Concepedia

Roman Liesenfeld

RL

24

Publications

1.4K

Citations

19

H-Index

1997

Active since

Affiliations

University of Pittsburgh(Current)

Christian-Albrechts-Universität zu Kiel

University of Cologne

University of Tübingen

University of Hohenheim

Roman Liesenfeld is an author at University of Pittsburgh specializing in statistics, business, and finance.

Top concepts

StatisticsFinanceBusinessAsset PricingEngineeringEconometricsVolatility ModelingEconomicsFinancial EconomicsStatistical Inference

Publications per year

1997–2022

24

Publications

24

Univariate and multivariate stochastic volatility models: estimation and diagnostics

Roman Liesenfeld, Jean‐François Richard · Journal of Empirical Finance · 2003 · 269 citations

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +7

Time series of count data: modeling, estimation and diagnostics

Robert C. Jung, Martin Kukuk, Roman Liesenfeld · Computational Statistics & Data Analysis · 2006 · 185 citations

Engineering, Data Science, Forecasting +3

Stochastic volatility models: conditional normality versus heavy-tailed distributions

Roman Liesenfeld, Robert C. Jung · Journal of Applied Econometrics · 2000 · 141 citations

Empirical Finance, Volatility Modeling, Multivariate Stochastic Volatility +13

A generalized bivariate mixture model for stock price volatility and trading volume

Roman Liesenfeld · Journal of Econometrics · 2001 · 111 citations

Volatility Modeling, Mixture Distribution, Asset Pricing +8

Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Roman Liesenfeld, Jean‐François Richard · Econometric Reviews · 2006 · 83 citations

Bayesian Statistic, Volatility Modeling, Multivariate Stochastic Volatility +15

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