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Golosnoy, V., & Vogler, J. (2026). The vector conditional autoregressive Wishart model for multivariate stock market volatility. Econometrics and Statistics. In press.
Vogler, J., Golosnoy, V. (2023). Unrestricted Maximum Likelihood Estimation of Multivariate Realized Volatility Models. European Journal of Operational Research 304(3): 1063-1074.
Liesenfeld, R., Richard, J.-F., Vogler, J. (2017): Likelihood-Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes. Journal of Applied Econometrics 32(3), 600–620.
Liesenfeld, R., Richard, J.-F., Vogler, J. (2016): Likelihood evaluation of high-dimensional spatial latent Gaussian models with non-Gaussian response variables. Advances in Econometrics 37, 35–77.
Mozharovskyi, P., Vogler, J. (2016): Composite marginal likelihood estimation of spatial autoregressive probit models feasible in very large samples. Economics Letters 148, 87–90.