David Veredas : Citation Profile


Are you David Veredas?

Vlerick Business School

14

H index

16

i10 index

661

Citations

RESEARCH PRODUCTION:

15

Articles

56

Papers

RESEARCH ACTIVITY:

   17 years (1999 - 2016). See details.
   Cites by year: 38
   Journals where David Veredas has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 21 (3.08 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pve30
   Updated: 2020-11-21    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)

Götz, Thomas (18)

Fernandes, Marcelo (15)

Martin, Gael (14)

Hecq, Alain (14)

Pérez, Javier (13)

McCabe, Brendan (12)

Bauwens, Luc (10)

Hallin, Marc (9)

Rombouts, Jeroen (9)

Cites to:

Engle, Robert (24)

Foucault, Thierry (19)

gourieroux, christian (17)

PASCUAL, ROBERTO (16)

Bollerslev, Tim (15)

Hallin, Marc (13)

Diebold, Francis (13)

Andersen, Torben (13)

Nijman, Theo (12)

Lippi, Marco (12)

Forni, Mario (12)

Main data


Where David Veredas has published?


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

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles25
Working Papers ECARES / ULB -- Universite Libre de Bruxelles7
Working Papers / Banco de Espaa4

Recent works citing David Veredas (2020 and 2019)


YearTitle of citing document
2020Zero-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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2019A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun. In: Papers. RePEc:arx:papers:1912.00764.

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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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2020Modelling 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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2020Machine 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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2019How frequent a BEER? Assessing the impact of data frequency on real exchange rate misalignment estimation. (2019). Giordano, Claire. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_522_19.

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2019Prediction regions for interval-valued time series. (2019). Gonzalez-Rivera, Gloria ; Luo, Yun ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29054.

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2019Optimal tests for elliptical symmetry: specified and unspecified location. (2019). Hallin, Marc ; Ley, Christophe ; Gelbgras, Laetitia ; Babic, Sladana. In: Working Papers ECARES. RePEc:eca:wpaper:2013/295909.

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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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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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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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2019Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597.

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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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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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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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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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2019Forecasting Observables with Particle Filters: Any Filter Will Do!. (2019). McCabe, Brendan ; Martin, Gael M ; Forbes, Catherine S ; Leung, Patrick. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-22.

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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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2019The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis. (2016). Dionne, Georges ; Zhou, Xiaozhou. In: Working Papers. RePEc:ris:crcrmw:2016_004.

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2019Did long-memory of liquidity signal the European sovereign debt crisis?. (2019). Li, Youwei ; Yang, Y C ; Hamill, P A ; Sun, Z ; Vigne, S A. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2850-y.

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2019Health progress and economic growth in the United States: the mixed frequency VAR analyses. (2019). Chen, Wen-Yi ; Chang, Wei-Shiun ; Liu, Yi-Hui. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:53:y:2019:i:4:d:10.1007_s11135-019-00847-z.

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2019Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data. (2019). Saulo, Helton ; Aykroyd, Robert G ; Leiva, Victor ; Leo, Jeremias . In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:5:d:10.1007_s00362-017-0888-6.

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

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2019Credit Supply: Are there negative spillovers from banks’ proprietary trading?. (2019). Kleimeier, Stefanie ; Kurz, Michael. In: Research Memorandum. RePEc:unm:umagsb:2019005.

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2019Credit Supply: Are there negative spillovers from banks’ proprietary trading? (RM/19/005-revised-). (2019). Kleimeier, Stefanie ; Kurz, Michael. In: Research Memorandum. RePEc:unm:umagsb:2019026.

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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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2019Point forecasting of intraday volume using Bayesian autoregressive conditional volume models. (2019). Huptas, Roman. In: Journal of Forecasting. RePEc:wly:jforec:v:38:y:2019:i:4:p:293-310.

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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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paper52
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
2008TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY In: Journal of Economic Surveys.
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article58
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: CORE Discussion Papers.
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paper71
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 71
paper
2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
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paper101
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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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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paper8
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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2002Macro surprises and short-term behaviour in bond futures In: CORE Discussion Papers.
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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
paper
2007Macro Surprises and short-term behavior in bond futures.(2007) In: ULB Institutional Repository.
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paper
2004What pieces of limit order book information are informative ? In: CORE Discussion Papers.
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paper13
2004Using intra annual information to forecast the annual state deficits : the case of France In: CORE Discussion Papers.
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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: CORE Discussion Papers.
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paper2
2005Temporal aggregation of univariate linear time series models In: CORE Discussion Papers.
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paper2
2006Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation In: CORE Discussion Papers.
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paper6
2006Does the open limit order book matter in explaining long run volatility ? In: CORE Discussion Papers.
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paper2
2006Estimation of stable distributions by indirect inference In: CORE Discussion Papers.
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paper24
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 24
article
2007Indirect estimation of elliptical stable distributions In: CORE Discussion Papers.
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paper16
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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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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paper14
2011Market liquidity as dynamic factors.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 14
article
2009Aggregation of linear models for panel data In: Working Papers ECARES.
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paper3
2010Aggregation of linear models for panel data.(2010) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 3
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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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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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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
paper
2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: Journal of Econometrics.
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article85
2013On sample marginal quantiles for stationary processes In: Statistics & Probability Letters.
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article1
2013On sample marginal quantiles for stationary processes.(2013) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 1
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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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article11
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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article16
2011Estimation of stable distributions with indirect inference In: ULB Institutional Repository.
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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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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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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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paper5
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
2008How relevant is infrastructure to growth in East Asia ? In: Policy Research Working Paper Series.
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paper4

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