Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting T Bollerslev, AJ Patton, R Quaedvlieg Journal of Econometrics 192 (1), 1-18, 2016 | 452 | 2016 |
Modeling and Forecasting (Un) Reliable Realized Covariances for More Reliable Financial Decisions T Bollerslev, AJ Patton, R Quaedvlieg Journal of Econometrics 207 (1), 71-91, 2018 | 120 | 2018 |
Multi-Horizon Forecast Comparison R Quaedvlieg Journal of Business & Economic Statistics 39 (1), 40-53, 2021 | 85 | 2021 |
Realized Semicovariances T Bollerslev, J Li, AJ Patton, R Quaedvlieg Econometrica 88 (4), 1515-1551, 2020 | 71 | 2020 |
Realized Semibetas: Disentangling ''good'' and ''bad'' downside risks T Bollerslev, AJ Patton, R Quaedvlieg Journal of Financial Economics 144 (1), 227-246, 2022 | 54* | 2022 |
Conditional Superior Predictive Ability J Li, Z Liao, R Quaedvlieg Review of Economic Studies 89 (2), 843-875, 2022 | 48 | 2022 |
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity K Boudt, S Laurent, A Lunde, R Quaedvlieg, O Sauri Journal of Econometrics 196 (2), 347-367, 2017 | 45 | 2017 |
Multivariate Leverage Effects and Realized Semicovariance GARCH Models T Bollerslev, AJ Patton, R Quaedvlieg Journal of Econometrics 217 (2), 411-430, 2020 | 40 | 2020 |
Risk Measure Inference C Hurlin, S Laurent, R Quaedvlieg, S Smeekes Journal of Business & Economic Statistics 35 (4), 499-512, 2017 | 27* | 2017 |
From Zero to Hero: Realized Partial (Co) Variances T Bollerslev, MC Medeiros, AJ Patton, R Quaedvlieg Journal of Econometrics, 2021 | 18 | 2021 |
Hedging Long-Term Liabilities R Quaedvlieg, PC Schotman Journal of Financial Econometrics, 2020 | 11* | 2020 |
Granular Betas and Risk Premium Functions T Bollerslev, AJ Patton, R Quaedvlieg Working Paper, 2022 | 2 | 2022 |
Macro and Micro of External Finance Premium and Monetary Policy Transmission C Altavilla, R Gürkaynak, R Quaedvlieg Journal of Monetary Economics, 2024 | | 2024 |
Conditional Evaluation of Predictive Models: The cspa Command J Li, Z Liao, R Quaedvlieg, W Zhou | | 2022 |