13
H index
17
i10 index
842
Citations
David Veredas : Citation Profile
Vlerick Business School | RESEARCH PRODUCTION: 14 Articles 59 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 | 27 |
| Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 7 |
| Working Papers / Banco de España | 4 |
Recent works citing David Veredas (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper |
| 2024 | Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2024 | The test of investors behavioral bias through the price discovery process in cryptoasset exchange Transactional-level evidence from Thailand. (2024). Nakavachara, Voraprapa ; Amonthumniyom, Thitiphong ; Ratanabanchuen, Roongkiat ; Parinyavuttichai, Pongsathon ; Vinaibodee, Polpatt ; Saengchote, Kanis. In: Papers. RePEc:arx:papers:2406.02878. Full description at Econpapers || Download paper |
| 2025 | Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788. 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 |
| 2025 | Which Global Cycle? A Stochastic Factor Selection Approach for Global Macro-Financial Cycles. (2025). Sebastian, Hienzsch ; Tino, Berger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:541-559:n:1003. Full description at Econpapers || Download paper |
| 2025 | How have global pandemics destabilised the food market?. (2025). Cui, Jinhao ; Su, Chi-Wei ; Qin, Meng. In: Agricultural Economics. RePEc:caa:jnlage:v:71:y:2025:i:6:id:323-2023-agricecon. Full description at Econpapers || Download paper |
| 2024 | Time aggregation of mixed causal–noncausal models. (2024). Telg, Sean. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524005032. 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 |
| 2025 | Uncovering asset market participation from household consumption and income. (2025). Czellar, Veronika ; le Grand, Franois ; Garcia, Ren. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002124. Full description at Econpapers || Download paper |
| 2025 | Sparse simulation-based estimator built on quantiles. (2025). Petrella, Lea ; Bernardi, Mauro ; Stolfi, Paola. In: Econometrics and Statistics. RePEc:eee:ecosta:v:34:y:2025:i:c:p:32-43. Full description at Econpapers || Download paper |
| 2025 | Message traffic and short-term illiquidity in high-speed markets. (2025). Pascual, Roberto ; Yage, Jos ; Nawn, Samarpan ; Massot, Magdalena ; Abad, David. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014124001468. Full description at Econpapers || Download paper |
| 2025 | Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398. Full description at Econpapers || Download paper |
| 2024 | Forecast reconciliation: A review. (2024). Hyndman, Rob ; Kourentzes, Nikolaos ; Athanasopoulos, George ; Panagiotelis, Anastasios. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:430-456. Full description at Econpapers || Download paper |
| 2025 | Forecasting mail flow: A hierarchical approach for enhanced societal wellbeing. (2025). Babai, Zied M ; Klibi, Walid ; Kafa, Nadine. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:51-65. Full description at Econpapers || Download paper |
| 2025 | A stochastic model for predicting the response time of green vs brown stocks to climate change news risk. (2025). Fahmy, Hany. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s037842662500127x. Full description at Econpapers || Download paper |
| 2024 | Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514. Full description at Econpapers || Download paper |
| 2025 | Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification. (2025). Peters, Gareth W ; Koukorinis, Andreas ; Germano, Guido. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10148-8. Full description at Econpapers || Download paper |
| 2024 | Estimation of stability index for symmetric $$\alpha $$ α -stable distribution using quantile conditional variance ratios. (2024). Wyomaska, Agnieszka ; Pitera, Marcin ; Jelito, Damian ; Pczek, Kewin. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:1:d:10.1007_s11749-023-00894-7. Full description at Econpapers || Download paper |
| 2024 | Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data. (2024). Pretorius, Charl ; Nolan, John P ; Meintanis, Simos G. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:2:d:10.1007_s11749-023-00909-3. Full description at Econpapers || Download paper |
| 2024 | Don€™t Ruin the Surprise: Temporal Aggregation Bias in Structural Innovations. (2024). Snudden, Stephen. In: LCERPA Working Papers. RePEc:wlu:lcerpa:jc0149. Full description at Econpapers || Download paper |
| 2025 | Exact Mixed-Frequency Data Sampling (eMIDAS). (2025). Quinlan, Stephen Snudden. In: LCERPA Working Papers. RePEc:wlu:lcerpa:jc0157. 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 | 84 |
| 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: 84 | 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 | 140 |
| 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: 140 | 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 | 30 |
| 2011 | Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2007 | Indirect estimation of elliptical stable distributions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 17 |
| 2009 | Indirect estimation of elliptical stable distributions.(2009) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | 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 | 21 |
| 2011 | Market liquidity as dynamic factors.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | 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 | 43 |
| 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: 43 | 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: 43 | 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: 43 | paper | |
| 2010 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | 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 | 136 |
| 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 | 17 |
| 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: 17 | 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 | 24 |
| 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 | |
| 2016 | A simple two-component model for the distribution of intraday returns.(2016) 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 | 12 |
| 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 | 8 |
| 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team