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Roxana Halbleib (Chiriac)

Personal Details

First Name:Roxana
Middle Name:
Last Name:Halbleib
Suffix:
RePEc Short-ID:pch448
Terminal Degree:2010 Fachbereich Wirtschaftswissenschaften; Universität Konstanz (from RePEc Genealogy)

Affiliation

(50%) Fachbereich Wirtschaftswissenschaften
Universität Konstanz

Konstanz, Germany
http://www.uni-konstanz.de/FuF/wiwi/
RePEc:edi:fwkonde (more details at EDIRC)

(50%) Zentrum für Finanzen und Ökonometrie
Fachbereich Wirtschaftswissenschaften
Universität Konstanz

Konstanz, Germany
http://cofe.uni-konstanz.de/
RePEc:edi:zfkonde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Halbleib, Roxana & Dimitriadis, Timo, 2019. "How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203669, Verein für Socialpolitik / German Economic Association.
  2. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
  3. Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012. "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-31, Department of Economics, University of Konstanz.
  4. Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, Department of Economics and Business Economics, Aarhus University.
  5. Roxana Halbleib, 2010. "A Note on Estimating Wishart Autoagressive Model," Working Papers ECARES ECARES 2010-043, ULB -- Universite Libre de Bruxelles.
  6. Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
  7. Roxana Chiriac & Winfried Pohlmeier, 2010. "How Risky Is the Value at Risk?," Working Paper series 07_10, Rimini Centre for Economic Analysis.
  8. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers 2008-39, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Timo Dimitriadis & Roxana Halbleib, 2022. "Realized Quantiles," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1346-1361, June.
  2. Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
  3. Roxana Halbleib & Valeri Voev, 2016. "Forecasting Covariance Matrices: A Mixed Approach," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 383-417.
  4. Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014. "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
  5. Halbleib, Roxana & Pohlmeier, Winfried, 2012. "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1212-1228.
  6. Halbleib Roxana & Voev Valeri, 2011. "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 134-152, February.
  7. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, September.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (9) 2008-09-05 2010-04-24 2011-01-30 2011-01-30 2011-01-30 2012-08-23 2012-12-10 2015-01-31 2019-11-04. Author is listed
  2. NEP-ETS: Econometric Time Series (6) 2008-09-05 2011-01-30 2011-01-30 2011-01-30 2012-12-10 2012-12-10. Author is listed
  3. NEP-FOR: Forecasting (6) 2008-09-05 2010-04-24 2011-01-30 2011-01-30 2012-12-10 2019-11-04. Author is listed
  4. NEP-MST: Market Microstructure (4) 2011-01-30 2011-01-30 2012-12-10 2019-11-04
  5. NEP-RMG: Risk Management (4) 2010-04-24 2011-01-30 2012-12-10 2019-11-04
  6. NEP-ORE: Operations Research (3) 2008-09-05 2010-04-24 2011-01-30
  7. NEP-UPT: Utility Models and Prospect Theory (2) 2008-09-05 2010-04-24
  8. NEP-BAN: Banking (1) 2010-04-24
  9. NEP-FMK: Financial Markets (1) 2008-09-05

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