Details about Rogier Quaedvlieg

Access statistics for papers by Rogier Quaedvlieg.

Last updated 2024-10-11. Update your information in the RePEc Author Service.

Short-id: pqu119

Working Papers

2024

1. Macro and micro of external finance premium and monetary policy transmission
   Working Paper Series, European Central Bank View citations (1)

2017

2. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
   Post-Print, HAL View citations (20)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (3)
   See also Journal Article Positive semidefinite integrated covariance estimation, factorizations and asynchronicity, Journal of Econometrics, Elsevier (2017) View citations (21) (2017)
3. Risk Measure Inference
   Post-Print, HAL View citations (7)
   Also in Working Papers, HAL (2015) View citations (6)
   See also Journal Article Risk Measure Inference, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (9) (2017)

2016

4. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
   See also Journal Article Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, Journal of Econometrics, Elsevier (2018) View citations (52) (2018)

2015

5. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   See also Journal Article Exploiting the errors: A simple approach for improved volatility forecasting, Journal of Econometrics, Elsevier (2016) View citations (193) (2016)

Journal Articles

2022

1. Conditional Superior Predictive Ability
   The Review of Economic Studies, 2022, 89, (2), 843-875 View citations (13)
2. Conditional evaluation of predictive models: The cspa command
   Stata Journal, 2022, 22, (4), 924-940
3. From zero to hero: Realized partial (co)variances
   Journal of Econometrics, 2022, 231, (2), 348-360 View citations (1)
4. Hedging Long-Term Liabilities*
   (Pricing the Term Structure with Linear Regressions)
   Journal of Financial Econometrics, 2022, 20, (3), 505-538
5. Realized semibetas: Disentangling “good” and “bad” downside risks
   Journal of Financial Economics, 2022, 144, (1), 227-246 View citations (1)

2021

6. Multi-Horizon Forecast Comparison
   Journal of Business & Economic Statistics, 2021, 39, (1), 40-53 View citations (19)

2020

7. Multivariate leverage effects and realized semicovariance GARCH models
   Journal of Econometrics, 2020, 217, (2), 411-430 View citations (18)
8. Realized Semicovariances
   Econometrica, 2020, 88, (4), 1515-1551 View citations (22)

2018

9. Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
   Journal of Econometrics, 2018, 207, (1), 71-91 View citations (52)
   See also Working Paper Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, CREATES Research Papers (2016) View citations (7) (2016)

2017

10. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
    Journal of Econometrics, 2017, 196, (2), 347-367 View citations (21)
    See also Working Paper Positive semidefinite integrated covariance estimation, factorizations and asynchronicity, Post-Print (2017) View citations (20) (2017)
11. Risk Measure Inference
    Journal of Business & Economic Statistics, 2017, 35, (4), 499-512 View citations (9)
    See also Working Paper Risk Measure Inference, Post-Print (2017) View citations (7) (2017)

2016

12. Exploiting the errors: A simple approach for improved volatility forecasting
    Journal of Econometrics, 2016, 192, (1), 1-18 View citations (193)
    See also Working Paper Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, CREATES Research Papers (2015) View citations (2) (2015)