Rogier Quaedvlieg : Citation Profile


Are you Rogier Quaedvlieg?

European Central Bank

7

H index

6

i10 index

280

Citations

RESEARCH PRODUCTION:

12

Articles

6

Papers

RESEARCH ACTIVITY:

   8 years (2014 - 2022). See details.
   Cites by year: 35
   Journals where Rogier Quaedvlieg has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 5 (1.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pqu119
   Updated: 2024-04-18    RAS profile: 2023-03-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Patton, Andrew (4)

Bollerslev, Tim (2)

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

Is cited by:

Gallo, Giampiero (12)

Francq, Christian (11)

Clements, Adam (9)

Lyócsa, Štefan (8)

Zhang, Yaojie (8)

Laurent, Sébastien (7)

Zakoian, Jean-Michel (7)

Storti, Giuseppe (7)

Bauwens, Luc (7)

Otranto, Edoardo (5)

Demirer, Riza (5)

Cites to:

Bollerslev, Tim (45)

Shephard, Neil (28)

Andersen, Torben (26)

Hansen, Peter (24)

Patton, Andrew (20)

Bauwens, Luc (19)

Diebold, Francis (19)

Lunde, Asger (16)

Engle, Robert (15)

Laurent, Sébastien (13)

Sheppard, Kevin (10)

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 (2024 and 2023)


YearTitle of citing document
2023Realised 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

2023Volatility 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

2024Reservoir 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

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

Full description at Econpapers || Download paper

2023Co-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

2023Graph 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

2023Sluggish 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

2023Predicting 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

2023Realized 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

2023Augmenting 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

2023The 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

2023Realized 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

2023Multi-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

2023Data 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

2023Modeling 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

2023A 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

2023Modeling 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

2023ETF 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

2023Out-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

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.

Full description at Econpapers || Download paper

2023Loss 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

2023The 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

2023Using, 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

2023Time 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

2023The 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

2023Less 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

2023Discovering 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

2023Improving 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

2023The 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

2023The 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

2023The 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

2023Forecasting 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

2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

Full description at Econpapers || Download paper

2023Forecasting 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

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.

Full description at Econpapers || Download paper

2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Chevallier, Julien ; Sanhaji, Bilel. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the ?CoVaR Measures. (2019). ben Sassi, Salim ; Khiari, Wided. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:122-:d:297153.

Full description at Econpapers || Download paper

2023Downside 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

2023Liquidity 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

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.

Full description at Econpapers || Download paper

2023Tail 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

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.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Forecasting 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

2023Policy 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

2023Optimal 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

Works by Rogier Quaedvlieg:


YearTitleTypeCited
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
[Full Text][Citation analysis]
paper20
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20
article
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20
paper
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]
paper159
2016Exploiting 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: 159
article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]
paper47
2018Modeling 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: 47
article
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
[Full Text][Citation analysis]
article0
2017Risk Measure Inference In: Post-Print.
[Citation analysis]
paper12
2015Risk Measure Inference.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
article
2022Hedging Long-Term Liabilities* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2022Conditional Superior Predictive Ability In: The Review of Economic Studies.
[Full Text][Citation analysis]
article4
2021Multi-Horizon Forecast Comparison In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article18
2022Conditional evaluation of predictive models: The cspa command In: Stata Journal.
[Full Text][Citation analysis]
article0
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]
article12

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team