13
H index
17
i10 index
816
Citations
David Veredas : Citation Profile
Vlerick Business School | RESEARCH PRODUCTION: 14 Articles 58 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (1999 - 2016). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with David Veredas. | Is cited by:
| Cites to:
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Main data
Where David Veredas has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 3 |
| Empirical Economics | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| ULB Institutional Repository / ULB -- Universite Libre de Bruxelles | 26 |
| Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 7 |
| Working Papers / Banco de España | 4 |
Recent works citing David Veredas (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | 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 |
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2024 | Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24. Full description at Econpapers || Download paper |
| 2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper |
| 2023 | Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201. Full description at Econpapers || Download paper |
| 2023 | Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499. Full description at Econpapers || Download paper |
| 2024 | Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482. Full description at Econpapers || Download paper |
| 2024 | Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512. Full description at Econpapers || Download paper |
| 2024 | Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593. Full description at Econpapers || Download paper |
| 2023 | Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774. 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 |
| 2024 | Forecast reconciliation: A review. (2024). Panagiotelis, Anastasios ; Kourentzes, Nikolaos ; Hyndman, Rob J ; Athanasopoulos, George. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:430-456. Full description at Econpapers || Download paper |
| 2023 | Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Could Cryptocurrency Policy Uncertainty Facilitate U.S. Carbon Neutrality?. (2023). Zhang, Weike ; Chang, Hsu-Ling ; Song, Yuru ; Su, Chi-Wei ; Qin, Meng. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7479-:d:1138222. Full description at Econpapers || Download paper |
| 2023 | A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. 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 | Fiscal targets. A guide to forecasters?. (2023). Pérez, Javier ; Perez Quiros, Gabriel ; Paredes, Joan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:472-492. Full description at Econpapers || Download paper |
Works by David Veredas:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 78 |
| 2008 | Temporal aggregation of univariate and multivariate time series models: a survey.(2008) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 78 | 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 | 135 |
| 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 nother version. Agregated cites: 135 | paper | |
| 2000 | A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 114 |
| 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 nother version. Agregated cites: 114 | paper | |
| 2004 | A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | article | |
| 2004 | A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 114 | 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 | 20 |
| 2011 | Market liquidity as dynamic factors.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | 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 nother 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 nother version. Agregated cites: 40 | article | |
| 2011 | The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository. [Citation analysis] This paper has nother 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 nother version. Agregated cites: 40 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother 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 nother 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 | 133 |
| 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 nother 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 | The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2009 | Does the open limit order book matter in explaining informational volatility?.(2009) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 16 | 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 | 23 |
| 2012 | A simple two-component model for the distribution of intraday returns In: The European Journal of Finance. [Full Text][Citation analysis] | article | 6 |
| 2012 | A simple two-component model for the distribution of intraday returns.(2012) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 6 | 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 | 19 |
| 2011 | Estimation of stable distributions with indirect inference In: ULB Institutional Repository. [Citation analysis] | paper | 10 |
| 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 | 1 |
| 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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