Dr. R. (Rogier) Quaedvlieg

Article (11)

• Academic (11)

  • Li, J., Liao, Z., Quaedvlieg, R., & Li, J. (2022). Conditional Superior Predictive Ability. Review of Economic Studies, 89(2), 843-875. https://doi.org/10.1093/restud/rdab039

  • Quaedvlieg, R., & Schotman, P. (2022). Hedging Long-Term Liabilities. Journal of Financial Econometrics, 20(3), 505-538. https://doi.org/10.1093/jjfinec/nbaa027, https://doi.org/10.1093/jjfinec/nbaa027

  • Bollerslev, T., Medeiros, MC., Patton, AJ., & Quaedvlieg, R. (2021). From Zero to Hero: Realized Partial (Co)Variances. Journal of Econometrics, Forthcomin. https://doi.org/10.1016/j.jeconom.2021.04.013

  • Bollerslev, T., Patton, A. J., & Quaedvlieg, R. (2021). Realized semibetas: Disentangling “good” and “bad” downside risks. Journal of Financial Economics, 144(1), 227-246. https://doi.org/10.1016/j.jfineco.2021.05.056

  • Quaedvlieg, R., Bollerslev, T., & Patton, AJ. (2020). Multivariate Leverage Effects and Realized Semicovariance GARCH Models. Journal of Econometrics, 217(2), 411-430. https://doi.org/10.1016/j.jeconom.2019.12.011

  • Quaedvlieg, R., Bollerslev, T., Li, J., & Patton, AJ. (2020). Realized Semicovariances. Econometrica, 88(4), 1515-1551. https://doi.org/10.3982/ECTA17056

  • Quaedvlieg, R. (2019). Multi-Horizon Forecast Comparison. Journal of Business and Economic Statistics. https://doi.org/10.1080/07350015.2019.1620074

  • Quaedvlieg, R., Bollerslev, T., & Patton, AJ. (2018). Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Journal of Econometrics, 207(1), 71-91. https://doi.org/10.1016/j.jeconom.2018.05.004

  • Quaedvlieg, R., Boudt, K., Laurent, S., Lunde, A., & Sauri, O. (2017). Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. Journal of Econometrics, 196(2), 347-367. https://doi.org/10.1016/j.jeconom.2016.09.016

  • Quaedvlieg, R., Bollerslev, T., & Patton, AJ. (2016). Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. Journal of Econometrics, 192(1), 1-18. https://doi.org/10.1016/j.jeconom.2015.10.007

  • Quaedvlieg, R., Hurlin, C., Laurent, S., & Smeekes, S. (2015). Risk Measure Inference. Journal of Business and Economic Statistics, 35(4), 499-512. https://doi.org/10.1080/07350015.2015.1127815