Rogier Quaedvlieg

Erasmus University Rotterdam (EUR) - Department of Business Economics

Netherlands

SCHOLARLY PAPERS

9

DOWNLOADS

1,245

SSRN CITATIONS

6

CROSSREF CITATIONS

10

Scholarly Papers (9)

1.

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

Number of pages: 38 Posted: 06 Apr 2016
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 357 (86,381)
Citation 5

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Common risks, realized covariances, forecasting, asset allocation, portfolio construction

2.

Risk Measure Inference

Number of pages: 37 Posted: 26 Oct 2013 Last Revised: 16 Mar 2015
University of Orleans, AMSE, Erasmus University Rotterdam (EUR) - Department of Business Economics and Maastricht University - Department of Quantitative Economics
Downloads 181 (172,719)
Citation 5

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Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

3.

Hedging Long-Term Liabilities

Number of pages: 49 Posted: 27 Feb 2016 Last Revised: 27 Oct 2019
Rogier Quaedvlieg and Peter C. Schotman
Erasmus University Rotterdam (EUR) - Department of Business Economics and Maastricht University - Department of Finance
Downloads 171 (181,492)
Citation 3

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Factor Models, Risk Management, Term Structure

4.

Realized Semicovariances

Economic Research Initiatives at Duke (ERID) Working Paper No. 252
Number of pages: 50 Posted: 08 Sep 2017 Last Revised: 31 Jan 2020
Tim Bollerslev, Jia Li, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 170 (182,424)
Citation 3

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High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting

5.

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Journal of Econometrics, 196, 347-367, 2016
Number of pages: 58 Posted: 24 Jan 2014 Last Revised: 21 Nov 2017
Ghent University, AMSE, Aarhus University - School of Economics and Management, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aarhus University - School of Business and Social Sciences
Downloads 143 (211,031)

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Cholesky decomposition, Integrated covariance, Positive semidefinite

6.

Multi-Horizon Forecast Comparison

Number of pages: 42 Posted: 03 Jun 2017 Last Revised: 24 Apr 2018
Rogier Quaedvlieg
Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 127 (231,747)
Citation 5

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Forecasting, Long-Horizon, Superior Predictive Ability, Multiple Testing

7.

Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Number of pages: 49 Posted: 17 Apr 2018
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 96 (282,465)
Citation 3

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High-Frequency Data, Realized Volatility, Realized Correlation, Semivariance, Asymmetric Dependence

8.

Realized Semibetas: Signs of Things to Come

Number of pages: 70
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 0

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Cross-sectional return variation; downside risk; semicovariances; semibetas

9.

Conditional Superior Predictive Ability

Number of pages: 71
Jia Li, Zhipeng Liao and Rogier Quaedvlieg
Duke University, University of California, Los Angeles (UCLA) - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 0

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conditional moment inequality, forecast evaluation, inflation, intersection bounds, machine learning, volatility