David Veredas : Citation Profile


Are you David Veredas?

Vlerick Business School

13

H index

16

i10 index

640

Citations

RESEARCH PRODUCTION:

14

Articles

57

Papers

RESEARCH ACTIVITY:

   17 years (1999 - 2016). See details.
   Cites by year: 37
   Journals where David Veredas has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 21 (3.18 %)

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   Permalink: http://citec.repec.org/pve30
   Updated: 2022-05-14    RAS profile: 2015-06-19    
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Relations with other researchers


Works with:

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

Is cited by:

Hautsch, Nikolaus (29)

Grammig, Joachim (18)

Fernandes, Marcelo (15)

Martin, Gael (14)

Pérez, Javier (13)

McCabe, Brendan (12)

Forbes, Catherine (12)

Hallin, Marc (10)

Bauwens, Luc (10)

Götz, Thomas (9)

Rombouts, Jeroen (9)

Cites to:

Engle, Robert (24)

Foucault, Thierry (19)

gourieroux, christian (18)

PASCUAL, ROBERTO (16)

Bollerslev, Tim (15)

Diebold, Francis (14)

Hallin, Marc (13)

Andersen, Torben (13)

Lippi, Marco (12)

Nijman, Theo (12)

Drost, Feike C. (12)

Main data


Where David Veredas has published?


Journals with more than one article published# docs
Empirical Economics3
Journal of Econometrics3

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles26
Working Papers ECARES / ULB -- Universite Libre de Bruxelles7
Working Papers / Banco de Espaa4

Recent works citing David Veredas (2021 and 2020)


YearTitle of citing document
2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2020Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2021Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993.

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2020TailCoR. (2020). Ley, Christophe ; Babi, Sladjana ; Veredas, David ; Ricci, Lorenzo. In: Papers. RePEc:arx:papers:2011.14817.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

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2021A marginal moment matching approach for fitting endemic?epidemic models to underreported disease surveillance counts. (2021). Held, Leonhard ; Bracher, Johannes. In: Biometrics. RePEc:bla:biomet:v:77:y:2021:i:4:p:1202-1214.

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2021Aggregation Bias in Estimating Log?Log Demand Function. (2021). Yuan, Hongsong ; Yang, Chaolin ; Wang, Zizhuo ; Zhang, Yaowu. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:11:p:3906-3922.

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2020Temporal aggregation of random walk processes and implications for economic analysis. (2020). Ivan, Paya ; Yamin, Ahmad. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:20:n:4.

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2020Cross-temporal aggregation: Improving the forecast accuracy of hierarchical electricity consumption. (2020). Assimakopoulos, Vassilios ; Kourentzes, Nikolaos ; Petropoulos, Fotios ; Spiliotis, Evangelos. In: Applied Energy. RePEc:eee:appene:v:261:y:2020:i:c:s0306261919320264.

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2020Macroeconomic news and acquirer returns in M&As: The impact of investor alertness. (2020). Saunders, Anthony ; Adra, Samer ; Barbopoulos, Leonidas G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300274.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2020Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021Aggregation of Seasonal Long-Memory Processes. (2021). del Barrio Castro, Tomás ; Rachinger, Heiko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:95-106.

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2022On temporal aggregation of some nonlinear time-series models. (2022). Chan, Wai-Sum. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:38-49.

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2021A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

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2022New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800.

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2021CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms. (2021). Zhang, Zhaoyong. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316238.

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2021Dimensionality reduction in forecasting with temporal hierarchies. (2021). Madsen, Henrik ; Moller, Jan K ; Lindstrom, Erik ; Nystrup, Peter. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1127-1146.

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2021M&A rumors about unlisted firms. (2021). Cumming, Douglas ; Czellar, Veronika ; Alperovych, Yan ; Groh, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1324-1339.

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2020The asymmetric relationship between the oil price and the US-Canada exchange rate. (2020). McFarlane, Adian ; Das, Anupam ; Jung, Young Cheol. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:198-206.

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2021Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160.

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2021.

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2021Information flow and price discovery dynamics. (2021). Xu, Kuan ; Wu, Lei ; Meng, Qingbin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00896-8.

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2020Aggregation of Seasonal Long-Memory Processes. (2020). del Barrio Castro, Tomás ; Rachinger, Heiko. In: MPRA Paper. RePEc:pra:mprapa:102890.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2021Stock Market Liquidity: A Literature Review. (2021). Reddy, Y V ; Naik, Priyanka. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244020985529.

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2021Infrastructure and Trade: An Empirical Study Based on China and Selected Asian Economies. (2021). Junrong, Liu ; Shafi, Mohsin ; Ur, Imran ; Sharma, Buddhi Prasad ; Fahad, Shah ; Tatiani, Enitilina. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:3:p:21582440211036082.

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2021Clustering of arrivals in queueing systems: autoregressive conditional duration approach. (2021). Hol, Vladimir ; Tomanova, Petra. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:3:d:10.1007_s10100-021-00744-7.

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2020Forecasting stock market movements using Google Trend searches. (2020). Convery, Patrick D ; Rojas, Randall R ; Huang, Melody Y. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01725-1.

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2020Goodness-of-fit tests in conditional duration models. (2020). Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0930-8.

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2021Bellman filtering for state-space models. (2020). Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200052.

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2020Prediction regions for interval‐valued time series. (2020). Gonzalezrivera, Gloria ; Ruiz, Esther ; Luo, Yun. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:373-390.

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Works by David Veredas:


YearTitleTypeCited
2012TailCoR In: Working Papers.
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paper0
2012Marginal quantiles for stationary processes In: Working Papers.
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paper2
2012Which model to match? In: Working Papers.
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paper1
2012A model for vast panels of volatilities In: Working Papers.
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paper15
2008Temporal aggregation of univariate and multivariate time series models: A survey In: Temi di discussione (Economic working papers).
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paper66
2008Temporal aggregation of univariate and multivariate time series models: a survey.(2008) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 66
paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: LIDAM Discussion Papers CORE.
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paper73
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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paper
2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
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paper106
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 106
article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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paper
2002On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach In: LIDAM Discussion Papers CORE.
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paper10
2001On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach.(2001) In: Working Papers.
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This paper has another version. Agregated cites: 10
paper
2001On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach..(2001) In: DES - Working Papers. Statistics and Econometrics. WS.
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This paper has another version. Agregated cites: 10
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2002Macro surprises and short-term behaviour in bond futures In: LIDAM Discussion Papers CORE.
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paper1
2005Macro surprises and short-term behavior in bond futures.(2005) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 1
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2007Macro Surprises and short-term behavior in bond futures.(2007) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 1
paper
2004What pieces of limit order book information are informative ? In: LIDAM Discussion Papers CORE.
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paper12
2004Using intra annual information to forecast the annual state deficits : the case of France In: LIDAM Discussion Papers CORE.
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paper3
2008Using intra annual information to forecast the annual state deficit. The case of France.(2008) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 3
paper
2004Testing weak exogeneity in the exponential family : an application to financial point processes In: LIDAM Discussion Papers CORE.
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paper2
2005Temporal aggregation of univariate linear time series models In: LIDAM Discussion Papers CORE.
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paper2
2006Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation In: LIDAM Discussion Papers CORE.
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paper6
2006Does the open limit order book matter in explaining long run volatility ? In: LIDAM Discussion Papers CORE.
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paper2
2006Estimation of stable distributions by indirect inference In: LIDAM Discussion Papers CORE.
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paper25
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 25
article
2007Indirect estimation of elliptical stable distributions In: LIDAM Discussion Papers CORE.
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2009Indirect estimation of elliptical stable distributions.(2009) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 16
article
2014Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices In: Working Papers ECARES.
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paper2
2008A Monthly Volatility Index for the US Economy In: Working Papers ECARES.
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paper0
2011Market liquidity as dynamic factors In: Working Papers ECARES.
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paper13
2011Market liquidity as dynamic factors.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 13
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2009Aggregation of linear models for panel data In: Working Papers ECARES.
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2010Aggregation of linear models for panel data.(2010) In: ULB Institutional Repository.
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2010The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES.
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2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance.
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2010The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility.(2010) In: SFB 649 Discussion Papers.
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2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 38
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2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers.
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2010The method of simulated quantiles In: Working Papers ECARES.
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paper0
2016Short Selling in the Tails In: Working Papers ECARES.
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paper0
2012Testing conditional asymmetry: A residual-based approach In: Journal of Economic Dynamics and Control.
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article7
2012Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 7
paper
2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: Journal of Econometrics.
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article89
2013On sample marginal quantiles for stationary processes In: Statistics & Probability Letters.
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article2
2013On sample marginal quantiles for stationary processes.(2013) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 2
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2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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paper6
2010Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics.
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article14
2009Does the open limit order book matter in explaining informational volatility?.(2009) In: ULB Institutional Repository.
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2006Editor’s introduction In: Empirical Economics.
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article1
2006Macroeconomic surprises and short-term behaviour in bond futures In: Empirical Economics.
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article10
2008Monitoring and forecasting annual public deficit every month: the case of France In: Empirical Economics.
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article21
2012A simple two-component model for the distribution of intraday returns In: The European Journal of Finance.
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2012A simple two-component model for the distribution of intraday returns.(2012) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 4
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2009What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance.
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article16
2011Estimation of stable distributions with indirect inference In: ULB Institutional Repository.
[Citation analysis]
paper7
2009What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository.
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paper0
2011Rank-based testing in linear models with stable errors In: ULB Institutional Repository.
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paper7
2009Indirect inference of elliptical fat tailed distributions In: ULB Institutional Repository.
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paper2
2012Quantifying and understanding dysfunctions in financial markets In: ULB Institutional Repository.
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paper0
2005High frequency finance In: ULB Institutional Repository.
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paper7
2007High frequency financial econometrics. Recent developments In: ULB Institutional Repository.
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paper38
2007Seminonparametric models for financial durations In: ULB Institutional Repository.
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paper0
2013Quantitative Finance Group: Activity Report 2010-2012 In: ULB Institutional Repository.
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paper0
2013Inference for vast dimensional elliptical distributions In: ULB Institutional Repository.
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paper6
2013Latest developments in heavy-tailed distributions In: ULB Institutional Repository.
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paper0
2012Statistical Estimation of Portfolios for Dependent Financial Returns In: ULB Institutional Repository.
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paper0
2012Optimal portfolios with end-of-period target In: ULB Institutional Repository.
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paper0
2015A Multivariate Hill Estimator In: ULB Institutional Repository.
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paper0
2008How relevant is infrastructure to growth in East Asia ? In: Policy Research Working Paper Series.
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paper5

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