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Rogier Quaedvlieg

Personal Details

First Name:Rogier
Middle Name:
Last Name:Quaedvlieg
Suffix:
RePEc Short-ID:pqu119
[This author has chosen not to make the email address public]
https://sites.google.com/site/rogierquaedvlieg/

Affiliation

European Central Bank

Frankfurt am Main, Germany
http://www.ecb.europa.eu/
RePEc:edi:emieude (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Altavilla, Carlo & Gürkaynak, Refet S. & Quaedvlieg, Rogier, 2024. "Macro and micro of external finance premium and monetary policy transmission," Working Paper Series 2934, European Central Bank.
  2. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Post-Print hal-01457393, HAL.
  3. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
  4. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015. "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers 2015-14, Department of Economics and Business Economics, Aarhus University.
  5. Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, vol. 231(2), pages 348-360.
  2. Jia Li & Zhipeng Liao & Rogier Quaedvlieg & Wenyu Zhou, 2022. "Conditional evaluation of predictive models: The cspa command," Stata Journal, StataCorp LP, vol. 22(4), pages 924-940, December.
  3. Jia Li & Zhipeng Liao & Rogier Quaedvlieg, 2022. "Conditional Superior Predictive Ability," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(2), pages 843-875.
  4. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, vol. 144(1), pages 227-246.
  5. Rogier Quaedvlieg & Peter Schotman, 2022. "Hedging Long-Term Liabilities [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, vol. 20(3), pages 505-538.
  6. Rogier Quaedvlieg, 2021. "Multi-Horizon Forecast Comparison," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 40-53, January.
  7. Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020. "Realized Semicovariances," Econometrica, Econometric Society, vol. 88(4), pages 1515-1551, July.
  8. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
  9. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
  10. Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  11. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 499-512, October.
  12. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2013-11-09 2014-03-08 2015-04-02 2016-04-23
  2. NEP-FOR: Forecasting (3) 2014-03-08 2015-04-02 2016-04-23
  3. NEP-ORE: Operations Research (3) 2013-11-09 2015-04-02 2016-04-23
  4. NEP-RMG: Risk Management (3) 2013-11-09 2014-03-08 2016-04-23
  5. NEP-BAN: Banking (2) 2013-11-09 2024-05-20
  6. NEP-ETS: Econometric Time Series (2) 2015-04-02 2016-04-23
  7. NEP-CBA: Central Banking (1) 2024-05-20
  8. NEP-CFN: Corporate Finance (1) 2016-04-23
  9. NEP-EUR: Microeconomic European Issues (1) 2024-05-20
  10. NEP-FDG: Financial Development and Growth (1) 2024-05-20
  11. NEP-MON: Monetary Economics (1) 2024-05-20
  12. NEP-MST: Market Microstructure (1) 2014-03-08
  13. NEP-OPM: Open Economy Macroeconomics (1) 2024-05-20
  14. NEP-UPT: Utility Models and Prospect Theory (1) 2013-11-09

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