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Rogier Quaedvlieg : Citation Profile


Are you Rogier Quaedvlieg?

Erasmus Universiteit Rotterdam

3

H index

1

i10 index

29

Citations

RESEARCH PRODUCTION:

3

Articles

6

Papers

RESEARCH ACTIVITY:

   3 years (2014 - 2017). See details.
   Cites by year: 9
   Journals where Rogier Quaedvlieg has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 1 (3.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pqu119
   Updated: 2018-02-17    RAS profile: 2018-01-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Laurent, Sébastien (5)

Patton, Andrew (3)

Hurlin, Christophe (3)

Smeekes, Stephan (2)

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

Is cited by:

Bauwens, Luc (4)

Braione, Manuela (4)

Storti, Giuseppe (4)

Hautsch, Nikolaus (2)

Bellando, Raphaëlle (1)

Francq, Christian (1)

BANULESCU-RADU, Denisa (1)

Sarlin, Peter (1)

Liu, Jia (1)

Maheu, John (1)

Molnár, Peter (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)

Patton, Andrew (7)

Meddahi, Nour (7)

Laurent, Sébastien (4)

White, Halbert (4)

Main data


Where Rogier Quaedvlieg has published?


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

Working Papers Series with more than one paper published# docs
Post-Print / HAL2

Recent works citing Rogier Quaedvlieg (2018 and 2017)


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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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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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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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 ; Braione, Manuela ; Bauwens, Luc. 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 realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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

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2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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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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2017The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Okhrin, Ostap ; Tetereva, Anastasija. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

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2017Realized volatility of CO2 futures. (2017). Benschop, Thijs ; Cabrera, Brenda Lopez . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-025.

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2017Forecasting Financial Market Volatility Using a Dynamic Topic Model. (2017). Morimoto, Takayuki ; Kawasaki, Yoshinori. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9228-z.

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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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2018Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Gerlach, Richard ; Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:83893.

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

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2017Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: CFS Working Paper Series. RePEc:zbw:cfswop:582.

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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.
[Full Text][Citation analysis]
paper17
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: 17
article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]
paper5
2017Risk Measure Inference In: Post-Print.
[Citation analysis]
paper0
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity In: Post-Print.
[Citation analysis]
paper0
2015Risk Measure Inference In: Working Papers.
[Full Text][Citation analysis]
paper4
2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team