Bollerslev, T., Medeiros, M., Patton, A. and Quaedvlieg, R. (2021). From Zero to Hero: Realized Partial (Co)Variances Journal of Econometrics, Forthcomin:.
Rogier Quaedvlieg
University
Erasmus University Rotterdam
E-mail
Research field
Finance
Interests
Applied Econometrics, Econometrics, Finance, Financial Econometrics, Risk Management
Website
Key publications
Quaedvlieg, R., Bollerslev, T. and Patton, A. (2020). Multivariate Leverage Effects and Realized Semicovariance GARCH Models Journal of Econometrics, 217(2):411--430.
Quaedvlieg, R., Bollerslev, T., Li, J. and Patton, A. (2020). Realized Semicovariances Econometrica, 88(4):1515--1551.
Quaedvlieg, R. (2019). Multi-Horizon Forecast Comparison Journal of Business and Economic Statistics, :.
Quaedvlieg, R., Bollerslev, T. and Patton, A. (2018). Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions Journal of Econometrics, 207(1):71--91.
Quaedvlieg, R., Boudt, K., Laurent, S., Lunde, A. and Sauri, O. (2017). Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity Journal of Econometrics, 196(2):347--367.
Quaedvlieg, R., Bollerslev, T. and Patton, A. (2016). Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting Journal of Econometrics, 192(1):1--18.
Quaedvlieg, R., Hurlin, C., Laurent, S. and Smeekes, S. (2015). Risk Measure Inference Journal of Business and Economic Statistics, 35(4):499--512.
List of publications
Bollerslev, T., Medeiros, M., Patton, A. and Quaedvlieg, R. (2021). From Zero to Hero: Realized Partial (Co)Variances Journal of Econometrics, Forthcomin:.
Quaedvlieg, R., Bollerslev, T. and Patton, A. (2020). Multivariate Leverage Effects and Realized Semicovariance GARCH Models Journal of Econometrics, 217(2):411--430.
Quaedvlieg, R. and Schotman, P. (2020). Hedging Long-Term Liabilities Journal of Financial Econometrics, :.
Quaedvlieg, R., Bollerslev, T., Li, J. and Patton, A. (2020). Realized Semicovariances Econometrica, 88(4):1515--1551.
Quaedvlieg, R. (2019). Multi-Horizon Forecast Comparison Journal of Business and Economic Statistics, :.
Quaedvlieg, R., Bollerslev, T. and Patton, A. (2018). Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions Journal of Econometrics, 207(1):71--91.
Quaedvlieg, R., Boudt, K., Laurent, S., Lunde, A. and Sauri, O. (2017). Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity Journal of Econometrics, 196(2):347--367.
Quaedvlieg, R., Bollerslev, T. and Patton, A. (2016). Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting Journal of Econometrics, 192(1):1--18.
Quaedvlieg, R., Hurlin, C., Laurent, S. and Smeekes, S. (2015). Risk Measure Inference Journal of Business and Economic Statistics, 35(4):499--512.