Professoren
Juniorprof. Dr. Vasyl Golosnoy

Juniorprof. Dr. Vasyl Golosnoy

Aufsätze

Golosnoy, V., Liesenfeld, R. (2010).
"Interval Shrinkage Estimators",
"Journal of Applied Statistics" 37, in press (link).

Golosnoy, V. (2010).
"No-Transaction Bounds and Estimation Risk",
"Quantitative Finance" 10, in press (link).

Golosnoy, V., Okhrin, I., Schmid, W. (2010).
"New Characteristics for Portfolio Surveillance",
"Statistics: A Journal of Theoretical and Applied Statistics" 44, in press (link).

Golosnoy, V., Okhrin, I., Ragulin, S., Schmid, W. (2010).
"On the Application of SPC in Finance",
"Frontiers in Statistical Quality Control" 9, 119-131. (link).

Golosnoy, V., Ragulin, S., Schmid, W. (2009).
"Multivariate CUSUM Chart: Properties and Enhancements",
"AStA Advances in Statistical Analysis" 93, 263-279.

Golosnoy, V., Okhrin, Y. (2009).
"Flexible Shrinkage in Portfolio Selection",
"Journal of Economic Dynamics and Control" 33, 317-328.

Golosnoy, V., Schmid, W. (2009).
"Statistical Process Control in Asset Management",
in W. Härdle, N. Hautsch, L. Overbeck (editors) "Applied Quantitative Finance", Springer, 2nd edition, 399-416.

Golosnoy, V., Okhrin, Y. (2008).
"Modelling Uncertainty in Portfolio Selection: A Case-Based Decision Approach",

"Journal of Economic Behavior and Organization" 67, 718-734.

Golosnoy, V. (2007).
"Sequential Monitoring of Minimum Variance Portfolio",
"AStA Advances in Statistical Analysis" 91, 39-55.

Golosnoy, V., Okhrin, Y. (2007).
"Multivariate Shrinkage for Optimal Portfolio Weights",
"The European Journal of Finance" 13, 441-458.

Golosnoy, V., Schmid, W. (2007).
"EWMA Control Charts for Monitoring Optimal Portfolio Weights",
"Sequential Analysis" 26, 195-224.

Golosnoy, V., Schmid, W., Okhrin, I. (2007).
"Sequential Monitoring of Optimal Portfolio Weights",
in M. Frisén (editor) "Financial Surveillance", Wiley, 179-211.


Proceedings

Golosnoy, V., Okhrin, I., Schmid, W. (2009). Modeling and Forecasting Realized Volatility via State-Space Representation, 9th Workshop on Stochastic Models and Their Applications, RWTH Aachen. (Proceedings, pp. 32-33.)

Golosnoy, V., Okhrin, I., Schmid, W. (2007). Surveillance of the Minimum Variance Portfolio Composition, Bulletin of the International Statistical Institute (ISI), 56th Session in Lisbon 2007, (Proceedings, pp. 2029-2032.)


Eingereichte Arbeiten

Adaptive Model Combination for Volatility Forecasts (with Y. Okhrin)

On Estimation of Act Similarity Function

Semiparametric Approach to the Prediction of Conditional Correlation Matrices in Finance (with H. Herwartz) (link)

Sequential Approach to Financial Market Monitoring

Sequential Detection of NBER Business Cycle Expansion and Recession Points (with J. Hogrefe) (link)


Aktuelle Forschungsprojekte

CUSUM Charts for Portfolio Choice (with S. Ragulin, W. Schmid)

Empirical Similarity in Financial Applications (with Y. Okhrin)

Statistical Surveillance for Volatility Forecasting Models (with I. Okhrin, W. Schmid)

To Buy, To Sell or To Hold? Sequential Monitoring of Information Ratios (with I. Okhrin, W. Schmid)


Alte Arbeitspapiere

Natural Shrinkage for the Optimal Portfolio Weights, Post Graduate Research Programme WP Series 2004-06, Frankfurt (Oder). (link)

Revision Policy for the Two Asset Global Minimum Variance Portfolio, Post Graduate Research Programme WP Series 2003-19, Frankfurt (Oder). (link)

Should a Portfolio Investor Follow or Neglect Regime Changes? (mit W. Schmid), Post Graduate Research Programme WP Series 2003-13, Frankfurt (Oder).

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