David Veredas : Citation Profile


Are you David Veredas?

Vlerick Business School

12

H index

16

i10 index

583

Citations

RESEARCH PRODUCTION:

15

Articles

64

Papers

RESEARCH ACTIVITY:

   17 years (1999 - 2016). See details.
   Cites by year: 34
   Journals where David Veredas has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 23 (3.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve30
   Updated: 2019-10-15    RAS profile: 2015-06-19    
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Relations with other researchers


Works with:

Dominicy, Yves (3)

Luciani, Matteo (2)

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 (24)

Grammig, Joachim (18)

Fernandes, Marcelo (15)

Martin, Gael (14)

Pérez, Javier (13)

Bauwens, Luc (10)

McCabe, Brendan (10)

Gallo, Giampiero (9)

Rombouts, Jeroen (9)

Götz, Thomas (9)

Dungey, Mardi (9)

Cites to:

Engle, Robert (25)

Foucault, Thierry (19)

Bollerslev, Tim (19)

Diebold, Francis (19)

gourieroux, christian (18)

Hallin, Marc (18)

Lippi, Marco (17)

PASCUAL, ROBERTO (17)

Forni, Mario (17)

Andersen, Torben (16)

Granger, Clive (15)

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 Bruxelles33
Working Papers ECARES / ULB -- Universite Libre de Bruxelles7
Working Papers / Banco de Espaa4

Recent works citing David Veredas (2019 and 2018)


YearTitle of citing document
2018Does Daylight Saving Save Electricity? A Meta-Analysis. (2018). Irsova, Zuzana ; Herman, Dominik ; Havranek, Tomas ; Tomas, Dominik Herman. In: The Energy Journal. RePEc:aen:journl:ej39-2-irsova.

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2017Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344.

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2017The Information Content of the Limit Order Book. (2017). Frank, Julieta ; Arzandeh, Mehdi . In: 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON. RePEc:ags:cafp17:253251.

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2018Zero-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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2018The sparse method of simulated quantiles: An application to portfolio optimization. (2018). Stolfi, Paola ; Petrella, Lea ; Bernardi, Mauro. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:375-398.

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2019Modelling bimodality of length of tourist stay. (2019). Perez-Rodriguez, J V ; Gomez-Deniz, E. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:131-151.

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2017Forecasting Chinas GDP growth using dynamic factors and mixed-frequency data. (2017). Jiang, YU ; Zhang, Yihao ; Guo, Yongji . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:132-138.

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2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

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2018Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth. (2018). Xu, Qifa ; Liu, Yezheng ; Jiang, Cuixia ; Zhuo, Xingxuan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:221-236.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2018Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach. (2018). Motegi, Kaiji ; Sadahiro, Akira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:118-128.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2018Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. (2018). Gallant, Ronald A ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:140-155.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2017Forecasting with temporal hierarchies. (2017). Hyndman, Rob ; Athanasopoulos, George ; Petropoulos, Fotios ; Kourentzes, Nikolaos. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:60-74.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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2017Bilateral trade and shocks in political relations: Evidence from China and some of its major trading partners, 1990–2013. (2017). Ramirez, Carlos ; Yao, XI ; Ju, Jiandong ; Du, Yingxin. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:211-225.

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2018Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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2019Google data in bridge equation models for German GDP. (2019). Gotz, Thomas B ; Knetsch, Thomas A. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:45-66.

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2018Disentangling the effects of promotion mix on new product sales: An examination of disaggregated drivers and the moderating effect of product class. (2018). Chaudhuri, Malika ; Cockrell, Seth ; Voorhees, Clay M ; Calantone, Roger J. In: Journal of Business Research. RePEc:eee:jbrese:v:90:y:2018:i:c:p:286-294.

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2018Forecasting the CNY-CNH pricing differential: The role of investor attention. (2018). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:232-247.

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2017Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets. (2017). Rannou, Yves. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:779-808.

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2018.

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2017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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2018The Conductive and Predictive Effect of Oil Price Fluctuations on China’s Industry Development Based on Mixed-Frequency Data. (2018). Chai, Jian ; Su, Siping ; Chen, Xiaofeng ; Lai, Kin Keung ; Zhou, Xiaoyang ; Cao, Puju. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1372-:d:149403.

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2019Threshold Stochastic Conditional Duration Model for Financial Transaction Data. (2019). Wirjanto, Tony S ; Kolkiewicz, Adam W ; Men, Zhongxian. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:88-:d:230954.

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2019“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”. (2019). Sosvilla-Rivero, Simon ; Gomez-Deniza, Emilio ; Perez-Rodriguez, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201907.

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2018Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange. (2018). Wang, Ming-Chang ; Hsin, Pei-Han ; Ding, Yu-Jia. In: Journal of Economics and Management. RePEc:jec:journl:v:14:y:2018:i:2:p:191-216.

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2018Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Purwono, Yogo ; Husodo, Zaafri Ananto ; Ekaputra, Irwan Adi . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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2017The Asymptotic Properties of GMM and Indirect Inference under Second Inference. (2017). Donovon, Prosper ; Hall, Alastair R. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1705.

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2019Hierarchical Forecasting. (2019). Hyndman, Rob ; Affan, Mohamed ; Panagiotelis, Anastasios ; Gamakumara, Puwasala ; Athanasopoulos, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-2.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2018Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes. (2018). Hecq, Alain ; Götz, Thomas ; Goetz, Thomas. In: MPRA Paper. RePEc:pra:mprapa:87746.

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2017Multivariate moment based extreme value index estimators. (2017). Heikkila, Matias ; Ilmonen, Pauliina ; Dominicy, Yves. In: Computational Statistics. RePEc:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-016-0706-y.

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2017Varying kernel marginal density estimator for a positive time series. (2017). Balakrishna, N ; Koul, Hira L. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:3:p:531-552.

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2017A methodology for stochastic inventory modelling with ARMA triangular distribution for new products. (2017). Rojas, Fernando ; Liu, Shaofeng . In: Cogent Business & Management. RePEc:taf:oabmxx:v:4:y:2017:i:1:p:1270706.

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2018Generalized Autoregressive Method of Moments. (2018). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150138.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2018Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach.. (2018). Trapin, Luca ; Hambuckers, Julien ; Bee, Marco. In: DEM Working Papers. RePEc:trn:utwprg:2018/08.

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2018Estimating the wrapped stable distribution via indirect inference. (2018). Bee, Marco. In: DEM Working Papers. RePEc:trn:utwprg:2018/11.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:1-2017.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:34.

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2017Google data in bridge equation models for German GDP. (2017). Götz, Thomas ; Knetsch, Thomas A ; Gotz, Thomas B. In: Discussion Papers. RePEc:zbw:bubdps:182017.

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2017The ambivalent role of high-frequency trading in turbulent market periods. (2017). Zhang, S. Sarah ; Hautsch, Nikolaus ; Noe, Michael. In: CFS Working Paper Series. RePEc:zbw:cfswop:580.

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Works by David Veredas:


YearTitleTypeCited
2012TailCoR In: Working Papers.
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2013TailCoR.(2013) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 0
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2012Marginal quantiles for stationary processes In: Working Papers.
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2012Which model to match? In: Working Papers.
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2012A model for vast panels of volatilities In: Working Papers.
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paper11
2008Temporal aggregation of univariate and multivariate time series models: A survey In: Temi di discussione (Economic working papers).
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paper52
2008TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY.(2008) In: Journal of Economic Surveys.
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This paper has another version. Agregated cites: 52
article
2008Temporal aggregation of univariate and multivariate time series models: a survey.(2008) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 52
paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: CORE Discussion Papers.
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paper63
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
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paper94
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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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: CORE Discussion Papers.
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2001On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach.(2001) In: Working Papers.
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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: 7
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2002Macro surprises and short-term behaviour in bond futures In: CORE Discussion Papers.
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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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2004What pieces of limit order book information are informative ? In: CORE Discussion Papers.
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2004Using intra annual information to forecast the annual state deficits : the case of France In: CORE Discussion Papers.
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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
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2004Testing weak exogeneity in the exponential family : an application to financial point processes In: CORE Discussion Papers.
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2005Temporal aggregation of univariate linear time series models In: CORE Discussion Papers.
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2006Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation In: CORE Discussion Papers.
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2006Does the open limit order book matter in explaining long run volatility ? In: CORE Discussion Papers.
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2010Does the open limit order book matter in explaining long run volatility?.(2010) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 10
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2006Estimation of stable distributions by indirect inference In: CORE Discussion Papers.
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2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 23
article
2007Indirect estimation of elliptical stable distributions In: CORE Discussion Papers.
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2009Indirect estimation of elliptical stable distributions.(2009) In: Computational Statistics & Data Analysis.
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article
2014Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices In: Working Papers ECARES.
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2008A Monthly Volatility Index for the US Economy In: Working Papers ECARES.
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2011Market liquidity as dynamic factors In: Working Papers ECARES.
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2011Market liquidity as dynamic factors.(2011) In: Journal of Econometrics.
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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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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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2016Short Selling in the Tails In: Working Papers ECARES.
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2012Testing conditional asymmetry: A residual-based approach In: Journal of Economic Dynamics and Control.
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article6
2012Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 6
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2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: Journal of Econometrics.
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2013On sample marginal quantiles for stationary processes In: Statistics & Probability Letters.
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2013On sample marginal quantiles for stationary processes.(2013) In: ULB Institutional Repository.
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2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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2010Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics.
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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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2008Monitoring and forecasting annual public deficit every month: the case of France In: Empirical Economics.
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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: 5
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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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2011Estimation of stable distributions with indirect inference In: ULB Institutional Repository.
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paper6
2009What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository.
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2011Rank-based testing in linear models with stable errors In: ULB Institutional Repository.
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paper6
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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2005High frequency finance In: ULB Institutional Repository.
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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
2013Disentangling systematic and idiosyncratic risks for large panels of assets In: ULB Institutional Repository.
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paper0
2013A simple model for vast panels of volatilities In: ULB Institutional Repository.
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paper3
2013Which model to match? In: ULB Institutional Repository.
[Citation analysis]
paper1
2013Quantitative Finance Group: Activity Report 2010-2012 In: ULB Institutional Repository.
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paper0
2013R-estimation in linear models with stable errors In: ULB Institutional Repository.
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paper2
2013Inference for vast dimensional elliptical distributions In: ULB Institutional Repository.
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2013Latest developments in heavy-tailed distributions In: ULB Institutional Repository.
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2012Statistical Estimation of Portfolios for Dependent Financial Returns In: ULB Institutional Repository.
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2012Optimal portfolios with end-of-period target In: ULB Institutional Repository.
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2013Googling SIFIs In: ULB Institutional Repository.
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paper8
2019A Multivariate Hill Estimator In: ULB Institutional Repository.
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2009Does the open limit order book matter in explaining informational volatility? In: ULB Institutional Repository.
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2008How relevant is infrastructure to growth in East Asia ? In: Policy Research Working Paper Series.
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