David Ardia : Citation Profile

HEC Montréal (École des Hautes Études Commerciales)

15

H index

20

i10 index

836

Citations

RESEARCH PRODUCTION:

36

Articles

43

Papers

1

Books

RESEARCH ACTIVITY:

   22 years (2002 - 2024). See details.
   Cites by year: 38
   Journals where David Ardia has often published
   Relations with other researchers
   Recent citing documents: 182.    Total self citations: 36 (4.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/par194
   Updated: 2026-01-03    RAS profile: 2025-07-06    
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Relations with other researchers

Works with:

Bluteau, Keven (16)

Boudt, Kris (7)

Inghelbrecht, Koen (3)

Scaillet, Olivier (2)

Ordás Criado, Carlos (2)

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

Is cited by:

van Dijk, Herman (27)

Baştürk, Nalan (16)

Panagiotidis, Theodore (14)

Stengos, Thanasis (13)

Grassi, Stefano (12)

Labondance, Fabien (10)

Uddin, Gazi (10)

Dufays, Arnaud (10)

Papapanagiotou, Georgios (10)

Hubert, Paul (10)

Bauwens, Luc (9)

Cites to:

van Dijk, Herman (66)

Bauwens, Luc (29)

Geweke, John (26)

Boudt, Kris (22)

Jagannathan, Ravi (22)

Bollerslev, Tim (22)

Geweke, John (20)

Andrews, Donald (18)

Engle, Robert (16)

Scaillet, Olivier (13)

Laurent, Sébastien (12)

Main data

Where David Ardia has published?

Journals with more than one article published# docs
Finance Research Letters5
Economics Letters3
International Review of Financial Analysis2
Journal of Risk2
Journal of Statistical Software2
Journal of Financial Economics2
International Journal of Forecasting2
Journal of Economic Surveys2
Econometrics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org12
MPRA Paper / University Library of Munich, Germany9
Tinbergen Institute Discussion Papers / Tinbergen Institute8
DQE Working Papers / Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland4

Recent works citing David Ardia (2025 and 2024)

YearTitle of citing document
2024First-order integer-valued autoregressive processes with Generalized Katz innovations. (2024). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Hedge Fund Index Rules and Construction. (2024). Xiao, David. In: Papers. RePEc:arx:papers:2403.15925.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Dynamic Asset Allocation with Asset-Specific Regime Forecasts. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2406.09578.

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2025Analyst Reports and Stock Performance: Evidence from the Chinese Market. (2025). Liang, Jiayou ; Liu, Rui ; Hu, Yujia ; Chen, Haolong. In: Papers. RePEc:arx:papers:2411.08726.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Shocking concerns: public perception about climate change and the macroeconomy. (2025). Sorge, Marco ; Bontempi, Maria ; de Angelis, Luca ; Neri, Paolo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2505.04669.

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2025Green Shields: The Role of ESG in Uncertain Time. (2025). Stasiulaitis, Dominykas ; Kansoy, Fatih. In: Papers. RePEc:arx:papers:2506.02143.

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2025ProteuS: A Generative Approach for Simulating Concept Drift in Financial Markets. (2025). Cervantes, Alejandro ; Quintana, David ; Su, Andr'Es L. In: Papers. RePEc:arx:papers:2509.11844.

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2025Selection Confidence Sets for Equally Weighted Portfolios. (2025). Ferrari, Davide ; Fulci, Alessandro ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:2510.14988.

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2025Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information. (2025). Colaneri, Katia ; Mancinelli, Daniele ; D'Amario, Federico. In: Papers. RePEc:arx:papers:2511.19186.

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2024A Study of Hierarchical Risk Parity in Portfolio Construction. (2024). Prybutok, Victor R ; Palit, Debjani. In: Journal of Economic Analysis. RePEc:bba:j00001:v:3:y:2024:i:3:p:106-125:d:218.

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2024Economic Policy Uncertainty in Central America and the Dominican Republic. (2024). Ghirelli, Corinna ; Diakonova, Marina ; Quionez, Juan. In: Occasional Papers. RePEc:bde:opaper:2426e.

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2025The macroeconomic effects of a greener technology mix. (2025). Gazzani, Andrea Giovanni ; Natoli, Filippo ; Ferriani, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1482_25.

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2024Should Central Banks Care About Text Mining? A Literature Review. (2024). Meunier, Baptiste ; bricongne, jean-charles ; Caldeira, Raquel. In: Working papers. RePEc:bfr:banfra:950.

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2025Green financing and the relationship between banks and non-financial corporations through the lens of balance-sheet interaction. (2025). Harrison, Michael ; Shabani, Mimoza. In: IFC Bulletins chapters. RePEc:bis:bisifc:65-06.

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2025Forecasting 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.

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2024Interaction 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.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2024Can Corporate Social Responsibility Lead to Social License? A Sentiment and Emotion Analysis. (2024). Oh, Chang Hoon ; Ham, Shuna Shu ; Shapiro, Daniel. In: Journal of Management Studies. RePEc:bla:jomstd:v:61:y:2024:i:2:p:445-476.

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2024Nowcasting 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.

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2024The effect of the U.S.–China trade war on Chinese corporate innovation: A curse or a blessing?. (2024). Li, Leona Shao-Zhi ; Liu, Yize ; Yuan, Jia. In: Working Papers. RePEc:boa:wpaper:202418.

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2025Improving text classification: logistic regression makes small LLMs strong and explainable ‘tens-of-shot’ classifiers. (2025). Hill, ED ; Buckmann, Marcus. In: Bank of England working papers. RePEc:boe:boeewp:1127.

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2025Green Intermediary Asset Pricing. (2025). Sauzet, Maxime. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11944.

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2025Climate Risk and Financial Stability: Some Panel Evidence for the European Banking Sector. (2025). Caporale, Guglielmo Maria ; Sova, Anamaria Diana. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11958.

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2025When Do Circuit Breakers Stabilize Markets? Evidence and Theory. (2025). Ming, Yang ; Hu, Tianlin. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2025:v:26:i:2:humingzhu.

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2024Role of Artificial Intelligence and Big Data in Sustainable Entrepreneurship. (2024). Abushanab, Rula. In: Journal of Artificial Intelligence General science (JAIGS) ISSN:3006-4023. RePEc:das:njaigs:v:5:y:2024:i:1:p:275-294:id:199.

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2025Capturing international influences in U.S. monetary policy through a NLP approach. (2025). Ferrara, Laurent ; de Roux, Nicolas. In: EconomiX Working Papers. RePEc:drm:wpaper:2025-23.

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2024Physical and transition risk premiums in euro area corporate bond markets. (2024). Bats, Joost Victor ; Bua, Giovanna ; Kapp, Daniel. In: Working Paper Series. RePEc:ecb:ecbwps:20242899.

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2025Climate policy uncertainty and analyst forecast quality for greenhouse gas-intensive firms. (2025). Lin, K C ; Dong, Xiaobo. In: Advances in accounting. RePEc:eee:advacc:v:68:y:2025:i:c:s0882611025000124.

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2024Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty. (2024). Sengupta, Rajeswari ; Pratap, Bhanu ; Mathur, Aakriti. In: Journal of Asian Economics. RePEc:eee:asieco:v:91:y:2024:i:c:s1049007823001112.

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2024Experiences, 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.

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2024Immigration Narrative and Home Prices. (2024). Mazzotta, Stefano. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000741.

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2024Do sustainably managed pension savings foster sustainable investments? Evidence from a field experiment. (2024). Meyer, Julia. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024000911.

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2025Imbalanced ESG investing?. (2025). Kouretas, Georgios ; Agoraki, Maria-Eleni ; Wu, Haoran ; Zhao, Binru. In: Journal of Corporate Finance. RePEc:eee:corfin:v:93:y:2025:i:c:s0929119925000781.

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2024Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data. (2024). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon ; Ur, Mobeen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:449-479.

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2024The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model. (2024). Zhao, Lu-Tao ; Ren, Zhong-Yuan ; Wang, Dai-Song. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991.

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2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Gossé, Jean-Baptiste ; Gosse, Jean-Baptiste ; Jehle, Camille. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Huang, Yirong ; Luo, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2024Yield 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.

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2025Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns. (2025). Zhao, Xinyi ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002468.

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2025Are ESG factors truly unique?. (2025). Covachev, Svetoslav ; Brito-Ramos, Sofia ; Martel, Jocelyn. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000269.

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2025The time-varying relationship between climate uncertainty, low-carbon stocks and green bonds. (2025). Ma, Junfeng ; Zhou, Deheng ; Xu, Ziyao ; Yuan, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000270.

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2025Portfolio hedging through a novel equity index based on the verified emissions of EU ETS-regulated firms. (2025). Chiappari, Mattia ; Scotti, Francesco ; Flori, Andrea. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006165.

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2024Common volatility shocks driven by the global carbon transition. (2024). Hendry, David ; Campos-Martins, Susana. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001665.

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2024A simple specification test for models with many conditional moment inequalities. (2024). Marcoux, Mathieu ; Wan, Yuanyuan ; Russell, Thomas M. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001349.

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2025Green stocks and monetary policy shocks: Evidence from Europe. (2025). Rudebusch, Glenn ; Bauer, Michael ; Offner, Eric A. In: European Economic Review. RePEc:eee:eecrev:v:177:y:2025:i:c:s0014292125000947.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2025Do management climate change concerns mitigate greenwashing? Evidence from China. (2025). Yang, Jinyu ; Cao, Jiawei ; Yue, Sishi. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000573.

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2025Climate change risk and green bond pricing. (2025). del Giudice, Alfonso ; Signori, Andrea ; Rigamonti, Silvia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000386.

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2024Energy ETF performance: The role of fossil fuels. (2024). Decclesia, Rita Laura ; Stefanelli, Kevyn ; Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000409.

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2024The 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.

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2025The impact of political risks on carbon emissions. (2025). Zhang, Qin ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008399.

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2025Financial innovation and corporate climate policy uncertainty exposure: Evidence from Chinas crude oil futures. (2025). Zhang, Wei ; Wang, Ziqiao ; Chen, Longxuan. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002506.

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2025The path to sustainable Bitcoin mining: Challenges and barriers. (2025). Lashkaripour, Mohammadhossein ; Hosseini, Seyedmehdi ; Bouri, Elie ; Basirian, Elnaz. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325003275.

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2025Common volatility in clean energy stocks. (2025). Brooks, Robert ; Bissoondoyal-Bheenick, Emawtee ; Pham, Son. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004165.

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2025Climate transition risks, ESG sentiment and market value: Insights from the European stock market. (2025). Gaies, Brahim ; Chabane, Najeh ; Adeosun, Opeoluwa Adeniyi ; Sahut, Jean-Michel. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004323.

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2025Optimizing portfolios under carbon risk constraints: Setting effective constraints to favor green investments. (2025). Chen, AN ; Gerick, Leonard ; Jin, Zhuo. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s014098832500461x.

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2025Unveiling the impact of information vagueness on carbon emission inventories using fuzzy sets. (2025). Puppim, Jos Antnio ; Wanke, Peter ; Antunes, Jorge ; Tan, Yong. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004992.

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2025How do environmental concerns and global economic conditions affect energy prices?. (2025). ben Jabeur, Sami ; Boubaker, Sabri ; Carmona, Pedro ; Stef, Nicolae. In: Energy Policy. RePEc:eee:enepol:v:204:y:2025:i:c:s0301421525001879.

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2024The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Hasanov, Akram ; Khajimuratov, Nizomjon Shukurullaevich ; Qizi, Madina Mansur ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062.

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2024Promotion or inhibition? Understanding the impact of public environmental concerns on energy transition in China. (2024). Sun, Qingyu ; Li, Chuandong ; Ma, Xiaowei. In: Energy. RePEc:eee:energy:v:313:y:2024:i:c:s0360544224035461.

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2025Does the energy transition affect return spillovers between multiple energy sources and Chinese industry indices? Network evidence of asymmetric dynamic spillovers. (2025). Wang, Shouyang ; Zhang, Zhe George ; Chai, Jian ; Kou, Honghong. In: Energy. RePEc:eee:energy:v:320:y:2025:i:c:s0360544225007546.

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2025The impact of corporate climate risk on carbon intensity: Evidence from China. (2025). Yan, Ying ; Lin, Tao ; Ma, Heng. In: Energy. RePEc:eee:energy:v:334:y:2025:i:c:s0360544225031743.

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2025Spotlighting energy sector through green transition attention. (2025). Cerqueti, Roy ; Stefanelli, Kevyn. In: Energy. RePEc:eee:energy:v:335:y:2025:i:c:s036054422503453x.

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2025Physical climate risk, fund holdings, and idiosyncratic risk. (2025). Sun, Shanghong ; Zhang, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002704.

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2025Sustainability arbitrage pricing of ESG derivatives. (2025). Kanamura, Takashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925002649.

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2025Carbon transition risk and stock market premium. (2025). Luo, Qin ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005459.

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2024Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Soski, Tomasz ; Kara, Marta ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024.

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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Qiu, Zhiguo ; Nakata, Keiichi. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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2024The impact of macroeconomic news sentiment on interest rates. (2024). Audrino, Francesco ; Offner, Eric A. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254.

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2024Do 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.

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2024Do Chinese carbon-intensive stocks overreact to climate transition risk? Evidence from the COP26 news. (2024). Ge, Xiaowen ; Cao, Ruiyi ; Xue, Minggao. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002667.

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2024Cross-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.

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2024Improved 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.

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2025Attention to biodiversity and stock returns. (2025). Kaabia, Olfa ; el Ouadghiri, Imane ; Hernandez, Celina Toscano ; Platania, Federico ; Peillex, Jonathan. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007877.

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2025Strategy choices in strategic risk-taking: Does climate risk matter?. (2025). Li, Wanli ; Cheng, Teng-Yuan ; Luo, Dan. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007932.

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2024Do 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.

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2024The 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.

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2025ESG performance and sustainability concerns exposure. (2025). Vu, Thanh Nam. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014636.

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2025Does flood risk affect the implied cost of equity capital?. (2025). Xiong, Deping ; Li, AN ; Cheng, Xianli ; Lai, Fujun. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014818.

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2025Predicting volatility in Chinas clean energy sector: Advantages of the carbon transition risk. (2025). Chen, Zhu ; Luo, Qin. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015630.

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2025Identification of systemic financial risks: The role of climate risks. (2025). Yang, Sitong ; Su, Hongyu ; Li, Shouwei ; Zhu, Wenqiang. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017562.

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2025Are brown stocks valuable to green stocks? Evidence from China. (2025). Shang, Yue ; Wei, YU ; Chen, Xiaodan ; Fu, Hai ; Zhu, Sha. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002478.

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2025Sustainable yet similar: Challenging the performance and risk assumptions of sustainable market indices. (2025). Klein, Christian ; Leifhelm, Mathis ; Scholz, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325002363.

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2025ESG and sustainable development: Evidence from DCC-GARCH R2 decomposed connectedness measures. (2025). Jlassi, Nabila Boukef ; Lahiani, Amine ; Mselmi, Nada ; Mefteh-Wali, Salma. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004854.

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2025The resilient power of CSR: Sustained risk reduction despite widespread ESG adoption. (2025). Ramos, Andrs ; Lumbreras, Sara ; Merladet, Jorge. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325005033.

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2025Climate change news sensitivity and expected stock returns: Evidence from China. (2025). Wang, Xinran ; Lu, Hengzhen. In: Finance Research Letters. RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325007561.

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2025Integrating climate change attention into enterprise digital transformation: A managerial perspective. (2025). Zhao, Lili ; Chen, Xiqun ; Fu, Chaoxia. In: Finance Research Letters. RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325007780.

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2024Value of climate change news: A textual analysis. (2024). Fretheim, Torun ; Allahdadi, Mohammad R ; Vindedal, Kjetil. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s1044028324001248.

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2025Real effects of media climate change concerns. (2025). Mahmoudian, Fereshteh ; Nazari, Jamal A ; Poursoleyman, Ehsan. In: Global Finance Journal. RePEc:eee:glofin:v:64:y:2025:i:c:s1044028324001418.

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2025The effects of physical and transition climate risk on stock markets: Some multi-Country evidence. (2025). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Colella, Ida ; Albanese, Marina. In: International Economics. RePEc:eee:inteco:v:181:y:2025:i:c:s2110701724000945.

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2025Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Caraiani, Petre ; Caporin, Massimiliano. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000460.

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2024Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness. (2024). Sila, Jan ; Kočenda, Evžen ; Kukacka, Jiri ; Kristoufek, Ladislav ; Kocenda, Evzen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001288.

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2024Forecasting 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.

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2024Market timing with moving average distance: International evidence. (2024). Kaplanski, Guy ; Abudy, Menachem ; Mugerman, Yevgeny. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001318.

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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Tomlinson, Matthew F ; Mucha-Kruczyski, Marcin ; Greenwood, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2025Social media-based attention and the cross-section of cryptocurrency returns. (2025). Weigert, Florian ; Pugachyov, Nikolay ; Matre, Arnaud T. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001384.

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More than 100 citations found, this list is not complete...

Works by David Ardia:

YearTitleTypeCited
2016Generalized Autoregressive Score Models in R: The GAS Package In: Papers.
[Full Text][Citation analysis]		paper13
2016Value-at-Risk Prediction in R with the GAS Package In: Papers.
[Full Text][Citation analysis]		paper4
2021A Century of Economic Policy Uncertainty Through the French-Canadian Lens In: Papers.
[Full Text][Citation analysis]		paper1
2021A 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: 1		article
2021Media abnormal tone, earnings announcements, and the stock market In: Papers.
[Full Text][Citation analysis]		paper2
2022Media 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: 2		article
2022Thirty Years of Academic Finance In: Papers.
[Full Text][Citation analysis]		paper0
2024Thirty years of academic finance.(2024) In: Journal of Economic Surveys.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2023How easy is it for investment managers to deploy their talent in green and brown stocks? In: Papers.
[Full Text][Citation analysis]		paper1
2022How easy is it for investment managers to deploy their talent in green and brown stocks?.(2022) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 1		article
2023Factor Exposure Heterogeneity in Green and Brown Stocks In: Papers.
[Full Text][Citation analysis]		paper4
2023Factor exposure heterogeneity in green and brown stocks.(2023) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2023The Role of Twitter in Cryptocurrency Pump-and-Dumps In: Papers.
[Full Text][Citation analysis]		paper0
2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior In: Papers.
[Full Text][Citation analysis]		paper0
2024Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions In: Papers.
[Full Text][Citation analysis]		paper0
2024High-Dimensional Mean-Variance Spanning Tests In: Papers.
[Full Text][Citation analysis]		paper0
2024Optimal Text-Based Time-Series Indices In: Papers.
[Full Text][Citation analysis]		paper0
2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article56
2018Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article1
2016Smart beta and CPPI performance In: Finance.
[Full Text][Citation analysis]		article1
2023Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified.(2024) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 0		article
2009Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations In: Econometrics Journal.
[Full Text][Citation analysis]		article32
2012A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article38
2010A 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
2016The 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]		article4
2012Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? In: Economics Letters.
[Full Text][Citation analysis]		article1
2014GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts In: Economics Letters.
[Full Text][Citation analysis]		article22
2013GARCH 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: 22		paper
2022Properties of the Margrabe Best-of-two strategy to tactical asset allocation In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2024Twitter and cryptocurrency pump-and-dumps In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article2
2015Testing equality of modified Sharpe ratios In: Finance Research Letters.
[Full Text][Citation analysis]		article18
2016Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models In: Finance Research Letters.
[Full Text][Citation analysis]		article15
2019Regime changes in Bitcoin GARCH volatility dynamics In: Finance Research Letters.
[Full Text][Citation analysis]		article139
2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting.
[Full Text][Citation analysis]		article58
2019Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values In: International Journal of Forecasting.
[Full Text][Citation analysis]		article55
2018The peer performance ratios of hedge funds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2024Efficient estimation of bid–ask spreads from open, high, low, and close prices In: Journal of Financial Economics.
[Full Text][Citation analysis]		article3
2008Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations In: DQE Working Papers.
[Citation analysis]		paper2
2007Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers In: DQE Working Papers.
[Full Text][Citation analysis]		paper0
2009Adaptive 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]		paper13
2009AdMit: Adaptive Mixtures of Student-t Distributions In: DQE Working Papers.
[Full Text][Citation analysis]		paper10
2016Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices In: Econometrics.
[Full Text][Citation analysis]		article4
2020Correction: 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.(2020) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2023Climate Change Concerns and the Performance of Green vs. Brown Stocks In: Management Science.
[Full Text][Citation analysis]		article63
2009Adaptive 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]		article12
2008Adaptive 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
2011DEoptim: An R Package for Global Optimization by Differential Evolution In: Journal of Statistical Software.
[Full Text][Citation analysis]		article87
2010DEoptim: An R Package for Global Optimization by Differential Evolution.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		paper
2013Fully Flexible Views in Multivariate Normal Markets In: Cahiers de recherche.
[Full Text][Citation analysis]		paper0
2013Worldwide equity Risk Prediction In: Cahiers de recherche.
[Full Text][Citation analysis]		paper1
2013Worldwide equity risk prediction.(2013) In: Applied Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2013Cross-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]		paper2
2013Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy In: Cahiers de recherche.
[Full Text][Citation analysis]		paper0
2013The Peer Performance of Hedge Funds In: Cahiers de recherche.
[Full Text][Citation analysis]		paper0
2014A 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]		paper0
2014A 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
2020Climate change concerns and the performance of green versus brown stocks In: Working Paper Research.
[Full Text][Citation analysis]		paper31
2021Climate 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: 31		paper
2011Generalized marginal risk In: Journal of Asset Management.
[Full Text][Citation analysis]		article0
2009Generalized Marginal Risk.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Linking Frequentist and Bayesian Change-Point Methods In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2024Linking Frequentist and Bayesian Change-Point Methods.(2024) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2009Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R In: MPRA Paper.
[Full Text][Citation analysis]		paper22
2002Tests darbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2010Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization In: MPRA Paper.
[Full Text][Citation analysis]		paper5
2010Efficient Bayesian estimation and combination of GARCH-type models In: MPRA Paper.
[Full Text][Citation analysis]		paper6
2010Efficient 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
2010Jump-Diffusion Calibration using Differential Evolution In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2011Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2011Stock 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
Fully flexible extreme views In: Journal of Risk.
[Full Text][Citation analysis]		article0
A new bootstrap test for multiple assets joint risk testing In: Journal of Risk.
[Full Text][Citation analysis]		article0
2017The impact of covariance misspecification in risk-based portfolios In: Annals of Operations Research.
[Full Text][Citation analysis]		article22
2008Financial Risk Management with Bayesian Estimation of GARCH Models In: Lecture Notes in Economics and Mathematical Systems.
[Citation analysis]		book43
2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation In: Quantitative Finance.
[Full Text][Citation analysis]		article5
2018Beyond 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: 5		paper
2009To 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]		paper7
2010Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2017The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models In: Journal of Forecasting.
[Full Text][Citation analysis]		article5

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team