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Journal Article
Reh, Laura 
ORCID: 0000-0002-8083-0535, Krueger, Fabian and Liesenfeld, Roman ORCID: 0000-0001-6996-6215
(2023).
Predicting the Global Minimum Variance Portfolio.
Journal of Business & Economic Statistics JBES, 41 (2).
440 -453.
PHILADELPHIA:
TAYLOR & FRANCIS.
ISSN 1537-2707
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
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
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
Gribisch, Bastian ORCID: 0000-0002-6289-1799, Hartkopf, Jan Patrick ORCID: 0000-0002-3704-1856 and Liesenfeld, Roman ORCID: 0000-0001-6996-6215
(2020).
Factor state-space models for high-dimensional realized covariance matrices of asset returns.
Journal of Empirical Finance, 55.
1 - 20.
AMSTERDAM:
ELSEVIER.
ISSN 1879-1727 ; 0927-5398
Grothe, Oliver, Kleppe, Tore Selland and Liesenfeld, Roman ORCID: 0000-0001-6996-6215
(2019).
The Gibbs sampler with particle efficient importance sampling for state-space models*.
Econometric Reviews, 38 (10).
1152 -1176.
PHILADELPHIA:
TAYLOR & FRANCIS.
ISSN 1532-4168
Liesenfeld, Roman ORCID: 0000-0001-6996-6215, Richard, Jean-Francois and Vogler, Jan ORCID: 0000-0002-5815-7663
(2017).
Likelihood-Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes.
Journal of Applied Econometrics, 32 (3).
600 -621.
HOBOKEN:
Wiley.
ISSN 0883-7252