13
H index
16
i10 index
781
Citations
Vlerick Business School | 13 H index 16 i10 index 781 Citations RESEARCH PRODUCTION: 14 Articles 57 Papers RESEARCH ACTIVITY:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 3 |
Empirical Economics | 3 |
Working Papers Series with more than one paper published | # docs |
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ULB Institutional Repository / ULB -- Universite Libre de Bruxelles | 26 |
Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 7 |
Working Papers / Banco de España | 4 |
Year | Title of citing document |
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2022 | Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10. Full description at Econpapers || Download paper |
2022 | Zero-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. Full description at Econpapers || Download paper |
2021 | Modelling 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. Full description at Econpapers || Download paper |
2022 | Machine 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. Full description at Econpapers || Download paper |
2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper |
2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper |
2022 | Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351. Full description at Econpapers || Download paper |
2022 | An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Aggregation 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. Full description at Econpapers || Download paper |
2022 | Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings. (2022). Boadu-Sebbe, Gregory. In: CERGE-EI Working Papers. RePEc:cer:papers:wp738. Full description at Econpapers || Download paper |
2021 | Evaluating 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. Full description at Econpapers || Download paper |
2021 | Bootstrap 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. Full description at Econpapers || Download paper |
2021 | Aggregation 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. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | New 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. Full description at Econpapers || Download paper |
2022 | How does news sentiment affect the states of Japanese stock return volatility?. (2022). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002241. Full description at Econpapers || Download paper |
2021 | CSR, 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. Full description at Econpapers || Download paper |
2022 | Frequency and severity estimation of cyber attacks using spatial clustering analysis. (2022). Jin, Zhuo ; Chu, Tingjin ; Ma, Boyuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:33-45. Full description at Econpapers || Download paper |
2022 | Covered interest rate parity deviations in the Asia-Pacific. (2022). Rajaguru, Gulasekaran ; Brailsford, Tim ; Bilson, Chris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000178. Full description at Econpapers || Download paper |
2021 | Dimensionality 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. Full description at Econpapers || Download paper |
2023 | Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430. Full description at Econpapers || Download paper |
2021 | M&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. Full description at Econpapers || Download paper |
2021 | Testing 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2021 | Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413. Full description at Econpapers || Download paper |
2022 | Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information. (2022). Nakatsuma, Teruo ; Toyabe, Tomoki. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:10:p:470-:d:944931. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2022 | Chinese Economic Growth Projections Based on Mixed Data of Carbon Emissions under the COVID-19 Pandemic. (2022). Zheng, Binbin ; Huang, Juan ; Liu, Tao ; Xie, Luze ; Fu, Rong. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:24:p:16762-:d:1003229. Full description at Econpapers || Download paper |
2022 | Risk Contagion between Commodity Markets and the Macro Economy during COVID-19: Evidence from China. (2022). Pan, QI ; Shen, Hong. In: Sustainability. RePEc:gam:jsusta:v:15:y:2022:i:1:p:66-:d:1010244. Full description at Econpapers || Download paper |
2021 | Information flow and price discovery dynamics. (2021). Xu, Kuan ; Meng, Qingbin ; Wu, Lei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00896-8. Full description at Econpapers || Download paper |
2021 | INVESTIGATING THE EFFECT OF FOREIGN DIRECT INVESTMENT (FDI) AND FOREIGN REMITTANCES ON ECONOMIC GROWTH IN PAKISTAN (1990-2018): A TIME SERIES ANALYSIS USING ARDL MODEL APPROACH. (2021). Khan, Muhammad Waqas ; Ahmad, Shakil. In: Bulletin of Business and Economics (BBE). RePEc:rfh:bbejor:v:10:y:2021:i:3:p:8-16. Full description at Econpapers || Download paper |
2021 | Stock 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. Full description at Econpapers || Download paper |
2021 | Infrastructure 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. Full description at Econpapers || Download paper |
2021 | Clustering 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. Full description at Econpapers || Download paper |
2022 | The truncated g-and-h distribution: estimation and application to loss modeling. (2022). Bee, Marco. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:4:d:10.1007_s00180-021-01179-z. Full description at Econpapers || Download paper |
2022 | The nexus between infrastructure development, economic growth, foreign direct investment, and trade: an empirical investigation from China’s regional trade data. (2022). Oubaih, Hana ; Shukai, Cai ; Hassan, Taimoor ; Khan, Yasir ; Ur, Ubaid ; Kootwal, Jawed. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:7:d:10.1007_s43546-022-00255-w. Full description at Econpapers || Download paper |
2021 | Bellman filtering for state-space models. (2020). Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200052. Full description at Econpapers || Download paper |
2023 | Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155. Full description at Econpapers || Download paper |
2023 | Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH?MIDAS and deep learning models. (2023). Ma, Zhiren ; Wang, Hemin ; Tang, Xiaolong ; Song, Yuping. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:51-59. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2012 | TailCoR In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Marginal quantiles for stationary processes In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Which model to match? In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | A model for vast panels of volatilities In: Working Papers. [Full Text][Citation analysis] | paper | 16 |
2008 | Temporal aggregation of univariate and multivariate time series models: A survey In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 75 |
2008 | Temporal aggregation of univariate and multivariate time series models: a survey.(2008) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
1999 | The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 123 |
2004 | The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 123 | paper | |
2000 | A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 109 |
2000 | A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
2004 | A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | article | |
2004 | A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
2002 | On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 13 |
2001 | On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach.(2001) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2001 | On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach..(2001) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | Macro surprises and short-term behaviour in bond futures In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2005 | Macro surprises and short-term behavior in bond futures.(2005) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2007 | Macro Surprises and short-term behavior in bond futures.(2007) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2004 | What pieces of limit order book information are informative ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 13 |
2004 | Using intra annual information to forecast the annual state deficits : the case of France In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
2008 | Using intra annual information to forecast the annual state deficit. The case of France.(2008) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2004 | Testing weak exogeneity in the exponential family : an application to financial point processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
2005 | Temporal aggregation of univariate linear time series models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
2006 | Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
2006 | Does the open limit order book matter in explaining long run volatility ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
2006 | Estimation of stable distributions by indirect inference In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 29 |
2011 | Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2007 | Indirect estimation of elliptical stable distributions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 15 |
2009 | Indirect estimation of elliptical stable distributions.(2009) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2014 | Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 2 |
2008 | A Monthly Volatility Index for the US Economy In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 1 |
2011 | Market liquidity as dynamic factors In: Working Papers ECARES. [Citation analysis] | paper | 16 |
2011 | Market liquidity as dynamic factors.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2009 | Aggregation of linear models for panel data In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 3 |
2010 | Aggregation of linear models for panel data.(2010) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2010 | The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 40 |
2011 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2010 | The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2011 | The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2011 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2010 | The method of simulated quantiles In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 3 |
2016 | Short Selling in the Tails In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2012 | Testing conditional asymmetry: A residual-based approach In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
2012 | Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2004 | The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 130 |
2013 | On sample marginal quantiles for stationary processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 4 |
2013 | On sample marginal quantiles for stationary processes.(2013) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 6 |
2010 | Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 15 |
2009 | Does the open limit order book matter in explaining informational volatility?.(2009) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2006 | Editor’s introduction In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
2006 | Macroeconomic surprises and short-term behaviour in bond futures In: Empirical Economics. [Full Text][Citation analysis] | article | 10 |
2008 | Monitoring and forecasting annual public deficit every month: the case of France In: Empirical Economics. [Full Text][Citation analysis] | article | 21 |
2012 | A simple two-component model for the distribution of intraday returns In: The European Journal of Finance. [Full Text][Citation analysis] | article | 4 |
2012 | A simple two-component model for the distribution of intraday returns.(2012) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2009 | What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance. [Full Text][Citation analysis] | article | 18 |
2011 | Estimation of stable distributions with indirect inference In: ULB Institutional Repository. [Citation analysis] | paper | 9 |
2009 | What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2011 | Rank-based testing in linear models with stable errors In: ULB Institutional Repository. [Citation analysis] | paper | 7 |
2009 | Indirect inference of elliptical fat tailed distributions In: ULB Institutional Repository. [Citation analysis] | paper | 2 |
2012 | Quantifying and understanding dysfunctions in financial markets In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2005 | High frequency finance In: ULB Institutional Repository. [Citation analysis] | paper | 7 |
2007 | High frequency financial econometrics. Recent developments In: ULB Institutional Repository. [Citation analysis] | paper | 43 |
2007 | Seminonparametric models for financial durations In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2013 | Quantitative Finance Group: Activity Report 2010-2012 In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2013 | Inference for vast dimensional elliptical distributions In: ULB Institutional Repository. [Citation analysis] | paper | 7 |
2013 | Latest developments in heavy-tailed distributions In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2012 | Statistical Estimation of Portfolios for Dependent Financial Returns In: ULB Institutional Repository. [Full Text][Citation analysis] | paper | 0 |
2012 | Optimal portfolios with end-of-period target In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2015 | A Multivariate Hill Estimator In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2008 | How relevant is infrastructure to growth in East Asia ? In: Policy Research Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
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