Rogier Quaedvlieg
Biographic Data
| ID | 8762252 |
|---|---|
| NAME | Rogier Quaedvlieg |
| GIVEN NAMES | Rogier |
| FAMILY NAME | Quaedvlieg |
| SIGNATURE | QUAEDVLIEG R |
| AFFILIATIONS | Department of Business Economics, Erasmus School of Economics |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2014 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
Multi-Horizon Forecast Comparison
We introduce tests for multi-horizon superior predictive ability (SPA). Rather than comparing forecasts of different models at multiple horizons individually, we propose to jointly consider all horizons of a forecast path. We define the concepts of uniform and average SPA. The former entails superior performance at each individual horizon, while the latter allows inferior performance at some horizons to be compensated by others. The article illus…
Risk Measure Inference
We propose a bootstrap-based test of the null hypothesis of equality of two firms’ conditional Risk Measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semi-parametric models. Our iterative testing procedure produces a grouped ranking of the RMs, which has direct application for systemic risk analysis. Firms within a group are statistically indistinguishable form…
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
No prominent works on this page.
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
Risk Measure Inference
We propose a bootstrap-based test of the null hypothesis of equality of two firms’ conditional Risk Measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semi-parametric models. Our iterative testing procedure produces a grouped ranking of the RMs, which has direct application for systemic risk analysis. Firms within a group are statistically indistinguishable form…
Multi-Horizon Forecast Comparison
We introduce tests for multi-horizon superior predictive ability (SPA). Rather than comparing forecasts of different models at multiple horizons individually, we propose to jointly consider all horizons of a forecast path. We define the concepts of uniform and average SPA. The former entails superior performance at each individual horizon, while the latter allows inferior performance at some horizons to be compensated by others. The article illus…
Econometrics (3 works) · Mathematics (3 works) · Computer Science (2 works) · Economics (2 works) · Financial Risk and Volatility Modeling (2 works) · Market Dynamics and Volatility (2 works) · Monetary Policy and Economic Impact (2 works) · Monte Carlo method (2 works) · Statistics (2 works) · Applied Mathematics (1 work)