Details about David Ardia

Access statistics for papers by David Ardia.

Last updated 2013-06-15. Update your information in the RePEc Author Service.

Short-id: par194

Working Papers

2013

1. Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012
   Cahiers de recherche, CIRPEE
2. Fully Flexible Views in Multivariate Normal Markets
   Cahiers de recherche, CIRPEE
3. GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
   Tinbergen Institute Discussion Papers, Tinbergen Institute
4. Worldwide equity Risk Prediction
   Cahiers de recherche, CIRPEE

2011

5. Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?
   MPRA Paper, University Library of Munich, Germany

2010

6. A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
   See also Journal Article in Computational Statistics & Data Analysis (2012)
7. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
8. DEoptim: An R Package for Global Optimization by Differential Evolution
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article in Journal of Statistical Software (2011)
9. Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
   MPRA Paper, University Library of Munich, Germany View citations (3)
10. Efficient Bayesian Estimation and Combination of GARCH-Type Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (2)
11. Jump-Diffusion Calibration using Differential Evolution
    MPRA Paper, University Library of Munich, Germany View citations (1)

2009

12. AdMit: Adaptive Mixtures of Student-t Distributions
    DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland View citations (10)
13. Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit
    DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland View citations (6)
    See also Journal Article in Journal of Statistical Software (2009)
14. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R
    MPRA Paper, University Library of Munich, Germany View citations (1)
15. Generalized Marginal Risk
    MPRA Paper, University Library of Munich, Germany
16. To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2008

17. Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
18. Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations
    DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland
    See also Journal Article in Econometrics Journal (2009)
19. The AdMit Package
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations (1)

2007

20. Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers
    DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland

2006

21. Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations
    MPRA Paper, University Library of Munich, Germany

2003

22. Analysis of dependencies in low frequency financial data sets
    MPRA Paper, University Library of Munich, Germany
23. Fear Trading
    MPRA Paper, University Library of Munich, Germany

2002

24. Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence
    (Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data)
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2012

1. A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
   Computational Statistics & Data Analysis, 2012, 56, (11), 3398-3414 View citations (1)
   See also Working Paper (2010)
2. Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?
   Economics Letters, 2012, 116, (3), 322-325 View citations (1)

2011

3. DEoptim: An R Package for Global Optimization by Differential Evolution
   Journal of Statistical Software, 40, (i06) View citations (1)
   See also Working Paper (2010)

2009

4. Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit
   Journal of Statistical Software, 29, (i03) View citations (4)
   See also Working Paper (2009)
5. Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
   Econometrics Journal, 2009, 12, (1), 105-126 View citations (4)
   See also Working Paper (2008)