Rogier Quaedvlieg : Citation Profile


Are you Rogier Quaedvlieg?

Erasmus Universiteit Rotterdam

3

H index

1

i10 index

21

Citations

RESEARCH PRODUCTION:

2

Articles

4

Papers

RESEARCH ACTIVITY:

   3 years (2014 - 2017). See details.
   Cites by year: 7
   Journals where Rogier Quaedvlieg has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 1 (4.55 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pqu119
   Updated: 2017-08-05    RAS profile: 2017-06-08    
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Relations with other researchers


Works with:

Patton, Andrew (3)

Laurent, Sébastien (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rogier Quaedvlieg.

Is cited by:

Storti, Giuseppe (4)

Bauwens, Luc (4)

Molnár, Peter (1)

Sarlin, Peter (1)

Zakoian, Jean-Michel (1)

Fedorko, Igor (1)

Lyócsa, Štefan (1)

Maheu, John (1)

Toader, Oana (1)

van Dijk, Dick (1)

Taylor, Nick (1)

Cites to:

Andersen, Torben (16)

Bollerslev, Tim (15)

Hansen, Peter (13)

Shephard, Neil (11)

Lunde, Asger (11)

Diebold, Francis (9)

Barndorff-Nielsen, Ole (8)

Meddahi, Nour (7)

Patton, Andrew (7)

Fan, Jianqing (4)

Laurent, Sébastien (4)

Main data


Where Rogier Quaedvlieg has published?


Journals with more than one article published# docs
Journal of Econometrics2

Recent works citing Rogier Quaedvlieg (2017 and 2016)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin . In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2016Toward robust early-warning models: A horse race, ensembles and model uncertainty. (2016). Sarlin, Peter ; Holopainen, Markus . In: Papers. RePEc:arx:papers:1501.04682.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective. (2016). Wang, Minggang ; Tian, Zihao ; Jiang, Shumin ; Du, Ruijin ; Chen, Ying . In: Applied Energy. RePEc:eee:appene:v:175:y:2016:i:c:p:109-127.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Clements, Adam ; Liao, Yin . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2016Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475.

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2017An analysis of banks’ weaknesses in the light of stress tests. (2017). Toader, Oana ; Bellando, Raphaëlle. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2479.

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-8.

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2016Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim . In: MPRA Paper. RePEc:pra:mprapa:71220.

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2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. (2017). Blasques, Francisco F ; Jan, Siem ; Gorgi, Paolo . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170059.

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Works by Rogier Quaedvlieg:


YearTitleTypeCited
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
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paper3
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 3
article
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
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paper12
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]
paper2
2015Risk Measure Inference In: Working Papers.
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paper4

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