Roman Liesenfeld

1.6k total citations
48 papers, 948 citations indexed

About

Roman Liesenfeld is a scholar working on Economics and Econometrics, Finance and General Economics, Econometrics and Finance. According to data from OpenAlex, Roman Liesenfeld has authored 48 papers receiving a total of 948 indexed citations (citations by other indexed papers that have themselves been cited), including 32 papers in Economics and Econometrics, 29 papers in Finance and 14 papers in General Economics, Econometrics and Finance. Recurrent topics in Roman Liesenfeld's work include Financial Risk and Volatility Modeling (26 papers), Monetary Policy and Economic Impact (14 papers) and Market Dynamics and Volatility (13 papers). Roman Liesenfeld is often cited by papers focused on Financial Risk and Volatility Modeling (26 papers), Monetary Policy and Economic Impact (14 papers) and Market Dynamics and Volatility (13 papers). Roman Liesenfeld collaborates with scholars based in Germany, United States and Norway. Roman Liesenfeld's co-authors include Jean‐François Richard, Robert C. Jung, Vasyl Golosnoy, Winfried Pohlmeier, Ingmar Nolte, David N. DeJong, Robert C. Young, Guilherme V. Moura, Christian Aßmann and Fabian Krüger and has published in prestigious journals such as The Review of Economics and Statistics, Journal of Econometrics and The Review of Economic Studies.

In The Last Decade

Roman Liesenfeld

45 papers receiving 895 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Roman Liesenfeld Germany 16 706 520 232 205 113 48 948
Robert C. Jung Germany 15 616 0.9× 470 0.9× 332 1.4× 194 0.9× 104 0.9× 29 950
Jeroen V.K. Rombouts Canada 17 625 0.9× 547 1.1× 171 0.7× 255 1.2× 93 0.8× 48 879
Cătălin Stărică United States 15 918 1.3× 649 1.2× 250 1.1× 272 1.3× 126 1.1× 33 1.1k
Oliver B. Linton United Kingdom 15 330 0.5× 450 0.9× 504 2.2× 180 0.9× 132 1.2× 93 1.1k
Dennis Kristensen United Kingdom 18 773 1.1× 584 1.1× 395 1.7× 428 2.1× 85 0.8× 51 1.3k
Joann Jasiak Canada 16 984 1.4× 688 1.3× 228 1.0× 361 1.8× 173 1.5× 48 1.3k
Marine Carrasco Canada 17 706 1.0× 517 1.0× 424 1.8× 495 2.4× 126 1.1× 39 1.2k
Mark Podolskij Denmark 21 1.6k 2.2× 837 1.6× 291 1.3× 285 1.4× 110 1.0× 73 1.7k
Juan Carlos Escanciano United States 20 709 1.0× 661 1.3× 523 2.3× 386 1.9× 136 1.2× 63 1.3k
Offer Lieberman Israel 17 619 0.9× 650 1.3× 221 1.0× 315 1.5× 109 1.0× 59 1.0k

Countries citing papers authored by Roman Liesenfeld

Since Specialization
Citations

This map shows the geographic impact of Roman Liesenfeld's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Roman Liesenfeld with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Roman Liesenfeld more than expected).

Fields of papers citing papers by Roman Liesenfeld

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Roman Liesenfeld. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Roman Liesenfeld. The network helps show where Roman Liesenfeld may publish in the future.

Co-authorship network of co-authors of Roman Liesenfeld

This figure shows the co-authorship network connecting the top 25 collaborators of Roman Liesenfeld. A scholar is included among the top collaborators of Roman Liesenfeld based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Roman Liesenfeld. Roman Liesenfeld is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Liesenfeld, Roman, et al.. (2023). Numerical Generalized Randomized HMC processes for restricted domains. SSRN Electronic Journal. 1 indexed citations
2.
Liesenfeld, Roman, et al.. (2019). Factor state–space models for high-dimensional realized covariance matrices of asset returns. Journal of Empirical Finance. 55. 1–20. 13 indexed citations
3.
Krüger, Fabian, et al.. (2019). Dynamic Modeling of the Global Minimum Variance Portfolio. SSRN Electronic Journal. 2 indexed citations
4.
DeJong, David N., et al.. (2012). Efficient Likelihood Evaluation of State-Space Representations. The Review of Economic Studies. 80(2). 538–567. 18 indexed citations
5.
Golosnoy, Vasyl, et al.. (2011). The conditional autoregressive Wishart model for multivariate stock market volatility. Journal of Econometrics. 167(1). 211–223. 17 indexed citations
6.
Liesenfeld, Roman, Guilherme V. Moura, & Jean‐François Richard. (2010). Determinants and Dynamics of Current Account Reversals: An Empirical Analysis. Oxford Bulletin of Economics and Statistics. 72(4). 486–517. 6 indexed citations
7.
Golosnoy, Vasyl & Roman Liesenfeld. (2010). Interval shrinkage estimators. Journal of Applied Statistics. 38(3). 465–477.
8.
Jung, Robert C., Roman Liesenfeld, & Jean‐François Richard. (2010). Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity. Journal of Business and Economic Statistics. 29(1). 73–85. 40 indexed citations
9.
Liesenfeld, Roman & Jean‐François Richard. (2008). Improving MCMC, using efficient importance sampling. Computational Statistics & Data Analysis. 53(2). 272–288. 15 indexed citations
10.
DeJong, David N., et al.. (2008). Efficient Filtering in State-Space Representations. SSRN Electronic Journal. 2 indexed citations
11.
Aßmann, Christian, et al.. (2008). The decline in German output volatility: a Bayesian analysis. Empirical Economics. 37(3). 653–679. 3 indexed citations
12.
Liesenfeld, Roman & Jean‐François Richard. (2006). Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. Econometric Reviews. 25(2-3). 335–360. 48 indexed citations
13.
Aßmann, Christian, et al.. (2006). The Decline in German Output Volatility: A Bayesian Analysis. SSRN Electronic Journal. 3 indexed citations
14.
Liesenfeld, Roman & Jean‐François Richard. (2003). Estimation of Dynamic Bivariate Mixture Models. Journal of Business and Economic Statistics. 21(4). 570–576. 7 indexed citations
15.
Liesenfeld, Roman & Jean‐François Richard. (2003). Univariate and multivariate stochastic volatility models: estimation and diagnostics. Journal of Empirical Finance. 10(4). 505–531. 169 indexed citations
16.
Liesenfeld, Roman & Jean‐François Richard. (2002). Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics. SSRN Electronic Journal. 12 indexed citations
17.
Liesenfeld, Roman. (2002). Identifying Common Long-Range Dependence in Volume and Volatility Using High-Frequency Data. SSRN Electronic Journal. 1 indexed citations
18.
Liesenfeld, Roman. (1997). Trading Volume and the Short and Long-run Components of Volatility. Econstor (Econstor). 4 indexed citations
19.
Liesenfeld, Roman & Robert C. Jung. (1997). Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions. SSRN Electronic Journal. 23 indexed citations
20.
Jung, Robert C. & Roman Liesenfeld. (1996). Testing the bivariate mixture hypothesis using German Stock market data. European Financial Management. 2(3). 273–297. 3 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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