Rogier Quaedvlieg : Citation Profile

Are you Rogier Quaedvlieg?

European Central Bank

6

H index

5

i10 index

225

Citations

RESEARCH PRODUCTION:

12

Articles

6

Papers

RESEARCH ACTIVITY:

   8 years (2014 - 2022). See details.
   Cites by year: 28
   Journals where Rogier Quaedvlieg has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 5 (2.17 %)

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   Permalink: http://citec.repec.org/pqu119
   Updated: 2023-03-02    RAS profile: 2023-01-09    
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Relations with other researchers

Works with:

Patton, Andrew (5)

Laurent, Sébastien (4)

Bollerslev, Tim (3)

Smeekes, Stephan (2)

Hurlin, Christophe (2)

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

Is cited by:

Francq, Christian (11)

Gallo, Giampiero (10)

Clements, Adam (9)

Zhang, Yaojie (8)

Lyócsa, Štefan (8)

Zakoian, Jean-Michel (7)

Storti, Giuseppe (7)

Laurent, Sébastien (7)

Otranto, Edoardo (5)

darolles, serge (4)

Molnár, Peter (4)

Cites to:

Bollerslev, Tim (45)

Shephard, Neil (28)

Andersen, Torben (26)

Hansen, Peter (24)

Patton, Andrew (20)

Diebold, Francis (19)

Bauwens, Luc (19)

Lunde, Asger (16)

Engle, Robert (15)

Barndorff-Nielsen, Ole (13)

Laurent, Sébastien (13)

Main data

Where Rogier Quaedvlieg has published?

Journals with more than one article published# docs
Journal of Econometrics5
Journal of Business & Economic Statistics2

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

Recent works citing Rogier Quaedvlieg (2022 and 2021)

YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting. (2022). Dong, Ruihai ; Li, Jiazheng ; Yang, Linyi ; Smyth, Barry ; Zhang, Yue. In: Papers. RePEc:arx:papers:2201.01770.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2021Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202205.

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2022A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:9722.

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2021Multi-Day-Ahead Electricity Price Forecasting: A Comparison of fundamental, econometric and hybrid Models. (2021). Vogler, Arne ; Beran, Philip. In: EWL Working Papers. RePEc:dui:wpaper:2102.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022Market regime detection via realized covariances. (2022). Ciciretti, Vito ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000785.

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2022Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. (2022). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002242.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2022Equity clusters through the lens of realized semicorrelations. (2022). Patton, Andrew ; Zhang, Haozhe ; Bollerslev, Tim. In: Economics Letters. RePEc:eee:ecolet:v:211:y:2022:i:c:s016517652100478x.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2023Combining probabilistic forecasts of COVID-19 mortality in the United States. (2023). Taylor, Kathryn S. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:1:p:25-41.

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2021Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201.

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2021Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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2021What drives volatility of the U.S. oil and gas firms?. (2021). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2022A volatility spillover analysis with realized semi(co)variances in Australian electricity markets. (2022). Zarraga, Ainhoa ; Chanatasig-Niza, Evelyn ; Ciarreta, Aitor. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002407.

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2021Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions. (2021). Yamagata, Takashi ; Tarui, Nori ; Smith, Vanessa L. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s014098832100075x.

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2021The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Sivaprasad, Sheeja ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000144.

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2021Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

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2022Market distraction and near-zero daily volatility persistence. (2022). Wang, Jianxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000023.

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2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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2021FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907.

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2021Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU. (2021). Kanga, Kouame Desire ; Sene, Babacar ; Saidane, Dhafer. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001220.

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2021The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets. (2021). Matkovskyy, Roman ; Jalan, Akanksha ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000408.

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2021Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

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2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

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2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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2021Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

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2021Identification of volatility proxies as expectations of squared financial returns. (2021). Sucarrat, Genaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1677-1690.

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2021Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

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2022Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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2021A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam ; Daniel, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417.

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2022A geometric framework for covariance dynamics. (2022). Park, Frank C ; Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002703.

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2022Weighted Least Squares Realized Covariation Estimation. (2022). Xu, QI ; Voev, Valeri ; Vasios, Michalis ; Nolte, Ingmar ; Li, Yifan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000206.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2022A novel hybrid model integrating modified ensemble empirical mode decomposition and LSTM neural network for multi-step precious metal prices prediction. (2022). Lin, Zixiao ; Liao, Qidong ; Tan, Bin ; Yu, Yuanyuan. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003294.

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2022Impacts of COVID-19 local spread and Google search trend on the US stock market. (2022). Panovska, Irina ; Das, Kumer P ; Toufiqul, G M ; Dey, Asim K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121006968.

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2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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2021What are bitcoin market reactions to its-related events?. (2021). Dong, Hao ; Chen, Liming ; Li, Zhenghui. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:1-10.

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2021Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Jin, Chenglu ; Bao, Weiwei ; Chen, Rongda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129.

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2023Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes. (2023). , Almut ; Pakkanen, Mikko S ; Li, Yuan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:202-231.

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2021New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?. (2021). Tanaka, Katsuyuki ; Hamori, Shigeyuki ; Higashide, Takuo ; Kinkyo, Takuji. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:215-:d:551574.

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2023.

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2022.

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2022Digital RMB, RMB Internationalization and Sustainable Development of the International Monetary System. (2022). Shen, Chunming. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:10:p:6228-:d:819952.

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2021How Local is the Local Inflation Factor? Evidence from Emerging European Countries. (2021). Clements, Michael ; Cepni, Oguzhan. In: Working Papers. RePEc:hhs:cbsnow:2021_008.

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2021Cross-validated covariance estimators for high-dimensional minimum-variance portfolios. (2021). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-020-00376-y.

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2022Procyclical volatility in Chinese stock markets. (2022). Liu, Xiaoquan ; Jiang, Ying ; Fei, Tianlun ; Deschamps, Bruno. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0.

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2021The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike G ; Murphy, Anthony. In: Working Papers. RePEc:liv:livedp:202109.

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2021Price Discovery in High Resolution*. (2021). Hasbrouck, Joel. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:3:p:395-430..

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2021Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: MPRA Paper. RePEc:pra:mprapa:109231.

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2022A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792.

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2021Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks. (2021). Demirer, Riza ; Ji, Qiang ; Gupta, Rangan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202130.

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2022Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies. (2022). Demirer, Riza ; Gupta, Rangan ; Cepni, Oguzhan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202258.

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2021Beta-Adjusted Covariance Estimation. (2021). Vanduffel, Steven ; Sauri, Orimar ; Boudt, Kris ; Dragun, Kirill. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:21/1010.

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2022Financial modelling, risk management of energy instruments and the role of cryptocurrencies. (2022). Shahbaz, Muhammad ; Nasir, Muhammad Ali ; Duc, Toan Luu ; Ullah, Subhan. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-020-03680-y.

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2022Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks. (2022). ben Saad, Mouna ; Saidane, Bassem ; Boubaker, Heni. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00348-3.

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2023A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03.

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2021Forecast combination puzzle in the HAR model. (2021). Vasnev, Andrey ; Clements, Adam. In: Working Papers. RePEc:syb:wpbsba:2123/25045.

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2021A simple linear alternative to multiplicative error models with an application to trading volume. (2021). Clements, Adam ; Volkov, Vladimir ; Hurn, Stan. In: Working Papers. RePEc:tas:wpaper:38716.

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2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2022Dynamic Partial Correlation Models. (2022). Lange, Rutger-Jan ; Lucas, Andre ; D'Innocenzo, Enzo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220070.

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2022Information gains from using short?dated options for measuring and forecasting volatility. (2022). Zhang, Yang ; Todorov, Viktor. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:368-391.

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2021Forecasting stock return volatility using a robust regression model. (2021). He, Mengxi ; Meng, Fanyi ; Zhang, Yaojie ; Hao, Xianfeng. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1463-1478.

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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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2022What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

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2022Forecasting the volatility of agricultural commodity futures: The role of co?volatility and oil volatility. (2022). Luo, Jiawen ; Ji, Qiang ; Marfatia, Hardik A. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:383-404.

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2022Forecasting international equity market volatility: A new approach. (2022). Li, Yan ; Liang, Chao ; Ma, Feng ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:7:p:1433-1457.

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2023Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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2021Do economic variables forecast commodity futures volatility?. (2021). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1735-1774.

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2022Modeling time varying risk of natural resource assets: Implications of climate change. (2022). Leroux, Anke ; st John, Kathryn A ; Martin, Vance L. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:225-257.

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Works by Rogier Quaedvlieg:

YearTitleTypeCited
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 16		article
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 16		paper
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper136
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 136		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper35
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 35		article
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
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2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
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2017Risk Measure Inference In: Post-Print.
[Citation analysis]		paper12
2015Risk Measure Inference.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 12		paper
2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2022Hedging Long-Term Liabilities* In: The Journal of Financial Econometrics.
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2022Conditional Superior Predictive Ability In: Review of Economic Studies.
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2021Multi-Horizon Forecast Comparison In: Journal of Business & Economic Statistics.
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2022Conditional evaluation of predictive models: The cspa command In: Stata Journal.
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2020Realized Semicovariances In: Econometrica.
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