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Vasyl Golosnoy

Personal Details

First Name:Vasyl
Middle Name:
Last Name:Golosnoy
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RePEc Short-ID:pgo641
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Affiliation

Fakultät für Wirtschaftswissenschaft
Ruhr-Universität Bochum

Bochum, Germany
http://www.ruhr-uni-bochum.de/wiwi/
RePEc:edi:fwbocde (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Vasyl Golosnoy & Nestor Parolya, 2016. "`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers," Papers 1611.01524, arXiv.org.
  2. Golosnoy, Vasyl & Rossen, Anja, 2014. "Modeling dynamics of metal price series via state space approach with two common factors," HWWI Research Papers 156, Hamburg Institute of International Economics (HWWI).
  3. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers 2012-06, Christian-Albrechts-University of Kiel, Department of Economics.
  4. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
  5. Golosnoy, Vasyl & Hogrefe, Jens, 2009. "Sequential methodology for signaling business cycle turning points," Kiel Working Papers 1528, Kiel Institute for the World Economy (IfW Kiel).
  6. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007-23, Christian-Albrechts-University of Kiel, Department of Economics.

Articles

  1. Vogler, Jan & Golosnoy, Vasyl, 2023. "Unrestricted maximum likelihood estimation of multivariate realized volatility models," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1063-1074.
  2. Holger Dette & Vasyl Golosnoy & Janosch Kellermann, 2023. "The effect of intraday periodicity on realized volatility measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(3), pages 315-342, April.
  3. Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
  4. Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch, 2022. "Correcting Intraday Periodicity Bias in Realized Volatility Measures," Econometrics and Statistics, Elsevier, vol. 23(C), pages 36-52.
  5. Demetrescu, Matei & Golosnoy, Vasyl & Titova, Anna, 2020. "Bias corrections for exponentially transformed forecasts: Are they worth the effort?," International Journal of Forecasting, Elsevier, vol. 36(3), pages 761-780.
  6. Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
  7. Golosnoy, Vasyl & Roestel, Jan, 2019. "Real-Time Monitoring Of The Us Inflation Expectation Process," Macroeconomic Dynamics, Cambridge University Press, vol. 23(6), pages 2221-2249, September.
  8. Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
  9. Vasyl Golosnoy & Benno Hildebrandt & Steffen Köhler, 2019. "Modeling and Forecasting Realized Portfolio Diversification Benefits," JRFM, MDPI, vol. 12(3), pages 1-16, July.
  10. Vasyl Golosnoy, 2018. "Sequential monitoring of portfolio betas," Statistical Papers, Springer, vol. 59(2), pages 663-684, June.
  11. Vasyl Golosnoy & Anja Rossen, 2018. "Modeling dynamics of metal price series via state space approach with two common factors," Empirical Economics, Springer, vol. 54(4), pages 1477-1501, June.
  12. Vasyl Golosnoy & Nestor Parolya, 2017. "‘To have what they are having’: portfolio choice for mimicking mean–variance savers," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1645-1653, November.
  13. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.
  14. Vasyl Golosnoy & Yarema Okhrin, 2015. "Using information quality for volatility model combinations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1055-1073, June.
  15. Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
  16. Robert Garthoff & Vasyl Golosnoy & Wolfgang Schmid, 2014. "Monitoring the mean of multivariate financial time series," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(3), pages 328-340, May.
  17. Vasyl Golosnoy & Jens Hogrefe, 2013. "Signaling NBER turning points: a sequential approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(2), pages 438-448, February.
  18. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  19. Vasyl Golosnoy & Helmut Herwartz, 2012. "Dynamic Modeling Of High-Dimensional Correlation Matrices In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1-22.
  20. Vasyl Golosnoy & Iryna Okhrin & Wolfgang Schmid, 2012. "Statistical Surveillance of Volatility Forecasting Models," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 513-543, June.
  21. Golosnoy, Vasyl & Ragulin, Sergiy & Schmid, Wolfgang, 2011. "CUSUM control charts for monitoring optimal portfolio weights," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 2991-3009, November.
  22. Vasyl Golosnoy & Roman Liesenfeld, 2011. "Interval shrinkage estimators," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(3), pages 465-477, October.
  23. Vasyl Golosnoy, 2010. "No-transaction bounds and estimation risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 487-493.
  24. Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
  25. Vasyl Golosnoy & Sergiy Ragulin & Wolfgang Schmid, 2009. "Multivariate CUSUM chart: properties and enhancements," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(3), pages 263-279, September.
  26. Golosnoy, Vasyl & Okhrin, Yarema, 2008. "General uncertainty in portfolio selection: A case-based decision approach," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 718-734, September.
  27. Vasyl Golosnoy, 2007. "Sequential monitoring of minimum variance portfolio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(1), pages 39-55, March.
  28. Vasyl Golosnoy & Yarema Okhrin, 2007. "Multivariate Shrinkage for Optimal Portfolio Weights," The European Journal of Finance, Taylor & Francis Journals, vol. 13(5), pages 441-458.

More information

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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 3 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 (1) 2010-07-10
  2. NEP-ETS: Econometric Time Series (1) 2010-07-10
  3. NEP-FMK: Financial Markets (1) 2012-06-25
  4. NEP-MAC: Macroeconomics (1) 2015-01-03
  5. NEP-MST: Market Microstructure (1) 2010-07-10
  6. NEP-ORE: Operations Research (1) 2010-07-10

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