Rogier Quaedvlieg : Citation Profile

European Central Bank

8

H index

8

i10 index

367

Citations

RESEARCH PRODUCTION:

12

Articles

7

Papers

RESEARCH ACTIVITY:

   10 years (2014 - 2024). See details.
   Cites by year: 36
   Journals where Rogier Quaedvlieg has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 5 (1.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pqu119
   Updated: 2025-04-05    RAS profile: 2024-10-11    
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Relations with other researchers

Works with:

Bollerslev, Tim (4)

Patton, Andrew (4)

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 (14)

Francq, Christian (13)

Zhang, Yaojie (12)

Clements, Adam (12)

Lyócsa, Štefan (9)

Bauwens, Luc (9)

Laurent, Sébastien (8)

Demirer, Riza (8)

Storti, Giuseppe (7)

Zakoian, Jean-Michel (7)

GUPTA, RANGAN (6)

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)

Laurent, Sébastien (13)

Sheppard, Kevin (10)

Main data

Production by document typearticlepaper2014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published2014201520162017201820192020202120222023202401020Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2014201520162017201820192020202120222023202420250255075100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year201420152016201720182019202020212022202320240100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents123456789100100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040510h-index Highcharts.comExport to raster or vector imagePrint the chart

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Realised 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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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.

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2024Co-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.

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2024Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Online Generalized Method of Moments for Time Series. (2025). Shao, Xiaofeng ; Chan, Kin Wai ; Leung, Man Fung. In: Papers. RePEc:arx:papers:2502.00751.

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2024.

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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2025Forecasting Dutch inflation using machine learning methods. (2025). de Winter, Jasper ; Rasiawan, Rajni ; Berben, Robert-Paul. In: Working Papers. RePEc:dnb:dnbwpp:828.

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2024Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany. (2024). Menz, Jan-Oliver ; Wieland, Elisabeth ; Schnorrenberger, Richard ; Carstensen, Kai ; Beck, Gunter W. In: Working Paper Series. RePEc:ecb:ecbwps:20242930.

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2024Optimal nonparametric range-based volatility estimation. (2024). Li, Qiyuan ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

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2024Does M&A activity spin the cycle of energy prices?. (2024). Kizys, Renatas ; Enilov, Martin ; Wang, Jianuo. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004894.

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2024The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference. (2024). Sen, Ding ; Uddin, Gazi Salah ; Sheng, Lin Wen ; Hao, Zhu Shi. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004805.

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2024Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting. (2024). Liao, Yin ; Bouri, Elie ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947.

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2024Implied volatility is (almost) past-dependent: Linear vs non-linear models. (2024). Wang, Yinuo ; Cao, YI ; Zhai, Jia ; Wen, Conghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003387.

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2024Do investors in dirty and clean cryptocurrencies care about energy efficiency in the same way?. (2024). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Kliber, Agata. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008821.

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2024Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2024How local is the local inflation factor? Evidence from emerging European countries. (2024). Clements, Michael ; Cepni, Oguzhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:160-183.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data. (2024). Fang, Kuangnan ; Jin, Wei ; Zheng, Tingguo. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:746-761.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Geopolitical risks and crude oil futures volatility: Evidence from machine learning. (2024). Niu, Zibo ; Wang, Wentao ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:98:y:2024:i:c:s0301420724007414.

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2024A research program on monetary policy for Europe. (2024). Rey, Helene ; Gürkaynak, Refet ; Gorodnichenko, Yuriy ; Bussiere, Matthieu ; Altavilla, Carlo ; Gurkaynak, Refet S ; Gali, Jordi. In: Journal of Monetary Economics. RePEc:eee:moneco:v:147:y:2024:i:s:s0304393224001260.

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2024A hybrid forecasting framework based on MCS and machine learning for higher dimensional and unbalanced systems. (2024). Li, Jiang-Cheng ; Xie, Zu-Guang ; Wang, Li-Ya ; Zhong, Guang-Yan ; Yang, Guo-Hui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124001201.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Ma, Feng ; Liu, Jing ; Xu, Yanyan ; Chu, Jielei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:543-560.

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2024Coskewness and the short-term predictability for Bitcoin return. (2024). Zhang, Feipeng ; Liu, Yakun ; Chen, Yan. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:200:y:2024:i:c:s0040162523008818.

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2024Role of green finance instruments in shaping economic cycles. (2024). Mahmood, Faisal ; ben Zaied, Younes ; Abedin, Mohammad Zoynul. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:209:y:2024:i:c:s0040162524005900.

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2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Laurent, Sebastien ; Boudt, Kris ; Bouamara, Nabil. In: Working Papers. RePEc:fip:fedlwp:97969.

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2024Forecasting Realized Covariances Using HAR-Type Models. (2024). Quiroz, Matias ; Manner, Hans ; Tafakori, Laleh. In: Graz Economics Papers. RePEc:grz:wpaper:2024-20.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024.

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Works by Rogier Quaedvlieg:

Year  ↓Title  ↓Type  ↓Cited  ↓
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		article
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper193
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: 193		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper60
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: 60		article
2024Macro and micro of external finance premium and monetary policy transmission In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2017Risk Measure Inference In: Post-Print.
[Citation analysis]		paper13
2015Risk Measure Inference.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		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]		article13
2021Multi-Horizon Forecast Comparison In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article25
2022Conditional evaluation of predictive models: The cspa command In: Stata Journal.
[Full Text][Citation analysis]		article0
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article20

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