Browsing All of EconStor by Author Liesenfeld, Roman

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