David Ardia : Citation Profile


Are you David Ardia?

HEC Montréal (École des Hautes Études Commerciales)

9

H index

9

i10 index

205

Citations

RESEARCH PRODUCTION:

19

Articles

29

Papers

1

Books

RESEARCH ACTIVITY:

   17 years (2002 - 2019). See details.
   Cites by year: 12
   Journals where David Ardia has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 24 (10.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/par194
   Updated: 2020-09-22    RAS profile: 2019-08-09    
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Relations with other researchers


Works with:

Boudt, Kris (10)

Bluteau, Keven (3)

Catania, Leopoldo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with David Ardia.

Is cited by:

van Dijk, Herman (19)

Baştürk, Nalan (13)

Grassi, Stefano (9)

Bauwens, Luc (9)

Dufays, Arnaud (8)

Chan, Joshua (6)

Ravazzolo, Francesco (5)

Rodríguez, Gabriel (4)

Deschamps, Philippe (4)

Eisenstat, Eric (4)

Ataurima Arellano, Miguel (4)

Cites to:

van Dijk, Herman (48)

Geweke, John (20)

Bollerslev, Tim (19)

Bauwens, Luc (17)

Jagannathan, Ravi (17)

Geweke, John (15)

Engle, Robert (13)

Scaillet, Olivier (12)

Andrews, Donald (9)

Ledoit, Olivier (8)

Lucas, Andre (8)

Main data


Where David Ardia has published?


Journals with more than one article published# docs
Finance Research Letters3
Journal of Statistical Software2
Economics Letters2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany8
Tinbergen Institute Discussion Papers / Tinbergen Institute8
DQE Working Papers / Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland4
Papers / arXiv.org2

Recent works citing David Ardia (2020 and 2019)


YearTitle of citing document
2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2020A multi-factor polynomial framework for long-term electricity forwards with delivery period. (2019). Regez, Markus ; Larsson, Martin ; Komaric, Vlatka ; Kleisinger-Yu, XI. In: Papers. RePEc:arx:papers:1908.08954.

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2019A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio. (2020). Abe, Masaya ; Noma, Shuhei ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2004.13347.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2019Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model. (2019). Jin, Chenglu ; Zhou, Tianqing ; Lv, Zhihong ; Chen, Rongda ; Lin, Saiyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300737.

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2020Endogenous network efficiency, macroeconomy, and competition: Evidence from the Portuguese banking industry. (2020). Chen, Zhongfei ; Antunes, Jorge ; Wanke, Peter ; Alves, Andre Bernardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818300366.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2019How Does Climate Change Influence the Economic Value of Ecosystem Services in Savanna Rangelands?. (2019). Twine, Wayne C ; Martens, Carola ; Pfeiffer, Mirjam ; Schulte, Judith ; Scheiter, Simon. In: Ecological Economics. RePEc:eee:ecolec:v:157:y:2019:i:c:p:342-356.

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2019Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25.

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2019Importance sampling from posterior distributions using copula-like approximations. (2019). Tsionas, Mike ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:45-57.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2020Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304232.

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2019Evaluating the Shariah-compliance of equity portfolios: The weighting method matters. (2019). Raza, Muhammad Wajid ; Boudt, Kris ; Wauters, Marjan. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:406-417.

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2019A characterization of CAT bond performance indices. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:431-437.

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2020Non-linearities, cyber attacks and cryptocurrencies. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319309377.

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2020Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29.

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2019Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting. (2019). Walther, Thomas ; Bouri, Elie ; Klein, Tony. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302446.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2020The M4 Competition: 100,000 time series and 61 forecasting methods. (2020). Assimakopoulos, Vassilios ; Spiliotis, Evangelos ; Makridakis, Spyros. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:1:p:54-74.

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2019Modeling volatility of precious metals markets by using regime-switching GARCH models. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Mubashra, Sana ; Naeem, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303022.

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2020Risks in emerging markets equities: Time-varying versus spatial risk analysis. (2020). Owusu Junior, Peterson ; Alagidede, Imhotep. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319405.

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2020Public transport provision under agglomeration economies. (2020). De Borger, Bruno ; Graham, Daniel J ; Seifu, Woubit ; Horcher, Daniel. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219302236.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

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2019Advanced continuous-discrete model for joint time-use expenditure and mode choice estimation. (2019). Leisch, Friedrich ; Axhausen, Kay W ; Schmid, Basil ; Peer, Stefanie ; Jara-Diaz, Sergio ; Gerike, Regine ; Aschauer, Florian ; Hossinger, Reinhard ; Jokubauskait, Simona. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:129:y:2019:i:c:p:397-421.

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2020Efficiency of the rail sections in Brazilian railway system, using TOPSIS and a genetic algorithm to analyse optimized scenarios. (2020). Wanke, Peter ; Marchetti, Dalmo. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:135:y:2020:i:c:s136655451930403x.

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2019An automated prior robustness analysis in Bayesian model comparison. (2019). Chan, Joshua ; Zhu, Dan ; Jacobi, Liana. In: CAMA Working Papers. RePEc:een:camaaa:2019-45.

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2019A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading. (2019). Alvarez-Garcia, Jose ; Galeana-Figueroa, Evaristo ; de la Torre-Torres, Oscar V. In: Energies. RePEc:gam:jeners:v:13:y:2019:i:1:p:129-:d:302172.

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2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2019Threshold Mean Reversion and Regime Changes of Cryptocurrencies using SETAR-MSGARCH Models. (2019). Scalera, Francesco ; ben Haj, Hayet. In: International Journal of Academic Research in Accounting, Finance and Management Sciences. RePEc:hur:ijaraf:v:9:y:2019:i:3:p:221-229.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2019Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels. (2019). Richard, Jean-Francois ; Khorunzhina, Natalia. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9777-2.

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2020Markov Regime-Switching in-Mean Model with Tempered Stable Distribution. (2020). Feng, Lingbing ; Shi, Yanlin ; Fu, Tong. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:4:d:10.1007_s10614-019-09882-2.

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2020A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization. (2020). Mwambi, Sutene ; Mba, Jules Clement. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00346-4.

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2020A robust framework for risk parity portfolios. (2020). Kwon, Roy ; Costa, Giorgio. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:5:d:10.1057_s41260-020-00179-w.

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2019Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process.. (2019). Ibrahim, Omar. In: MPRA Paper. RePEc:pra:mprapa:98091.

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2020Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202003.

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2019Multi-period portfolio selection with drawdown control. (2019). Lindstrom, Erik ; Boyd, Stephen ; Nystrup, Peter ; Madsen, Henrik. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2947-3.

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2019Location–Scale Models in Demography: A Useful Re-parameterization of Mortality Models. (2019). Lenart, Adam ; Canudas-Romo, Vladimir ; Basellini, Ugofilippo . In: European Journal of Population. RePEc:spr:eurpop:v:35:y:2019:i:4:d:10.1007_s10680-018-9497-x.

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2019A method for calculating the implied no-recovery three-state transition matrix using observable population mortality incidence and disability prevalence rates among the elderly. (2019). Browne, Bridget ; Pitt, David ; Khemka, Gaurav ; Lim, William. In: Journal of Population Research. RePEc:spr:joprea:v:36:y:2019:i:3:d:10.1007_s12546-019-09226-9.

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2020Markov switching asymmetric GARCH model: stability and forecasting. (2020). Rezakhah, S ; Alemohammad, N ; Alizadeh, S H. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:3:d:10.1007_s00362-018-0992-2.

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2020Uncertainty in Firm Valuation and a Cross-Sectional Misvaluation Measure. (2020). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2020/15.

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2020Stock Recommendations from Stochastic Discounted Cash Flows. (2020). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2020/17.

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Works by David Ardia:


YearTitleTypeCited
2016Generalized Autoregressive Score Models in R: The GAS Package In: Papers.
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paper2
2016Value-at-Risk Prediction in R with the GAS Package In: Papers.
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paper1
2018Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation In: Journal of Time Series Econometrics.
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article0
2016Smart beta and CPPI performance In: Finance.
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article0
2009Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations In: Econometrics Journal.
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article21
2008Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations.(2008) In: DQE Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 21
paper
2012A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood In: Computational Statistics & Data Analysis.
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article31
2010A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood.(2010) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 31
paper
2016The economic benefits of market timing the style allocation of characteristic-based portfolios In: The North American Journal of Economics and Finance.
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article2
2012Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? In: Economics Letters.
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article1
2014GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts In: Economics Letters.
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article10
2013GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts.(2013) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 10
paper
2015Testing equality of modified Sharpe ratios In: Finance Research Letters.
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article1
2016Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models In: Finance Research Letters.
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article2
2019Regime changes in Bitcoin GARCH volatility dynamics In: Finance Research Letters.
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article11
2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting.
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article14
2018The peer performance ratios of hedge funds In: Journal of Banking & Finance.
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article3
2007Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers In: DQE Working Papers.
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paper0
2009Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit In: DQE Working Papers.
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paper12
2009Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit.(2009) In: Journal of Statistical Software.
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This paper has another version. Agregated cites: 12
article
2008Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 12
paper
2009AdMit: Adaptive Mixtures of Student-t Distributions In: DQE Working Papers.
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paper10
2016Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices In: Econometrics.
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article1
2011DEoptim: An R Package for Global Optimization by Differential Evolution In: Journal of Statistical Software.
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article39
2010DEoptim: An R Package for Global Optimization by Differential Evolution.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 39
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2013Fully Flexible Views in Multivariate Normal Markets In: Cahiers de recherche.
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2013Worldwide equity Risk Prediction In: Cahiers de recherche.
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2013Worldwide equity risk prediction.(2013) In: Applied Economics Letters.
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This paper has another version. Agregated cites: 0
article
2013Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 In: Cahiers de recherche.
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paper2
2013Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy In: Cahiers de recherche.
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paper0
2013The Peer Performance of Hedge Funds In: Cahiers de recherche.
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paper0
2014A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis In: Cahiers de recherche.
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paper0
2014A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
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2009Generalized Marginal Risk In: MPRA Paper.
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paper0
2009Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R In: MPRA Paper.
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paper3
2002Tests darbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence In: MPRA Paper.
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paper0
2010Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization In: MPRA Paper.
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paper3
2010Efficient Bayesian estimation and combination of GARCH-type models In: MPRA Paper.
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paper4
2010Efficient Bayesian Estimation and Combination of GARCH-Type Models.(2010) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 4
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2010Jump-Diffusion Calibration using Differential Evolution In: MPRA Paper.
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paper4
2011Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? In: MPRA Paper.
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paper0
2011Stock Index Returns Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
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2017The impact of covariance misspecification in risk-based portfolios In: Annals of Operations Research.
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article9
2008Financial Risk Management with Bayesian Estimation of GARCH Models In: Lecture Notes in Economics and Mathematical Systems.
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book10
2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation In: Quantitative Finance.
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article0
2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation.(2018) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 0
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2009To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods In: Tinbergen Institute Discussion Papers.
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paper3
2010Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations In: Tinbergen Institute Discussion Papers.
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paper6
2017The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models In: Journal of Forecasting.
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article0

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