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Roxana Halbleib

University of Freiburg (from arXiv:2302.07052, 2023) · ORCID · OpenAlex

12 papers in scope · 12 published · 2 on the econ.EM arXiv · 133 citations · h-index 5 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Xandro Bayer
  2. Rafael Reisenhofer
  3. Nikolaus Hautsch
  4. Aygul Zagidullina
  5. Winfried Pohlmeier
  6. Benjamin Poignard
  7. Manabu Asai
  8. Hedibert F. Lopes
  9. Gregor Kastner
  10. Timo Dimitriadis
  11. Sylvia Frühwirth-Schnatter
  12. Jasper Rennspies
  13. Jeannine Polivka
  14. Sina Streicher
  15. Giorgio Calzolari
  16. Christian Mücher
  17. Maurizio Daniele
  18. Yannick Hoga
  19. Darjus Hosszejni
  20. Tobias Fissler

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 12)

Introduction to the Issue on High Frequency Econometrics
published2025 · Journal of Econometrics
with Lukas Bauer, Richard Olsen, Torben G. Andersen, Ingmar Nolte
Journal of Econometrics
Efficient sampling for realized variance estimation in time-changed diffusion models
published2025 · Journal of Econometrics · 1 citations · first circulated 2022
with Timo Dimitriadis, Jeannine Polivka, Jasper Rennspies, Sina Streicher, Axel Friedrich Wolter
Paper profile Journal of Econometrics arXiv:2212.11833
Sequential estimation of multivariate factor stochastic volatility models
published2025 · AStA Advances in Statistical Analysis · first circulated 2023
with Christian Mücher, Giorgio Calzolari
Paper profile AStA Advances in Statistical Analysis arXiv:2302.07052
Exploiting the Gap Between Implied and Realized Volatility
published2024 · The Journal of Derivatives
with Javdat Umarov, Eva Lütkebohmert
The Journal of Derivatives
Realized Quantiles *
published2021 · Journal of Business and Economic Statistics · 9 citations
with Timo Dimitriadis
Journal of Business and Economic Statistics
A Latent Factor Model for Forecasting Realized Variances
published2019 · Journal of Financial Econometrics · 5 citations · first circulated 2017
with Giorgio Calzolari, Aygul Zagidullina
Journal of Financial Econometrics
Estimating stable latent factor models by indirect inference
published2018 · Journal of Econometrics · 12 citations · first circulated 2014
with Giorgio Calzolari
Journal of Econometrics
Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics
published2018 · Journal of Econometrics
with Dennis Kristensen, Éric Renault, David Veredas
Journal of Econometrics
Forecasting Covariance Matrices: A Mixed Approach
published2014 · Journal of Financial Econometrics · 12 citations · first circulated 2011
with Valeri Voev
Journal of Financial Econometrics
Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood
published2013 · Computational Statistics & Data Analysis · 29 citations
with Giorgio Calzolari, Alessandro Parrini
Computational Statistics & Data Analysis
Improving the value at risk forecasts: Theory and evidence from the financial crisis
published2012 · Journal of Economic Dynamics and Control · 60 citations · first circulated 2011
with Winfried Pohlmeier, Roxana Halbleib-Chiriac
Journal of Economic Dynamics and Control
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
published2011 · Jahrbücher für Nationalökonomie und Statistik · 5 citations
with Valeri Voev
Jahrbücher für Nationalökonomie und Statistik

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.