Dr. Roxana Halbleib (née Chiriac)

Research Interests

  •  Risk Estimation and Forecasting
  • Simulation-based Estimation Methods
  • Model Selection
  • (Multivariate) Volatility Models 
  • High Frequency Data

-> CV.pdf Version

Peer-reviewed Publications

"Estimating Stable Latent Factor Models by Indirect Inference", 2018,  Journal of Econometrics, Volume 205, Issue 1, pages 280-301  (with Giorgio Calzolari)

"Forecasting Covariance Matrices: A Mixed Approach", 2016, Journal of Financial Econometrics, Volume 4, Issue 2, pages 383-417 (with Valeri Voev)

"Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood", 2014, Computational Statistics and Data Analysis, Volume 76, pages 158 - 171 (with Giorgio Calzolari and Alessandro Parrini)

"Improving the Value at Risk Forecasts: Theory and Evidence from the Financial Crisis"***, 2012, Journal of Economic Dynamics and Control, Volume 36, Issue 8, Pages 1212-1228 (with Winfried Pohlmeier) ***Previous versions of the paper circulated under the title "How Risky is the Value at Risk?"

"Modelling and Forecasting Multivariate Realized Volatility", 2011, Journal of Applied Econometrics, Volume 26, pages 922-947 (with Valeri Voev)

"Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors", 2011, Journal of Economics and Statistics (Jahrbücher für Nationalökonomie und Statistik), Vol. 231/1, pages 134-152 (with Valeri Voev), Working Paper Version

Other Publications 

"Messen und Verstehen von Finanzrisiken - Eine Perspektive der Ökonometrie", 2017, Springer, in Messen und Verstehen in der Wissenschaft – Interdisziplinäre Ansätze, Springer Verlag, pages 135-149 (Eds: M. Schweiker, J. Hass, A. Novokhatko and R. Halbleib)

Edited Books

"Messen und Verstehen in der Wissenschaft", 2017, Springer (Eds: M. Schweiker, J. Hass, A. Novokhatko, R. Halbleib)

Working Papers

"How informative is High-Frequency Data for Tail Risk Estimation and Forecasting? An Intrinsic Time Perspective", 2018, GSDS Working Paper No. 2018-04 (with Timo Dimitriadis)

"A Latent Factor Model for Forecasting Realized Volatilities", 2017, GSDS Working Paper No. 2017-14 (with Giorgio Calzolari and Aygul Zagidullina)


Heidelberger Akademie der Wissenschaften, WIN-Kolleg - Junior Academy for Young Scholars and Scientists with the topic "Messen und Verstehen der Welt durch die Wissenschaft": Analyzing, Measuring and Forecasting Financial Risks by means of High-Frequency Data


Financial Econometrics (WS 2018/19)