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Details about David Ardia

Workplace:Institut d'analyse financière (IAF) (Institute of financial analysis), Faculté des sciences économiques (FSE) (Faculty of Economics), Université de Neuchâtel (University of Neuchatel), (more information at EDIRC)
Département finance, assurance et immobilier (Department of Finance, Insurance and Real Estate), Faculté des sciences de l'administration (Faculty of Management), Université Laval (Laval University), (more information at EDIRC)

Access statistics for papers by David Ardia.

Last updated 2016-10-10. Update your information in the RePEc Author Service.

Short-id: par194


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Working Papers

2016

  1. Generalized Autoregressive Score Models in R: The GAS Package
    Papers, arXiv.org Downloads

2014

  1. A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Cahiers de recherche, CIRPEE (2014) Downloads

2013

  1. Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012
    Cahiers de recherche, CIRPEE Downloads
  2. Fully Flexible Views in Multivariate Normal Markets
    Cahiers de recherche, CIRPEE Downloads
  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 Downloads View citations (3)
    See also Journal Article in Economics Letters (2014)
  4. Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
    Cahiers de recherche, CIRPEE Downloads
  5. The Peer Performance of Hedge Funds
    Cahiers de recherche, CIRPEE Downloads
  6. Worldwide equity Risk Prediction
    Cahiers de recherche, CIRPEE Downloads
    See also Journal Article in Applied Economics Letters (2013)

2011

  1. Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads

2010

  1. A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  3. DEoptim: An R Package for Global Optimization by Differential Evolution
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Statistical Software (2011)
  4. Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  5. Efficient Bayesian Estimation and Combination of GARCH-Type Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (6)
  6. Jump-Diffusion Calibration using Differential Evolution
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2009

  1. AdMit: Adaptive Mixtures of Student-t Distributions
    DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland Downloads View citations (11)
  2. 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 Downloads View citations (15)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads

    See also Journal Article in Journal of Statistical Software (2009)
  3. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  4. Generalized Marginal Risk
    MPRA Paper, University Library of Munich, Germany Downloads
  5. 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 Downloads View citations (3)

2008

  1. 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 View citations (1)
    See also Journal Article in Econometrics Journal (2009)

2007

  1. 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 Downloads

2002

  1. 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 Downloads

Journal Articles

2016

  1. Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models
    Finance Research Letters, 2016, 18, (C), 311-316 Downloads
  2. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    Econometrics, 2016, 4, (1), 1-19 Downloads
  3. The economic benefits of market timing the style allocation of characteristic-based portfolios
    The North American Journal of Economics and Finance, 2016, 37, (C), 38-62 Downloads

2015

  1. Testing equality of modified Sharpe ratios
    Finance Research Letters, 2015, 13, (C), 97-104 Downloads

2014

  1. GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
    Economics Letters, 2014, 123, (2), 187-190 Downloads View citations (3)
    See also Working Paper (2013)

2013

  1. Worldwide equity risk prediction
    Applied Economics Letters, 2013, 20, (14), 1333-1339 Downloads
    See also Working Paper (2013)

2012

  1. A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
    Computational Statistics & Data Analysis, 2012, 56, (11), 3398-3414 Downloads View citations (28)
    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 Downloads View citations (3)

2011

  1. DEoptim: An R Package for Global Optimization by Differential Evolution
    Journal of Statistical Software, 2011, 040, (i06) Downloads View citations (12)
    See also Working Paper (2010)

2009

  1. Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit
    Journal of Statistical Software, 2009, 029, (i03) Downloads View citations (12)
    See also Working Paper (2009)
  2. Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
    Econometrics Journal, 2009, 12, (1), 105-126 Downloads View citations (16)
    See also Working Paper (2008)
 
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