Rogier Quaedvlieg : Citation Profile


Are you Rogier Quaedvlieg?

Erasmus Universiteit Rotterdam

4

H index

1

i10 index

31

Citations

RESEARCH PRODUCTION:

3

Articles

6

Papers

RESEARCH ACTIVITY:

   3 years (2014 - 2017). See details.
   Cites by year: 10
   Journals where Rogier Quaedvlieg has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 1 (3.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pqu119
   Updated: 2018-04-21    RAS profile: 2018-04-09    
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Relations with other researchers


Works with:

Laurent, Sébastien (6)

Hurlin, Christophe (3)

Patton, Andrew (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:

Braione, Manuela (4)

Bauwens, Luc (4)

Storti, Giuseppe (4)

Hautsch, Nikolaus (2)

Francq, Christian (2)

darolles, serge (1)

Dumitrescu, Elena Ivona (1)

van Dijk, Dick (1)

van der Wel, Michel (1)

Fedorko, Igor (1)

Zakoian, Jean-Michel (1)

Cites to:

Andersen, Torben (16)

Bollerslev, Tim (15)

Hansen, Peter (11)

Shephard, Neil (11)

Lunde, Asger (10)

Barndorff-Nielsen, Ole (8)

Diebold, Francis (8)

Meddahi, Nour (7)

Patton, Andrew (6)

White, Halbert (4)

Fan, Jianqing (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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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Mao, Xiuping ; Casas, Isabel. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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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). López Cabrera, Brenda ; Benschop, Thijs . 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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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

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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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paper4
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 4
article
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
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paper18
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: 18
article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
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paper5
2017Risk Measure Inference In: Post-Print.
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paper4
2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2015Risk Measure Inference.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper

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