Roman Liesenfeld
Curriculum vitae
- Since 2013 Professor for Statistics and Econometrics (W3), University of Cologne
- 2023 Visiting Scholar, Universidade Federal de Santa Catarina (Brasil), Department of Economics and International Relations
- 2018 Visiting Scholar, Universidade Federal de Santa Catarina (Brasil), Department of Economics and International Relations
- 2015 Visiting Scholar, Department of Economics, University of Pittsburgh
- 2003 - 2013 Professor for Statistics (C4), University of Kiel
- 2011 - 2012 Dean of the Department of Business, Economic and Social Science, University of Kiel
- 2007 Visiting Scholar, Department of Economics, University of Pittsburgh
- 2003 Assistent Professor, Department of Economics, University of Pittsburgh
- 1998 - 2003 Assistant Professor (C1), Department of Economics, University of Tübingen
- 2002 Habilitation (venia legendi für Statistik und Ökonometrie), University of Tübingen
- 2000 Visiting research fellow (German Research Associatio,n DFG) at the University of Pittsburgh
- 1998 Doctoral degree (Dr. rer. pol.), University of Tübingen
- 1993 - 1998 Research Assistant (Wissenschaftlicher Mitarbeiter), Department of Economics, University of Tübingen
- 1993 Diplom (Diplom-Volkswirt), University of Mannheim
- Memberships: German Economic Association, German Statistical Society, since 2013 Associate Editor of Empirical Economics
Selected publications
- Predicting the Global Minimum Variance Portfolio. Journal of Business & Economic Statistics (2021), 41(2): 440–452 (with L. Reh, F. Krüger).
- Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models. Journal of Computational and Graphical Statistics (2021), 30(4): 906–919 (with K.K. Osmundsen, T.S. Kleppe).
- Efficient Likelihood Evaluation of State-Space Representations. The Review of Economic Studies (2013), 80: 538-567 (with D.N. DeJong, H. Dharmarajan, G.V. Moura, J.-F. Richard).
- The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility. Journal of Econometrics (2012), 167: 211-223 (with V. Golosnoy, B. Gribisch).
- Efficient Estimation of Probit Models with Correlated Errors, Journal of Econometrics (2010), 156: 367-376 (with J.-F. Richard). A Generalized Bivariate Mixture Model for Stock Price Volatility and Trading Volume. Journal of Econometrics (2001), 104: 141-178.