David Ardia : Citation Profile


Are you David Ardia?

HEC Montréal (École des Hautes Études Commerciales)

13

H index

19

i10 index

613

Citations

RESEARCH PRODUCTION:

28

Articles

39

Papers

1

Books

RESEARCH ACTIVITY:

   21 years (2002 - 2023). See details.
   Cites by year: 29
   Journals where David Ardia has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 35 (5.4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/par194
   Updated: 2024-01-16    RAS profile: 2023-12-06    
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Relations with other researchers


Works with:

Bluteau, Keven (15)

Boudt, Kris (7)

Inghelbrecht, Koen (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 (27)

Baştürk, Nalan (16)

Panagiotidis, Theodore (14)

Stengos, Thanasis (13)

Grassi, Stefano (12)

Papapanagiotou, Georgios (10)

Dufays, Arnaud (10)

Labondance, Fabien (10)

Hubert, Paul (10)

Bauwens, Luc (9)

Deschamps, Philippe (8)

Cites to:

van Dijk, Herman (69)

Geweke, John (27)

Bauwens, Luc (26)

Bollerslev, Tim (24)

Geweke, John (22)

Jagannathan, Ravi (22)

Boudt, Kris (19)

Andrews, Donald (18)

Engle, Robert (16)

Scaillet, Olivier (13)

Ledoit, Olivier (9)

Main data


Where David Ardia has published?


Journals with more than one article published# docs
Finance Research Letters5
Economics Letters3
Econometrics2
International Journal of Forecasting2
Journal of Statistical Software2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org9
Tinbergen Institute Discussion Papers / Tinbergen Institute8
MPRA Paper / University Library of Munich, Germany8
DQE Working Papers / Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland4

Recent works citing David Ardia (2024 and 2023)


YearTitle of citing document
2023Institutional Stock-Bond Portfolios Rebalancing and Financial Stability. (2023). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2322.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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2023Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting. (2023). Morajda, Janusz ; Kwiatkowski, Lukasz ; Micha, Jakub. In: Papers. RePEc:arx:papers:2310.01063.

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2023Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435.

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2024.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100.

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2023Physical and transition risk premiums in euro area corporate bond markets. (2023). Kapp, Daniel ; Bua, Giovanna ; Bats, Joost. In: Working Papers. RePEc:dnb:dnbwpp:761.

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2023Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press. (2023). de Winter, Jasper ; van Dijk, Dorinth. In: Working Papers. RePEc:dnb:dnbwpp:766.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023How does green preference impact sustainability-based investment strategy? Evidence from the Chinese stock market. (2023). Su, Wanxuan ; Du, Qianqian ; Wang, Luying ; Liang, Dawei. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001049.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Tropical mixed-species plantations can outperform monocultures in terms of carbon sequestration and economic return. (2023). Hanewinkel, Marc ; Nolte, Anja ; Yousefpour, Rasoul ; Pinnschmidt, Arne. In: Ecological Economics. RePEc:eee:ecolec:v:211:y:2023:i:c:s0921800923001489.

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2023Effect of climate-related risk on the costs of bank loans: Evidence from syndicated loan markets in emerging economies. (2023). Wong, Andrew ; Ho, Kelvin. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000942.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks. (2023). Nichols, Brian ; Jaffri, Ali ; Butt, Hassan Anjum ; Aharon, David Y. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001679.

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2023Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin. (2023). Hong, Yongmiao ; Wang, Shouyang ; Duan, Hongbo ; Sun, Yuying ; Zhang, Dingxuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002168.

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2023Real-time transition risk. (2023). Scherer, Bernd ; Betzer, Andre ; Apel, Matthias. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007760.

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2023The role of interpersonal trust in cryptocurrency adoption. (2023). Yarovaya, Larisa ; Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122001871.

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2023Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence. (2023). Verbeken, Brecht ; Boudt, Kris ; Borms, Samuel ; Algaba, Andres. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:266-278.

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2023The power of text-based indicators in forecasting Italian economic activity. (2023). Monteforte, Libero ; Marcucci, Juri ; Luciani, Andrea ; Guaitoli, Gabriele ; Emiliozzi, Simone ; Aprigliano, Valentina. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:791-808.

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2023News-based sentiment and the value premium. (2023). Nazemi, Abdolreza ; Fabozzi, Francesco A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000657.

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2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

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2023Effects of oil market sentiment on macroeconomic variables. (2023). da Nobrega, Cassio ; da Silva, Edilean Kleber ; de Medeiros, Rennan Kertlly. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003537.

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2023Impact of R&D and innovation in Chinese road transportation sustainability performance: A novel trigonometric envelopment analysis for ideal solutions (TEA-IS). (2023). Chiappetta, Charbel Jose ; Wanke, Peter ; Tan, Yong ; Antunes, Jorge. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:87:y:2023:i:pa:s0038012123000447.

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2023.

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2023Propositions pour construire un système informationnel guidant une politique régionale d’innovation. (2023). Raffestin, Louis ; Leroy, Aurelien ; Benchora, Inessa. In: Bordeaux Economics Working Papers. RePEc:grt:bdxewp:2023-08.

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2023Uncertainty in firm valuation and a cross-sectional misvaluation measure. (2023). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-022-00423-w.

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2023Sentiment-based indicators of real estate market stress and systemic risk: international evidence. (2023). Shchepeleva, Maria ; Stolbov, Mikhail. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00429-y.

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2023Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach. (2023). Moussa, Wajdi ; Bejaoui, Azza ; Mgadmi, Nidhal. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09384-6.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

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2023Motion direction is represented as a bimodal probability distribution in the human visual cortex. (2023). , Janneke ; Chetverikov, Andrey. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-43251-w.

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2023Text-Based Recession Probabilities. (2023). Mezo, Helena ; Lebastard, Laura ; Minesso, Massimo Ferrari. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00177-5.

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2023Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. (2023). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:117141.

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2023The Role of Inflation Targeting in Anchoring Long-Run Inflation Expectations: Evidence from India. (2023). Pratap, Bhanu ; Kishor, Kundan N. In: MPRA Paper. RePEc:pra:mprapa:118951.

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2023Macroeconomic Forecasting with the Use of News Data. (2023). Mikhaylov, Dmitry. In: Working Papers. RePEc:rnp:wpaper:w20220250.

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2023Ekonomia narracji – pocz?tki nowego nurtu. (2023). Baszczak, Ukasz. In: Gospodarka Narodowa. The Polish Journal of Economics. RePEc:sgh:gosnar:y:2023:i:1:p:66-81.

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2023Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z.

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2023The Forecasting Power of the ifo Business Survey. (2023). Lehmann, Robert. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:19:y:2023:i:1:d:10.1007_s41549-022-00079-5.

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2023Mixed frequency composite indicators for measuring public sentiment in the EU. (2023). Scepi, Germana ; Spano, Maria ; Misuraca, Michelangelo ; Mattera, Raffaele. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01468-9.

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2023Grey Markov Models for Predicting the Social Sustainability Performances of Firms. (2023). Rajesh, R. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:168:y:2023:i:1:d:10.1007_s11205-023-03132-7.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:tas:wpaper:47658.

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2023Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. (2023). Guo, Yangli ; Bouri, Elie ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:970-988.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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2023Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929.

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2023Shocks to transition risk. (2023). Zhang, Philipp ; Schuler, Yves ; Meinerding, Christoph. In: Discussion Papers. RePEc:zbw:bubdps:042023.

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2023A topic modeling perspective on investor uncertainty. (2023). Seifert, Oleg ; Schnaubelt, Matthias ; Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:042023.

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Works by David Ardia:


YearTitleTypeCited
2016Generalized Autoregressive Score Models in R: The GAS Package In: Papers.
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paper13
2016Value-at-Risk Prediction in R with the GAS Package In: Papers.
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paper3
2021A Century of Economic Policy Uncertainty Through the French-Canadian Lens In: Papers.
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paper0
2021A century of Economic Policy Uncertainty through the French–Canadian lens.(2021) In: Economics Letters.
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This paper has nother version. Agregated cites: 0
article
2021Media abnormal tone, earnings announcements, and the stock market In: Papers.
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paper1
2022Media abnormal tone, earnings announcements, and the stock market.(2022) In: Journal of Financial Markets.
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This paper has nother version. Agregated cites: 1
article
2022Thirty Years of Academic Finance In: Papers.
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paper0
2023How easy is it for investment managers to deploy their talent in green and brown stocks? In: Papers.
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paper0
2022How easy is it for investment managers to deploy their talent in green and brown stocks?.(2022) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 0
article
2023Factor Exposure Heterogeneity in Green and Brown Stocks In: Papers.
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paper0
2023Factor exposure heterogeneity in green and brown stocks.(2023) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 0
article
2023The Role of Twitter in Cryptocurrency Pump-and-Dumps In: Papers.
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paper0
2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior In: Papers.
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paper0
2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS In: Journal of Economic Surveys.
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article30
2018Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation In: Journal of Time Series Econometrics.
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article1
2016Smart beta and CPPI performance In: Finance.
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article1
2023Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series.
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paper0
2009Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations In: Econometrics Journal.
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article31
2012A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood In: Computational Statistics & Data Analysis.
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article36
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 nother version. Agregated cites: 36
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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article4
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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article19
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 nother version. Agregated cites: 19
paper
2022Properties of the Margrabe Best-of-two strategy to tactical asset allocation In: International Review of Financial Analysis.
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article0
2015Testing equality of modified Sharpe ratios In: Finance Research Letters.
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article12
2016Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models In: Finance Research Letters.
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article11
2019Regime changes in Bitcoin GARCH volatility dynamics In: Finance Research Letters.
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article112
2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting.
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article38
2019Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values In: International Journal of Forecasting.
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article43
2018The peer performance ratios of hedge funds In: Journal of Banking & Finance.
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article10
2008Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations In: DQE Working Papers.
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paper2
2007Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers In: DQE Working Papers.
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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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paper13
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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article4
2020Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4 , 14 In: Econometrics.
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article0
2009Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit In: Journal of Statistical Software.
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article10
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 nother version. Agregated cites: 10
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2011DEoptim: An R Package for Global Optimization by Differential Evolution In: Journal of Statistical Software.
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article72
2010DEoptim: An R Package for Global Optimization by Differential Evolution.(2010) In: MPRA Paper.
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paper
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 nother version. Agregated cites: 1
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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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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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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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2020Climate change concerns and the performance of green versus brown stocks In: Working Paper Research.
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2021Climate change concerns and the performance of green versus brown stocks.(2021) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2011Generalized marginal risk In: Journal of Asset Management.
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2009Generalized Marginal Risk.(2009) In: MPRA Paper.
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2009Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R In: MPRA Paper.
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paper22
2002Tests darbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence In: MPRA Paper.
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2010Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization In: MPRA Paper.
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2010Efficient Bayesian estimation and combination of GARCH-type models In: MPRA Paper.
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2010Efficient Bayesian Estimation and Combination of GARCH-Type Models.(2010) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 6
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2010Jump-Diffusion Calibration using Differential Evolution In: MPRA Paper.
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paper3
2011Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? In: MPRA Paper.
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2011Stock Index Returns Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?.(2011) In: Tinbergen Institute Discussion Papers.
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2017The impact of covariance misspecification in risk-based portfolios In: Annals of Operations Research.
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article19
2008Financial Risk Management with Bayesian Estimation of GARCH Models In: Lecture Notes in Economics and Mathematical Systems.
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book39
2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation In: Quantitative Finance.
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article3
2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation.(2018) In: ULB Institutional Repository.
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This paper has nother version. Agregated cites: 3
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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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paper7
2010Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations In: Tinbergen Institute Discussion Papers.
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paper8
2017The impact of parameter and model uncertainty on market risk predictions from GARCH?type models In: Journal of Forecasting.
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article5

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