R. Quaedvlieg

Finance · 2016–2019

A researcher in the Science corpus: 2 papers; trusts 29 researchers and is trusted by 3 researchers here, as inferred from the citation graph.

Subfields

• Finance — 45 citations into it; #8,227 of 10,518 by trust here, #6,671 by citations
• Economics and Econometrics — 41 citations into it; #17,784 of 23,481 by trust here, #14,996 by citations
• Management Science and Operations Research — 11 citations into it
• Statistics and Probability — 9 citations into it

Whom R. Quaedvlieg trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Andrew J. Patton
3. N. Shephard
4. P. R. Hansen
5. Ken West
6. Todd E. Clark
7. Torben G. Andersen
8. Halbert White
9. Tim Bollerslev
10. F. Bandi

Who trusts R. Quaedvlieg overall

1. Pengfei Wang
2. Dehua Shen
3. Andrew Urquhart

Papers from R. Quaedvlieg's perspective

Ordered by how strongly the researchers R. Quaedvlieg trusts endorse each paper. Same corpus, a different order for every researcher.

1. Separating Microstructure Noise from Volatility
2. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
3. Power and bipower variation with stochastic volatility and jumps
4. Realized Variance and Market Microstructure Noise
5. The stationary bootstrap
6. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
7. Microstructure Noise, Realized Variance, and Optimal Sampling
8. REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
9. Realized kernels in practice: trades and quotes
10. Generalized autoregressive conditional heteroskedasticity

Their papers

• Multi-Horizon Forecast Comparison (2019) — 66 citations
• Exploiting the errors: A simple approach for improved volatility forecasting (2016) — 407 citations