14
H index
19
i10 index
736
Citations
HEC Montréal (École des Hautes Études Commerciales) | 14 H index 19 i10 index 736 Citations RESEARCH PRODUCTION: 30 Articles 42 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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 Ardia. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Finance Research Letters | 5 |
Economics Letters | 3 |
International Journal of Forecasting | 2 |
Econometrics | 2 |
Journal of Statistical Software | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 11 |
MPRA Paper / University Library of Munich, Germany | 9 |
Tinbergen Institute Discussion Papers / Tinbergen Institute | 8 |
DQE Working Papers / Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland | 4 |
Year ![]() | Title of citing document ![]() |
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2024 | First-order integer-valued autoregressive processes with Generalized Katz innovations. (2022). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029. Full description at Econpapers || Download paper |
2024 | Hedge Fund Index Rules and Construction. (2024). Xiao, David. In: Papers. RePEc:arx:papers:2403.15925. Full description at Econpapers || Download paper |
2024 | A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962. Full description at Econpapers || Download paper |
2024 | Optimal Text-Based Time-Series Indices. (2024). Bluteau, Keven ; Ardia, David. In: Papers. RePEc:arx:papers:2405.10449. Full description at Econpapers || Download paper |
2024 | Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2025 | Forecasting Inflation Using News Indices. (2025). Volgina, Elizaveta. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:1:p:26-59. Full description at Econpapers || Download paper |
2024 | Interaction Between Age Pension Means Testing and Innovative Income Streams in Australia. (2024). Butt, Adam ; Ai, Wenqi ; Khemka, Gaurav. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:331:p:533-567. Full description at Econpapers || Download paper |
2024 | Future directions in nowcasting economic activity: A systematic literature review. (2024). Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina ; Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233. Full description at Econpapers || Download paper |
2024 | Can Corporate Social Responsibility Lead to Social License? A Sentiment and Emotion Analysis. (2024). Oh, Changhoon ; Ham, Shuna Shu ; Shapiro, Daniel. In: Journal of Management Studies. RePEc:bla:jomstd:v:61:y:2024:i:2:p:445-476. Full description at Econpapers || Download paper |
2024 | Nowcasting services trade for the G7 economies. (2024). Mourougane, Annabelle ; Gonzales, Frederic ; Jaax, Alexander. In: The World Economy. RePEc:bla:worlde:v:47:y:2024:i:4:p:1336-1386. Full description at Econpapers || Download paper |
2024 | Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty. (2024). Pratap, Bhanu ; Sengupta, Rajeswari ; Mathur, Aakriti. In: Journal of Asian Economics. RePEc:eee:asieco:v:91:y:2024:i:c:s1049007823001112. Full description at Econpapers || Download paper |
2024 | Experiences, demand for risky investments, and implications for price dynamics. (2024). Rieskamp, Jrg ; Olschewski, Sebastian ; Heinke, Steve. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000546. Full description at Econpapers || Download paper |
2024 | Immigration Narrative and Home Prices. (2024). Mazzotta, Stefano. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000741. Full description at Econpapers || Download paper |
2024 | The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model. (2024). Zhao, Lu-Tao ; Wang, Dai-Song ; Ren, Zhong-Yuan. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991. Full description at Econpapers || Download paper |
2024 | Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Jehle, Camille ; Gosse, Jean-Baptiste. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816. Full description at Econpapers || Download paper |
2024 | Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731. Full description at Econpapers || Download paper |
2024 | Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517. Full description at Econpapers || Download paper |
2024 | Common volatility shocks driven by the global carbon transition. (2024). Hendry, David F ; Campos-Martins, Susana. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001665. Full description at Econpapers || Download paper |
2024 | Energy ETF performance: The role of fossil fuels. (2024). Stefanelli, Kevyn ; Morelli, Giacomo ; Decclesia, Rita Laura. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000409. Full description at Econpapers || Download paper |
2024 | The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets. (2024). Uddin, Gazi ; Szafranek, Karol ; Rubaszek, Michał. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004687. Full description at Econpapers || Download paper |
2024 | The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Qizi, Madina Mansur ; Khajimuratov, Nizomjon Shukurullaevich ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich ; Hasanov, Akram Shavkatovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062. Full description at Econpapers || Download paper |
2024 | Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Kara, Marta ; Soski, Tomasz ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024. Full description at Econpapers || Download paper |
2024 | VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Nakata, Keiichi ; Qiu, Zhiguo. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346. Full description at Econpapers || Download paper |
2024 | The impact of macroeconomic news sentiment on interest rates. (2024). Offner, Eric A ; Audrino, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254. Full description at Econpapers || Download paper |
2024 | Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. (2024). Huang, Yujun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002527. Full description at Econpapers || Download paper |
2024 | Do Chinese carbon-intensive stocks overreact to climate transition risk? Evidence from the COP26 news. (2024). Cao, Ruiyi ; Xue, Minggao ; Ge, Xiaowen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002667. Full description at Econpapers || Download paper |
2024 | Cross-country risk spillovers of ESG stock indices: Dynamic patterns and the role of climate transition risks. (2024). Zhang, Yunhan ; Chen, Yingtong ; Li, Yichong ; Ma, Yanran ; Guo, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004095. Full description at Econpapers || Download paper |
2024 | Improved estimation of the correlation matrix using reinforcement learning and text-based networks. (2024). Simaan, Majeed ; Ndiaye, Papa Momar ; Lu, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005040. Full description at Econpapers || Download paper |
2024 | Do design features explain the volatility of cryptocurrencies?. (2024). Shi, Yanghua ; Uhrig-Homburg, Marliese ; Eska, Fabian E ; Theissen, Erik. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s154461232400566x. Full description at Econpapers || Download paper |
2024 | The end of ESG? Return spillover between ESG and non-ESG portfolios. (2024). He, Feng ; Zhang, Jining. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011048. Full description at Econpapers || Download paper |
2024 | Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness. (2024). Sila, Jan ; Kočenda, Evžen ; Kocenda, Evzen ; Kukacka, Jiri ; Kristoufek, Ladislav. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001288. Full description at Econpapers || Download paper |
2024 | Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306. Full description at Econpapers || Download paper |
2024 | Market timing with moving average distance: International evidence. (2024). Mugerman, Yevgeny ; Kaplanski, Guy ; Abudy, Menachem Meni. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001318. Full description at Econpapers || Download paper |
2024 | 2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347. Full description at Econpapers || Download paper |
2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
2024 | Multidimensional heterogeneity and matching in a frictional labor market — An application to polarization. (2024). Tan, Joanne. In: Labour Economics. RePEc:eee:labeco:v:90:y:2024:i:c:s092753712400099x. Full description at Econpapers || Download paper |
2024 | More than words: Fed Chairs’ communication during congressional testimonies. (2024). Zhang, XU ; Kryvtsov, Oleksiy ; Alexopoulos, Michelle. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001022. Full description at Econpapers || Download paper |
2024 | Integrated degradation-based burn-in and maintenance model for heterogeneous and highly reliable items. (2024). Taghipour, Sharareh ; Safaei, Fatemeh. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:244:y:2024:i:c:s0951832024000176. Full description at Econpapers || Download paper |
2024 | The energy transition: The behavior of renewable energy stock during the times of energy security uncertainty. (2024). Yahya, Muhammad ; Schroeder, Leon ; Igeland, Philip ; Uddin, Gazi Salah ; Okhrin, Yarema. In: Renewable Energy. RePEc:eee:renene:v:221:y:2024:i:c:s0960148123016610. Full description at Econpapers || Download paper |
2024 | Does haze-related sentiment affect income inequality in China?. (2024). Lei, Yongyu ; Zong, Xiangyu ; Guo, Minjia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003484. Full description at Econpapers || Download paper |
2024 | Can portfolio construction considering ESG still gain high profits?. (2024). Rastegar, Mohammad Ali ; Fereydooni, Ali ; Davoodi, Shayan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002520. Full description at Econpapers || Download paper |
2024 | Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654. Full description at Econpapers || Download paper |
2025 | Do oil price shocks drive systematic risk premia in stock markets? A novel investment application. (2025). Demirer, Riza ; Polat, Onur ; Sokhanvar, Amin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003842. Full description at Econpapers || Download paper |
2024 | Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment. (2024). Ahelegbey, Daniel Felix ; Cerchiello, Paola ; Celani, Alessandro. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:92:y:2024:i:c:s0038012124000417. Full description at Econpapers || Download paper |
2024 | Investors’ attention and network spillover for commodity market forecasting. (2024). Mattera, Raffaele ; Ficcadenti, Valerio ; Cerqueti, Roy. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002222. Full description at Econpapers || Download paper |
2024 | Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Laurent, Sebastien ; Boudt, Kris ; Bouamara, Nabil. In: Working Papers. RePEc:fip:fedlwp:97969. Full description at Econpapers || Download paper |
2025 | Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers. (2025). Perlin, Marcelo Scherer ; Mller, Fernanda Maria ; Almeida, Lucas Mussoi. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10585-6. Full description at Econpapers || Download paper |
2025 | Effects of Quantitative Easing on Economic Sentiment: Evidence from Three Large Economies. (2025). Üngör, MURAT ; Baker, Benjamin ; Ngr, Murat. In: Comparative Economic Studies. RePEc:pal:compes:v:67:y:2025:i:1:d:10.1057_s41294-024-00233-1. Full description at Econpapers || Download paper |
2024 | Green risk in Europe. (2023). Ossola, Elisa ; Morana, Claudio ; Cassola, Nuno. In: Working Paper series. RePEc:rim:rimwps:23-14. Full description at Econpapers || Download paper |
2024 | The nexus between black and digital gold: evidence from US markets. (2024). Shahbaz, Muhammad ; Nasir, Muhammad Ali ; Ahmed, Rizwan ; Duc, Toan Luu ; Anh, Ngoc Quang. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04192-z. Full description at Econpapers || Download paper |
2024 | Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both?. (2024). Barreto, Abdinardo Moreira ; Mandal, Anandadeep ; Power, Gabriel J. In: Annals of Data Science. RePEc:spr:aodasc:v:11:y:2024:i:2:d:10.1007_s40745-022-00446-0. Full description at Econpapers || Download paper |
2024 | Regime switching and causal network analysis of cryptocurrency volatility: evidence from pre-COVID and post-COVID analysis. (2024). Kayal, Parthajit ; Dutta, Sumanjay. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00104-x. Full description at Econpapers || Download paper |
2025 | A Markov regime-switching event response model: beef price spread response to processing capacity shocks. (2025). Neill, Clinton L ; Boyer, Christopher N ; Park, Eunchun. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02677-x. Full description at Econpapers || Download paper |
2024 | Features of different asset types and extreme risk transmission during the COVID-19 crisis. (2024). Tsai, I-Chun. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00510-5. Full description at Econpapers || Download paper |
2024 | The Connectedness Knowledge from Investors’ Sentiments, Financial Crises, and Trade Policy: An Economic Perspective. (2024). Mahmood, Haider ; Javed, Muhammad Zahid ; Sabir, Saeed Ahmad ; Rehman, Mubeen Abdur. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:4:d:10.1007_s13132-024-01951-8. Full description at Econpapers || Download paper |
2024 | Forecasting cryptocurrencies returns: Do macroeconomic and financial variables improve tail expectation predictions?. (2024). Leccadito, Arturo ; Lawuobahsumo, Kokulo K ; Algieri, Bernardina. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:3:d:10.1007_s11135-023-01761-1. Full description at Econpapers || Download paper |
2024 | Time-Varying Factor Model Components for Effective Momentum Strategy. (2024). van Dijk, Herman ; Hoogerheide, Lennart ; Cross, Jamie. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240068. Full description at Econpapers || Download paper |
2024 | Forecasting GDP in Europe with textual data. (2024). Barbaglia, Luca ; Consoli, Sergio ; Manzan, Sebastiano. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:2:p:338-355. Full description at Econpapers || Download paper |
2025 | Forecasting Markov switching vector autoregressions: Evidence from simulation and application. (2025). Cavicchioli, Maddalena. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:136-152. Full description at Econpapers || Download paper |
2024 | Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market. (2024). Zhao, Yinxin ; Liang, Mengru ; Yan, BO. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:744-766. Full description at Econpapers || Download paper |
Year ![]() | Title ![]() | Type ![]() | Cited ![]() |
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2016 | Generalized Autoregressive Score Models in R: The GAS Package In: Papers. [Full Text][Citation analysis] | paper | 13 |
2016 | Value-at-Risk Prediction in R with the GAS Package In: Papers. [Full Text][Citation analysis] | paper | 4 |
2021 | A Century of Economic Policy Uncertainty Through the French-Canadian Lens In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | A century of Economic Policy Uncertainty through the French–Canadian lens.(2021) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2021 | Media abnormal tone, earnings announcements, and the stock market In: Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | Media abnormal tone, earnings announcements, and the stock market.(2022) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2022 | Thirty Years of Academic Finance In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | How easy is it for investment managers to deploy their talent in green and brown stocks? In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | How easy is it for investment managers to deploy their talent in green and brown stocks?.(2022) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2023 | Factor Exposure Heterogeneity in Green and Brown Stocks In: Papers. [Full Text][Citation analysis] | paper | 1 |
2023 | Factor exposure heterogeneity in green and brown stocks.(2023) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2023 | The Role of Twitter in Cryptocurrency Pump-and-Dumps In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | High-Dimensional Mean-Variance Spanning Tests In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 51 |
2018 | Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 1 |
2016 | Smart beta and CPPI performance In: Finance. [Full Text][Citation analysis] | article | 1 |
2023 | Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2024 | Is it alpha or beta? Decomposing hedge fund returns when models are misspecified.(2024) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2009 | Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations In: Econometrics Journal. [Full Text][Citation analysis] | article | 31 |
2012 | A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 38 |
2010 | A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2016 | The economic benefits of market timing the style allocation of characteristic-based portfolios In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
2012 | Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
2014 | GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts In: Economics Letters. [Full Text][Citation analysis] | article | 21 |
2013 | GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2022 | Properties of the Margrabe Best-of-two strategy to tactical asset allocation In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
2015 | Testing equality of modified Sharpe ratios In: Finance Research Letters. [Full Text][Citation analysis] | article | 17 |
2016 | Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models In: Finance Research Letters. [Full Text][Citation analysis] | article | 13 |
2019 | Regime changes in Bitcoin GARCH volatility dynamics In: Finance Research Letters. [Full Text][Citation analysis] | article | 133 |
2018 | Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 56 |
2019 | Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 53 |
2018 | The peer performance ratios of hedge funds In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
2008 | Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations In: DQE Working Papers. [Citation analysis] | paper | 2 |
2007 | Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers In: DQE Working Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit In: DQE Working Papers. [Full Text][Citation analysis] | paper | 13 |
2009 | AdMit: Adaptive Mixtures of Student-t Distributions In: DQE Working Papers. [Full Text][Citation analysis] | paper | 10 |
2016 | Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices In: Econometrics. [Full Text][Citation analysis] | article | 4 |
2020 | Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4 , 14 In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2023 | Climate Change Concerns and the Performance of Green vs. Brown Stocks In: Management Science. [Full Text][Citation analysis] | article | 1 |
2009 | Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit In: Journal of Statistical Software. [Full Text][Citation analysis] | article | 12 |
2008 | Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2011 | DEoptim: An R Package for Global Optimization by Differential Evolution In: Journal of Statistical Software. [Full Text][Citation analysis] | article | 84 |
2010 | DEoptim: An R Package for Global Optimization by Differential Evolution.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
2013 | Fully Flexible Views in Multivariate Normal Markets In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
2013 | Worldwide equity Risk Prediction In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 1 |
2013 | Worldwide equity risk prediction.(2013) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2013 | Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 2 |
2013 | Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
2013 | The Peer Performance of Hedge Funds In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
2014 | A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
2014 | A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Climate change concerns and the performance of green versus brown stocks In: Working Paper Research. [Full Text][Citation analysis] | paper | 27 |
2021 | Climate change concerns and the performance of green versus brown stocks.(2021) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2011 | Generalized marginal risk In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
2009 | Generalized Marginal Risk.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | Linking Frequentist and Bayesian Change-Point Methods In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2009 | Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R In: MPRA Paper. [Full Text][Citation analysis] | paper | 22 |
2002 | Tests darbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2010 | Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization In: MPRA Paper. [Full Text][Citation analysis] | paper | 5 |
2010 | Efficient Bayesian estimation and combination of GARCH-type models In: MPRA Paper. [Full Text][Citation analysis] | paper | 6 |
2010 | Efficient Bayesian Estimation and Combination of GARCH-Type Models.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2010 | Jump-Diffusion Calibration using Differential Evolution In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
2011 | Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2011 | Stock Index Returns Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2017 | The impact of covariance misspecification in risk-based portfolios In: Annals of Operations Research. [Full Text][Citation analysis] | article | 21 |
2008 | Financial Risk Management with Bayesian Estimation of GARCH Models In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | book | 42 |
2018 | Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2018 | Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation.(2018) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2009 | To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2010 | Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2017 | The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
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