← All authors Roman Liesenfeld University of Cologne (per OpenAlex) · ORCID · OpenAlex
31 papers in scope · 31 published · 1 on the econ.EM arXiv · 1,387 citations · h-index 18 (over the papers listed here)
Papers (1 of 31)
Numerical Generalized Randomized HMC processes for restricted domains
published 2025 · Statistics and Computing · 1 citations · first circulated 2023
Predicting the Global Minimum Variance Portfolio
published 2022 · Journal of Business and Economic Statistics · 16 citations · first circulated 2020
Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
published 2021 · Journal of Computational and Graphical Statistics · 1 citations
Factor state–space models for high-dimensional realized covariance matrices of asset returns
published 2019 · Journal of Empirical Finance · 21 citations · first circulated 2018
with Bastian Gribisch, Jan Patrick Hartkopf
published 2019 · Econometrics and Statistics
The Gibbs sampler with particle efficient importance sampling for state-space models*
published 2018 · Econometric Reviews · first circulated 2016
Likelihood‐Based Inference and Prediction in Spatio‐Temporal Panel Count Models for Urban Crimes
published 2016 · Journal of Applied Econometrics · 23 citations · first circulated 2015
with Jean-François Richard, Jan Vogler
Intra-daily volatility spillovers in international stock markets
published 2015 · Journal of International Money and Finance · 51 citations
with Vasyl Golosnoy, Bastian Gribisch
Efficient importance sampling in mixture frameworks
published 2013 · Computational Statistics & Data Analysis · 7 citations · first circulated 2011
Efficient Likelihood Evaluation of State-Space Representations
published 2012 · The Review of Economic Studies · 43 citations
The conditional autoregressive Wishart model for multivariate stock market volatility
published 2011 · Journal of Econometrics · 38 citations
with Vasyl Golosnoy, Bastian Gribisch
Interval shrinkage estimators
published 2010 · Journal of Applied Statistics · 2 citations
with Vasyl Golosnoy
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
published 2010 · Journal of Business and Economic Statistics · 62 citations · first circulated 2008
with Robert C. Jung, Jean-François Richard
Determinants and Dynamics of Current Account Reversals: An Empirical Analysis
published 2010 · Oxford Bulletin of Economics and Statistics · 14 citations · first circulated 2009
Efficient estimation of probit models with correlated errors
published 2009 · Journal of Econometrics · 25 citations
with Jean-François Richard
The dynamic invariant multinomial probit model: Identification, pretesting and estimation
published 2009 · Journal of Econometrics · 2 citations
with Jean-François Richard
The decline in German output volatility: a Bayesian analysis
published 2008 · Empirical Economics · 8 citations · first circulated 2005
with Christian Aßmann, Jens Hogrefe, Jens Boysen-Hogrefe
Improving MCMC, using efficient importance sampling
published 2008 · Computational Statistics & Data Analysis · 37 citations · first circulated 2006
with Jean-François Richard
Time series of count data: modeling, estimation and diagnostics
published 2006 · Computational Statistics & Data Analysis · 191 citations
with Robert C. Jung, Martin Kukuk
Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
published 2006 · Econometric Reviews · 83 citations · first circulated 2004
with Jean-François Richard
Timing structural change: a conditional probabilistic approach
published 2006 · Journal of Applied Econometrics · 4 citations · first circulated 2003
with David N. DeJong, Jean-François Richard
A Nonlinear Forecasting Model of GDP Growth
published 2005 · The Review of Economics and Statistics · 19 citations
with David N. DeJong, Jean-François Richard
Modelling financial transaction price movements: a dynamic integer count data model
published 2005 · Empirical Economics · 63 citations
Estimation of Dynamic Bivariate Mixture Models
published 2003 · Journal of Business and Economic Statistics · 10 citations
with Jean-François Richard
Univariate and multivariate stochastic volatility models: estimation and diagnostics
published 2003 · Journal of Empirical Finance · 270 citations · first circulated 2002
with Jean-François Richard
Estimating time series models for count data using efficient importance sampling
published 2001 · Allgemeines Statistisches Archiv · 31 citations
with Robert C. Young
A generalized bivariate mixture model for stock price volatility and trading volume
published 2001 · Journal of Econometrics · 111 citations
Stochastic volatility models: conditional normality versus heavy-tailed distributions
published 2000 · Journal of Applied Econometrics · 142 citations · first circulated 1997
with Robert C. Jung
Dynamic BivarSate Mixture Models: Modeling the Behavior of Prices and Trading Volume
published 1998 · Journal of Business and Economic Statistics · 72 citations
Dynamic Bivariate Mixture Models: Modeling the Behavior of Prices and Trading Volume
published 1998 · Journal of Business and Economic Statistics · 36 citations
Testing the bivariate mixture hypothesis using German Stock market data
published 1996 · European Financial Management · 4 citations
with Robert C. Jung
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