime. AStA-Adv. Stat. Anal., 100 (4). S. 443 - 474. NEW YORK: SPRINGER. ISSN 1863-818X