Rogier Quaedvlieg

Erasmus University Rotterdam (EUR) - Department of Business Economics

Netherlands

SCHOLARLY PAPERS

10

DOWNLOADS

1,950

SSRN CITATIONS

32

CROSSREF CITATIONS

13

Scholarly Papers (10)

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 391 (92,043)
Citation 16

Abstract:

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

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 Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 354 (103,168)
Citation 1

Abstract:

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

3.

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 241 (154,416)
Citation 8

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

4.

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 219 (169,240)
Citation 3

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Factor Models, Risk Management, Term Structure

5.

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 183 (199,565)
Citation 5

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Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

6.

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 Business and Social Sciences, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aalborg University - Department of Mathematical Sciences
Downloads 149 (237,418)
Citation 3

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Cholesky decomposition, Integrated covariance, Positive semidefinite

7.

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 143 (245,643)
Citation 9

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

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 Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 122 (277,421)
Citation 6

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

9.

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 Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 91 (338,088)
Citation 2

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

10.

Pre-Shrinkage: Improved Volatility Forecasting Using Biased Time-Series

Number of pages: 27 Posted: 01 Dec 2020
Rogier Quaedvlieg
Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 57 (437,244)

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Realized Volatility, Forecasting, Measurement Error, Shrinkage