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

412

SSRN CITATIONS

1

CROSSREF CITATIONS

7

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 137 (303,682)
Citation 2

Abstract:

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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 110 (356,073)
Citation 3

Abstract:

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

3.

Realizing Correlations Across Asset Classes

Number of pages: 58 Posted: 02 Jan 2019 Last Revised: 14 Feb 2022
School of Economics and Business Economics, Aarhus University, CREATESAarhus University - School of Business and Social Sciences, CREATESBank of America - Bank of America Merrill Lynch and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 93 (397,516)

Abstract:

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commodities, futures markets, portfolio selection, Realized Beta GARCH

4.

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 72 (461,792)
Citation 3

Abstract:

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