Harry Vander Elst

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management

19 Av Franklin Roosevelt

1050

Brussels

Belgium

SCHOLARLY PAPERS

4

DOWNLOADS

306

CITATIONS

5

Scholarly Papers (4)

1.

Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances

Number of pages: 35 Posted: 02 Sep 2014 Last Revised: 19 Jun 2015
Harry Vander Elst and David Veredas
Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management and Vlerick Business School
Downloads 119 (231,386)
Citation 2

Abstract:

Loading...

Realized measures, noise, jumps, synchronization

2.

FIR-GARCH: Realizing Long Memory and Asymmetries in Returns Volatility

Number of pages: 43 Posted: 02 Feb 2015 Last Revised: 10 Oct 2015
Harry Vander Elst
Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 98 (265,123)
Citation 2

Abstract:

Loading...

Realized GARCH models, high-frequency data, long memory, realized measures.

3.

Macro-Driven VAR Forecasts: From Very High to Very Low-Frequency Data

Number of pages: 25 Posted: 10 Dec 2015
Yves Dominicy and Harry Vander Elst
Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 55 (367,025)
Citation 1

Abstract:

Loading...

Realized LGARCH, Value-at-Risk, density forecasts, realized measures of volatility

4.

Realizing Correlations Across Asset Classes

Number of pages: 48 Posted: 02 Jan 2019
Niels Groenborg, Asger Lunde, Kasper Olesen and Harry Vander Elst
School of Economics and Business Economics, Aarhus University, Aarhus University - School of Economics and Management, CREATES and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 34 (442,978)

Abstract:

Loading...

commodities, futures markets, portfolio selection, Realized Beta GARCH