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Details about Harry Vander Elst

E-mail:
Workplace:European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management, Université Libre de Bruxelles (Free University of Brussels), (more information at EDIRC)

Access statistics for papers by Harry Vander Elst.

Last updated 2016-01-14. Update your information in the RePEc Author Service.

Short-id: pva679

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Working Papers

2018

  1. Realizing Correlations Across Asset Classes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2015

  1. FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
    Also in Working Paper Research, National Bank of Belgium (2015) Downloads
  2. Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)

2014

  1. Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2014) Downloads View citations (2)

Journal Articles

2017

  1. Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances
    Journal of Financial Econometrics, 2017, 15, (1), 106-138 Downloads View citations (2)
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