Rogier Quaedvlieg

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

11

DOWNLOADS

3,574

TOTAL CITATIONS

62

Scholarly Papers (11)

1.

Granular Betas and Risk Premium Functions

Number of pages: 52 Posted: 29 Oct 2022 Last Revised: 29 May 2024
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 698 (77,469)

Abstract:

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Cross section of expected returns, factor models, downside risk, granular betas, risk premium functions G11, G12, C58

2.

Realized Semibetas: Signs of Things to Come

Economic Research Initiatives at Duke (ERID) Working Paper Forthcoming
Number of pages: 70 Posted: 16 Mar 2020
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 606 (92,541)
Citation 2

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

3.

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 European Central Bank (ECB)
Downloads 460 (129,879)
Citation 16

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

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 European Central Bank (ECB)
Downloads 352 (176,299)
Citation 12

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

5.

Hedging Long-Term Liabilities

Number of pages: 49 Posted: 27 Feb 2016 Last Revised: 27 Oct 2019
Rogier Quaedvlieg and Peter C. Schotman
European Central Bank (ECB) and Maastricht University - Department of Finance
Downloads 304 (206,373)
Citation 3

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Factor Models, Risk Management, Term Structure

6.

Conditional Superior Predictive Ability

Number of pages: 71 Posted: 06 Mar 2020
Jia Li, Zhipeng Liao and Rogier Quaedvlieg
Duke University, University of California, Los Angeles (UCLA) - Department of Economics and European Central Bank (ECB)
Downloads 255 (247,180)
Citation 2

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

7.

Risk Measure Inference

Number of pages: 37 Posted: 26 Oct 2013 Last Revised: 16 Mar 2015
University of Orleans, AMSE, European Central Bank (ECB) and Maastricht University - Department of Quantitative Economics
Downloads 218 (287,965)
Citation 5

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Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

8.

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 European Central Bank (ECB)
Downloads 194 (321,121)
Citation 6

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

9.

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, CREATESAarhus University - School of Business and Social Sciences, European Central Bank (ECB) and Aalborg University - Department of Mathematical Sciences
Downloads 192 (324,111)
Citation 7

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Cholesky decomposition, Integrated covariance, Positive semidefinite

10.

Multi-Horizon Forecast Comparison

Number of pages: 42 Posted: 03 Jun 2017 Last Revised: 24 Apr 2018
Rogier Quaedvlieg
European Central Bank (ECB)
Downloads 176 (350,689)
Citation 9

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

11.

Macro and Micro of External Finance Premium and Monetary Policy Transmission

ECB Working Paper No. 2024/2934
Number of pages: 50 Posted: 30 Apr 2024
Carlo Altavilla, Refet S. Gürkaynak and Rogier Quaedvlieg
European Central Bank (ECB), Bilkent University and European Central Bank (ECB)
Downloads 119 (482,369)

Abstract:

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euro area, external finance premium, financial accelerator, loan pricing