Details about David Ardia

Access statistics for papers by David Ardia.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: par194

Working Papers

2024

1. High-Dimensional Mean-Variance Spanning Tests
   Papers, arXiv.org
2. Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions
   Papers, arXiv.org

2023

3. Factor Exposure Heterogeneity in Green and Brown Stocks
   Papers, arXiv.org
   See also Journal Article Factor exposure heterogeneity in green and brown stocks, Finance Research Letters, Elsevier (2023) (2023)
4. Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior
   Papers, arXiv.org
5. How easy is it for investment managers to deploy their talent in green and brown stocks?
   Papers, arXiv.org View citations (1)
   See also Journal Article How easy is it for investment managers to deploy their talent in green and brown stocks?, Finance Research Letters, Elsevier (2022) View citations (2) (2022)
6. Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Is it alpha or beta? Decomposing hedge fund returns when models are misspecified, Journal of Financial Economics, Elsevier (2024) (2024)
7. Linking Frequentist and Bayesian Change-Point Methods
   MPRA Paper, University Library of Munich, Germany
8. The Role of Twitter in Cryptocurrency Pump-and-Dumps
   Papers, arXiv.org

2022

9. Thirty Years of Academic Finance
   Papers, arXiv.org

2021

10. A Century of Economic Policy Uncertainty Through the French-Canadian Lens
    Papers, arXiv.org View citations (1)
    See also Journal Article A century of Economic Policy Uncertainty through the French–Canadian lens, Economics Letters, Elsevier (2021) (2021)
11. Climate change concerns and the performance of green versus brown stocks
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (7)
    Also in Working Paper Research, National Bank of Belgium (2020) View citations (15)
12. Media abnormal tone, earnings announcements, and the stock market
    Papers, arXiv.org View citations (1)
    See also Journal Article Media abnormal tone, earnings announcements, and the stock market, Journal of Financial Markets, Elsevier (2022) View citations (1) (2022)

2018

13. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
    See also Journal Article Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation, Quantitative Finance, Taylor & Francis Journals (2018) View citations (4) (2018)

2016

14. Generalized Autoregressive Score Models in R: The GAS Package
    Papers, arXiv.org View citations (10)
15. Value-at-Risk Prediction in R with the GAS Package
    Papers, arXiv.org View citations (4)

2014

16. 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
    Also in Cahiers de recherche, CIRPEE (2014)

2013

17. Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012
    Cahiers de recherche, CIRPEE View citations (2)
18. Fully Flexible Views in Multivariate Normal Markets
    Cahiers de recherche, CIRPEE
19. GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts, Economics Letters, Elsevier (2014) View citations (21) (2014)
20. Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
    Cahiers de recherche, CIRPEE View citations (1)
21. The Peer Performance of Hedge Funds
    Cahiers de recherche, CIRPEE
22. Worldwide equity Risk Prediction
    Cahiers de recherche, CIRPEE View citations (1)
    See also Journal Article Worldwide equity risk prediction, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (1) (2013)

2011

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

2010

24. A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood, Computational Statistics & Data Analysis, Elsevier (2012) View citations (40) (2012)
25. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
26. DEoptim: An R Package for Global Optimization by Differential Evolution
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article DEoptim: An R Package for Global Optimization by Differential Evolution, Journal of Statistical Software, Foundation for Open Access Statistics (2011) View citations (76) (2011)
27. Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
    MPRA Paper, University Library of Munich, Germany View citations (7)
28. Efficient Bayesian Estimation and Combination of GARCH-Type Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (10)
29. Jump-Diffusion Calibration using Differential Evolution
    MPRA Paper, University Library of Munich, Germany View citations (3)

2009

30. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R
    MPRA Paper, University Library of Munich, Germany View citations (25)
31. Generalized Marginal Risk
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Generalized marginal risk, Journal of Asset Management, Palgrave Macmillan (2011) (2011)
32. 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 (8)

2008

33. Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit, Journal of Statistical Software, Foundation for Open Access Statistics (2009) View citations (19) (2009)

2002

34. 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

2024

1. Is it alpha or beta? Decomposing hedge fund returns when models are misspecified
   Journal of Financial Economics, 2024, 154, (C)
   See also Working Paper Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified, Swiss Finance Institute Research Paper Series (2023) (2023)

2023

2. Climate Change Concerns and the Performance of Green vs. Brown Stocks
   Management Science, 2023, 69, (12), 7607-7632
3. Factor exposure heterogeneity in green and brown stocks
   Finance Research Letters, 2023, 55, (PA)
   See also Working Paper Factor Exposure Heterogeneity in Green and Brown Stocks, Papers (2023) (2023)

2022

4. How easy is it for investment managers to deploy their talent in green and brown stocks?
   Finance Research Letters, 2022, 48, (C) View citations (2)
   See also Working Paper How easy is it for investment managers to deploy their talent in green and brown stocks?, Papers (2023) View citations (1) (2023)
5. Media abnormal tone, earnings announcements, and the stock market
   Journal of Financial Markets, 2022, 61, (C) View citations (1)
   See also Working Paper Media abnormal tone, earnings announcements, and the stock market, Papers (2021) View citations (1) (2021)
6. Properties of the Margrabe Best-of-two strategy to tactical asset allocation
   International Review of Financial Analysis, 2022, 81, (C)

2021

7. A century of Economic Policy Uncertainty through the French–Canadian lens
   Economics Letters, 2021, 205, (C)
   See also Working Paper A Century of Economic Policy Uncertainty Through the French-Canadian Lens, Papers (2021) View citations (1) (2021)

2020

8. Correction: 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
   Econometrics, 2020, 8, (1), 1-1
9. ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS
   Journal of Economic Surveys, 2020, 34, (3), 512-547 View citations (46)

2019

10. Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values
    International Journal of Forecasting, 2019, 35, (4), 1370-1386 View citations (53)
11. Regime changes in Bitcoin GARCH volatility dynamics
    Finance Research Letters, 2019, 29, (C), 266-271 View citations (114)

2018

12. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
    Quantitative Finance, 2018, 18, (8), 1249-1259 View citations (4)
    See also Working Paper Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation, ULB Institutional Repository (2018) View citations (4) (2018)
13. Forecasting risk with Markov-switching GARCH models:A large-scale performance study
    International Journal of Forecasting, 2018, 34, (4), 733-747 View citations (53)
14. Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation
    Journal of Time Series Econometrics, 2018, 10, (2), 9 View citations (1)
15. The peer performance ratios of hedge funds
    Journal of Banking & Finance, 2018, 87, (C), 351-368 View citations (16)

2017

16. The impact of covariance misspecification in risk-based portfolios
    Annals of Operations Research, 2017, 254, (1), 1-16 View citations (21)
17. The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
    Journal of Forecasting, 2017, 36, (7), 808-823 View citations (6)

2016

18. Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models
    Finance Research Letters, 2016, 18, (C), 311-316 View citations (14)
19. 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 View citations (1)
20. Smart beta and CPPI performance
    Finance, 2016, 37, (3), 31-65 View citations (2)
21. 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 View citations (4)

2015

22. Testing equality of modified Sharpe ratios
    Finance Research Letters, 2015, 13, (C), 97-104 View citations (18)

2014

23. 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 View citations (21)
    See also Working Paper GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts, Tinbergen Institute Discussion Papers (2013) View citations (3) (2013)

2013

24. Worldwide equity risk prediction
    Applied Economics Letters, 2013, 20, (14), 1333-1339 View citations (1)
    See also Working Paper Worldwide equity Risk Prediction, Cahiers de recherche (2013) View citations (1) (2013)

2012

25. A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
    Computational Statistics & Data Analysis, 2012, 56, (11), 3398-3414 View citations (40)
    See also Working Paper A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood, Tinbergen Institute Discussion Papers (2010) View citations (3) (2010)
26. Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?
    Economics Letters, 2012, 116, (3), 322-325 View citations (3)

2011

27. DEoptim: An R Package for Global Optimization by Differential Evolution
    Journal of Statistical Software, 2011, 040, (i06) View citations (76)
    See also Working Paper DEoptim: An R Package for Global Optimization by Differential Evolution, MPRA Paper (2010) View citations (3) (2010)
28. Generalized marginal risk
    Journal of Asset Management, 2011, 12, (2), 123-131
    See also Working Paper Generalized Marginal Risk, MPRA Paper (2009) (2009)

2009

29. 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) View citations (19)
    See also Working Paper Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit, Tinbergen Institute Discussion Papers (2008) (2008)
30. Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
    Econometrics Journal, 2009, 12, (1), 105-126 View citations (32)

Books

2008

1. Financial Risk Management with Bayesian Estimation of GARCH Models
   Lecture Notes in Economics and Mathematical Systems, Springer View citations (53)