Roman Liesenfeld

Finance · 2000–2011

A researcher in the Science corpus: 7 papers; trusts 9 researchers and is trusted by 35 researchers here, as inferred from the citation graph.

Subfields

• Finance — 23 citations into it; #779 of 10,518 by trust here, #1,744 by citations
• Economics and Econometrics — 19 citations into it; #1,812 of 23,481 by trust here, #4,709 by citations
• Statistics and Probability — 11 citations into it; #4,601 of 12,932 by trust here, #10,275 by citations
• Management Science and Operations Research — 5 citations into it; #3,543 of 11,946 by trust here, #9,931 by citations

Whom Roman Liesenfeld trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Tim Bollerslev
2. Jean-François Richard
3. Daniel B. Nelson
4. J. Mullahy
5. Omar Alejandro Aguilar
6. Robert F. Engle
7. Matthew West
8. Wei Zhang
9. Fulvio Corsi
10. Helmut Ltkepohl

Who trusts Roman Liesenfeld overall

1. Manabu Asai
2. Carmen Broto
3. Maria Pacurar
4. Gregor Kastner
5. Esther Ruiz
6. Siddhartha Chib
7. Jean-François Richard
8. Perry Sadorsky
9. S. J. Koopman
10. Luc Bauwens

Papers from Roman Liesenfeld's perspective

Ordered by how strongly the researchers Roman Liesenfeld trusts endorse each paper. Same corpus, a different order for every researcher.

1. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
2. Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics
3. Efficient high-dimensional importance sampling
4. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (Social Science Research Network)
5. Monte Carlo Statistical Methods
6. A Simple Approximate Long-Memory Model of Realized Volatility
7. Specification and testing of some modified count data models
8. A generalized bivariate mixture model for stock price volatility and trading volume
9. New Introduction to Multiple Time Series Analysis
10. Generalized autoregressive conditional heteroskedasticity

Their papers

• Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics (2003) — 288 citations
• The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility (2010) — 162 citations
• A generalized bivariate mixture model for stock price volatility and trading volume (2001) — 112 citations
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models (2006) — 93 citations
• Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity (2011) — 53 citations
• Stochastic volatility models: Conditional normality versus heavy tailed distributions (2000) — 155 citations
• Modelling financial transaction price movements: a dynamic integer count data model (2006) — 71 citations