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:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pqu119
   Updated: 2017-10-14    RAS profile: 2017-09-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Laurent, Sébastien (3)

Patton, Andrew (3)

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)

Storti, Giuseppe (4)

Francq, Christian (1)

Fedorko, Igor (1)

van der Wel, Michel (1)

Sarlin, Peter (1)

Molnár, Peter (1)

Toader, Oana (1)

Lyócsa, Štefan (1)

Dumitrescu, Elena Ivona (1)

Maheu, John (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)

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Works by Rogier Quaedvlieg:


YearTitleTypeCited
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
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]
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.
[Full Text][Citation analysis]
paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 2 2017. Contact: CitEc Team