7
H index
6
i10 index
271
Citations
European Central Bank | 7 H index 6 i10 index 271 Citations RESEARCH PRODUCTION: 12 Articles 6 Papers RESEARCH ACTIVITY: 8 years (2014 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pqu119 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Rogier Quaedvlieg. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Journal of Business & Economic Statistics | 2 |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 2 |
Year | Title of citing document |
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2023 | Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers || Download paper |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper |
2023 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper |
2023 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper |
2023 | Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705. Full description at Econpapers || Download paper |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper |
2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper |
2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper |
2023 | The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018. Full description at Econpapers || Download paper |
2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019. Full description at Econpapers || Download paper |
2023 | Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test. (2023). Wilfling, Bernd ; Monschang, Verena ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:10623. Full description at Econpapers || Download paper |
2023 | Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569. Full description at Econpapers || Download paper |
2023 | Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Xiao, Weilin ; Wang, Xiaohu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:389-415. Full description at Econpapers || Download paper |
2023 | A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543. Full description at Econpapers || Download paper |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper |
2023 | ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171. Full description at Econpapers || Download paper |
2023 | Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063. Full description at Econpapers || Download paper |
2023 | Combining 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. Full description at Econpapers || Download paper |
2023 | Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431. Full description at Econpapers || Download paper |
2023 | The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164. Full description at Econpapers || Download paper |
2023 | Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35. Full description at Econpapers || Download paper |
2023 | Time series momentum and reversal: Intraday information from realized semivariance. (2023). Wang, Shixuan ; Li, BO ; Lu, Shanglin ; Liu, Zhenya. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77. Full description at Econpapers || Download paper |
2023 | The impact of the Russian-Ukrainian war on global financial markets. (2023). Sivaprasad, Sheeja ; Petropoulou, Athina ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s105752192300114x. Full description at Econpapers || Download paper |
2023 | Less is more? New evidence from stock market volatility predictability. (2023). Guo, Qiang ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003356. Full description at Econpapers || Download paper |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
2023 | Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237. Full description at Econpapers || Download paper |
2023 | The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097. Full description at Econpapers || Download paper |
2023 | The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711. Full description at Econpapers || Download paper |
2023 | The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423. Full description at Econpapers || Download paper |
2023 | Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model. (2023). Hoffman, Linwood ; Adam, Brian ; Farhangdoost, Sara ; Etienne, Xiaoli L. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000235. Full description at Econpapers || Download paper |
2023 | Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index. (2023). Zhang, Yaojie ; Zeng, Qing ; Wang, Yudong ; He, Mengxi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001095. Full description at Econpapers || Download paper |
2023 | Limit 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market. (2023). Badhani, K N ; Ali, Asgar. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:1:d:10.1057_s41260-022-00290-0. Full description at Econpapers || Download paper |
2023 | Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Tail 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. Full description at Econpapers || Download paper |
2023 | Trading 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929. Full description at Econpapers || Download paper |
2023 | Policy uncertainty and stock market volatility revisited: The predictive role of signal quality. (2023). Salisu, Afees ; Demirer, Riza ; Gupta, Rangan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2307-2321. Full description at Econpapers || Download paper |
2023 | Optimal futures hedging by using realized semicovariances: The information contained in signed high?frequency returns. (2023). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:677-701. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2014 | Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2015 | Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 155 |
2016 | Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 155 | article | |
2016 | Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 45 |
2018 | Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | article | |
2020 | Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
2022 | From zero to hero: Realized partial (co)variances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2022 | Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 0 |
2017 | Risk Measure Inference In: Post-Print. [Citation analysis] | paper | 12 |
2015 | Risk Measure Inference.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2017 | Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2022 | Hedging Long-Term Liabilities* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2022 | Conditional Superior Predictive Ability In: Review of Economic Studies. [Full Text][Citation analysis] | article | 3 |
2021 | Multi-Horizon Forecast Comparison In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 17 |
2022 | Conditional evaluation of predictive models: The cspa command In: Stata Journal. [Full Text][Citation analysis] | article | 0 |
2020 | Realized Semicovariances In: Econometrica. [Full Text][Citation analysis] | article | 12 |
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