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Econometrics and Statistics

Prof. Dr. Bastian Gribisch

Kontakt

Universität zu Köln
Institut für Ökonometrie und Statistik
Universitätsstr. 24
Wiso, Gebäude 101
Bauteil 3
Raum: 2.325
D-50931 Köln

T    +49 221 470-7711
E    bastian.gribisch(at)statistik.uni-koeln(dot)de

Sprechstunde nach Vereinbarung.

Research Focuses

  • Multivariate stochastic volatility models
  • Realized covariance
  • State space models
  • Simulation based inference
  • Financial econometrics

Memberships

  • Econometric Society
  • Deutsche Statistische Gesellschaft (DStatG)
  • Verein für Socialpolitik

Publications

  • Combining Portfolio Rules to Improve Prediction of Global Minimum Variance Portfolio Weights, The European Journal of Finance, (2025), (with V. Golosnoy, W. Schmid, M. I. Seifert). (link)
  • Modeling Realized Covariance Measures with Heterogeneous Liquidity: A Generalized Matrix-Variate Wishart State-Space Model (2021, with J.P. Hartkopf), accepted manuscript: Journal of Econometrics.
  • Modeling and Forecasting Realized Portfolio Weights, Journal of Banking & Finance, (2021), (with V. Golosnoy). (link)
  • Sample and Realized Minimum Variance Portfolios: Estimation, Statistical Inference, and Tests, WIREs Computational Statistics, (2021), (with V. Golosnoy and M.I. Seifert). (link)
  • Intraday Conditional Value at Risk: A Periodic Mixed-Frequency GAS Approach Journal of Forecasting, (2020), 40(5), 883-910, (with T. Eckernkemper). (link)
  • Classical and Bayesian Inference for Income Distributions using Grouped Data, Oxford Bulletin of Economics and Statistics, (2020), 83(1), (with T. Eckernkemper). (link)
  • Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices, Quantitative Finance, (2019), 5, 799-821, (with M. Stollenwerk). (link)
  • Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns, Journal of Empirical Finance, (2019), 55, 1-20 (with J.P. Hartkopf, Roman Liesenfeld). (link)
  • A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns, Journal of Financial Econometrics, (2019), 19, 496-530 (with J. Bekierman) (link)
  • Exponential Smoothing of Realized Portfolio Weights, Journal of Empirical Finance, (2018), 53, 222-237 (with V. Golosnoy, M.I. Seifert) (link)
  • A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility, Empirical Economics, (2017), 1-31 (link)
  • Multivariate Wishart Stochastic Volatility and Changes in Regime, Advances in Statistical Analysis, (2016), 100, 4, 443–473 (link)
  • Estimating Stochastic Volatility Models Using Realized Measures, Studies in Nonlinear Dynamics & Econometrics, (2016), 20, 3, 279-300, (with J. Bekierman) (link)
  • Intra-daily volatility spillovers in international stock markets, Journal of International Money and Finance, (2015), 53, 9-114 (with V. Golosnoy, R. Liesenfeld). (link)
  • The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility,
    Journal of Econometrics, (2012), 167, 211-223 (with V. Golosnoy, R. Liesenfeld). (link).