Browsing All of EconStor by Author Liesenfeld, Roman


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Year of PublicationTitleAuthor(s)
1996Dynamic bivariate mixture models: Modeling the behavior of prices and trading volumeLiesenfeld, Roman
1996Testing the bivariate mixture hypothesis using German stock market dataJung, Robert C.; Liesenfeld, Roman
1997Stochastic volatility models: Conditional normality versus heavy tailed distributionsLiesenfeld, Roman; Jung, Robert C.
1997Trading volume and the short and long-run components of volatilityLiesenfeld, Roman
1998Simulation based methods of moments in empirical financeLiesenfeld, Roman; Breitung, Jörg
1998Simulation based methods of moments in empirical financeLiesenfeld, Roman; Breitung, Jörg
2003A Dynamic Integer Count Data Model for Financial Transaction PricesPohlmeier, Winfried; Liesenfeld, Roman
2004Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility ModelsLiesenfeld, Roman; Richard, Jean-François
2005Time Series of Count Data: Modelling and EstimationJung, Robert; Kukuk, Martin; Liesenfeld, Roman
2005The Decline in German Output Volatility: A Bayesian AnalysisLiesenfeld, Roman; Hogrefe, Jens; Aßmann, Christian
2006Improving MCMC Using Efficient Importance SamplingLiesenfeld, Roman; Richard, Jean-François
2007An Efficient Filtering Approach to Likelihood Approximation for State-Space RepresentationsDeJong, David Neil; Dharmarajan, Hariharan; Liesenfeld, Roman; Richard, Jean-François
2007Dynamic Panel Probit Models for Current Account Reversals and their Efficient EstimationMoura, Guilherme V.; Richard, Jean-François; Liesenfeld, Roman
2007The Multinomial Multiperiod Probit Model: Identification and Efficient EstimationLiesenfeld, Roman; Richard, Jean-François
2008Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading ActivityJung, Robert; Liesenfeld, Roman; Richard, Jean-François
2009Determinants and dynamics of current account reversals: an empirical analysisLiesenfeld, Roman; Moura, Guilherme V.; Richard, Jean-François
2009Efficient likelihood evaluation of state-space representationsDeJong, David Neil; Dharmarajan, Hariharan; Liesenfeld, Roman; Moura, Guilherme V.; Richard, Jean-François
2010Multivariate Wishart Stochastic Volatility ModelsGribisch, Bastian; Liesenfeld, Roman
2010The conditional autoregressive wishart model for multivariate stock market volatilityGolosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman
2011Efficient high-dimensional importance sampling in mixture frameworksKleppe, Tore Selland; Liesenfeld, Roman