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Rogier Quaedvlieg
Rogier Quaedvlieg
European Central Bank
Geverifieerd e-mailadres voor ecb.europa.eu - Homepage
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Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
T Bollerslev, AJ Patton, R Quaedvlieg
Journal of Econometrics 192 (1), 1-18, 2016
3472016
Modeling and Forecasting (Un) Reliable Realized Covariances for More Reliable Financial Decisions
T Bollerslev, AJ Patton, R Quaedvlieg
Journal of Econometrics 207 (1), 71-91, 2018
862018
Multi-Horizon Forecast Comparison
R Quaedvlieg
Journal of Business & Economic Statistics 39 (1), 40-53, 2021
602021
Realized Semicovariances
T Bollerslev, J Li, AJ Patton, R Quaedvlieg
Econometrica 88 (4), 1515-1551, 2020
522020
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
K Boudt, S Laurent, A Lunde, R Quaedvlieg, O Sauri
Journal of Econometrics 196 (2), 347-367, 2017
372017
Realized Semibetas: Disentangling ''good'' and ''bad'' downside risks
T Bollerslev, AJ Patton, R Quaedvlieg
Journal of Financial Economics 144 (1), 227-246, 2022
29*2022
Multivariate Leverage Effects and Realized Semicovariance GARCH Models
T Bollerslev, AJ Patton, R Quaedvlieg
Journal of Econometrics 217 (2), 411-430, 2020
272020
Conditional Superior Predictive Ability
J Li, Z Liao, R Quaedvlieg
Review of Economic Studies 89 (2), 843-875, 2022
262022
Risk Measure Inference
C Hurlin, S Laurent, R Quaedvlieg, S Smeekes
Journal of Business & Economic Statistics 35 (4), 499-512, 2017
222017
Hedging Long-Term Liabilities
R Quaedvlieg, PC Schotman
Journal of Financial Econometrics, 2020
8*2020
From Zero to Hero: Realized Partial (Co) Variances
T Bollerslev, MC Medeiros, AJ Patton, R Quaedvlieg
Journal of Econometrics, 2021
72021
Granular Betas and Risk Premium Functions
T Bollerslev, AJ Patton, R Quaedvlieg
Working Paper, 2022
2022
Conditional Evaluation of Predictive Models: The cspa Command
J Li, Z Liao, R Quaedvlieg, W Zhou
2022
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Artikelen 1–13