Office hours:
By arrangement
Office Hours
By arrangement
Filter options:
2021
Golosnoy, V., Köhler, S., Schmid, W., Seifert, M.I. (2021+). Testing for parameter changes in linear state space models. Applied Stochastic Models in Business and Industry, in press.
2021
Golosnoy, V., Gribisch, B., Seifert, M.I. (2021+). Sample and realized minimum variance portfolios: Estimation, statistical inference, and tests. WIREs Computational Statistics, in press.
2021
Dette, H., Golosnoy, V., Kellermann, J. (2021+). Correcting Intraday Periodicity Bias in Realized Volatility Measures. Econometrics and Statistics, in press. [WP]
2020
Golosnoy, V., Schmid, W., Seifert, M.I., Lazariv, T. (2020): Statistical inferences for realized portfolio weights. Econometrics and Statistics 14, 49–62.
2020
Demetrescu, M., Golosnoy, V., Titova, A. (2020). Bias corrections for exponentially transformed forecasts: Are they worth the effort? International Journal of Forecasting 36, 761–780.
2019
Golosnoy, V., Gribisch, B., Seifert, M.I. (2019): Exponential smoothing of realized portfolio weights. Journal of Empirical Finance 53, 222–237.
