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Details about David Veredas

E-mail:
Homepage:http://www.vlerick.com
Postal address:Vlerick Business School Av. du Boulevard 21 1210, Brussels
Workplace:Vlerick Business School, (more information at EDIRC)

Access statistics for papers by David Veredas.

Last updated 2015-06-19. Update your information in the RePEc Author Service.

Short-id: pve30


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Working Papers

2016

  1. Short Selling in the Tails
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2014

  1. Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)

2013

  1. Inference for vast dimensional elliptical distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
  2. Latest developments in heavy-tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. On sample marginal quantiles for stationary processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article in Statistics & Probability Letters (2013)
  4. Quantitative Finance Group: Activity Report 2010-2012
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2012

  1. A model for vast panels of volatilities
    Working Papers, Banco de España Downloads View citations (15)
  2. A simple two-component model for the distribution of intraday returns
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    See also Journal Article in The European Journal of Finance (2012)
  3. Marginal quantiles for stationary processes
    Working Papers, Banco de España Downloads View citations (2)
  4. Optimal portfolios with end-of-period target
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. Quantifying and understanding dysfunctions in financial markets
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  6. Statistical Estimation of Portfolios for Dependent Financial Returns
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads
  7. TailCoR
    Working Papers, Banco de España Downloads
  8. Testing conditional asymmetry. A residual based approach
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2012)
  9. Which model to match?
    Working Papers, Banco de España Downloads View citations (1)

2011

  1. Estimation of stable distributions with indirect inference
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
  2. Market liquidity as dynamic factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
    See also Journal Article in Journal of Econometrics (2011)
  3. Rank-based testing in linear models with stable errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
  4. The impact of macroeconomic news on quote adjustments, noise and informational volatility
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (31)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) Downloads View citations (16)

    See also Journal Article in Journal of Banking & Finance (2011)

2010

  1. Aggregation of linear models for panel data
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2009) Downloads
  2. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (7)
  3. The method of simulated quantiles
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2009

  1. Does the open limit order book matter in explaining informational volatility?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2010)
  2. Indirect inference of elliptical fat tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  3. What pieces of LOB information are informative? An empirical analysis of a pure order driven market
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2008

  1. A Monthly Volatility Index for the US Economy
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. How relevant is infrastructure to growth in East Asia ?
    Policy Research Working Paper Series, The World Bank Downloads View citations (4)
  3. Temporal aggregation of univariate and multivariate time series models: A survey
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (53)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2008) View citations (48)
  4. Using intra annual information to forecast the annual state deficit. The case of France
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) Downloads View citations (4)

2007

  1. High frequency financial econometrics. Recent developments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (38)
  2. Indirect estimation of elliptical stable distributions
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2009)
  3. Macro Surprises and short-term behavior in bond futures
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) Downloads View citations (1)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2005)
  4. Seminonparametric models for financial durations
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2006

  1. Does the open limit order book matter in explaining long run volatility ?
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
  2. Estimation of stable distributions by indirect inference
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (2011)
  3. Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (6)

2005

  1. High frequency finance
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
  2. Temporal aggregation of univariate linear time series models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)

2004

  1. A comparison of financial duration models via density forecast
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (34)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) Downloads View citations (9)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (31)

    See also Journal Article in International Journal of Forecasting (2004)
  2. Testing weak exogeneity in the exponential family: an application to financial point processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
  3. The stochastic conditional duration model: a latent factor model for the analysis of financial durations
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (48)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (27)
  4. What pieces of limit order book information are informative ?
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (13)

2002

  1. On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)
    Also in Working Papers, Center for Research in Economics and Statistics (2001) Downloads View citations (2)
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2001) Downloads View citations (2)

Journal Articles

2013

  1. On sample marginal quantiles for stationary processes
    Statistics & Probability Letters, 2013, 83, (1), 28-36 Downloads View citations (1)
    See also Working Paper (2013)

2012

  1. A simple two-component model for the distribution of intraday returns
    The European Journal of Finance, 2012, 18, (9), 775-797 Downloads View citations (3)
    See also Working Paper (2012)
  2. Testing conditional asymmetry: A residual-based approach
    Journal of Economic Dynamics and Control, 2012, 36, (8), 1229-1247 Downloads View citations (6)
    See also Working Paper (2012)

2011

  1. Estimation of stable distributions by indirect inference
    Journal of Econometrics, 2011, 161, (2), 325-337 Downloads View citations (17)
    See also Working Paper (2006)
  2. Market liquidity as dynamic factors
    Journal of Econometrics, 2011, 163, (1), 42-50 Downloads View citations (11)
    See also Working Paper (2011)
  3. The impact of macroeconomic news on quote adjustments, noise, and informational volatility
    Journal of Banking & Finance, 2011, 35, (10), 2733-2746 Downloads View citations (16)
    See also Working Paper (2011)

2010

  1. Does the Open Limit Order Book Matter in Explaining Informational Volatility?
    Journal of Financial Econometrics, 2010, 8, (1), 57-87 Downloads View citations (14)
    See also Working Paper (2009)

2009

  1. Indirect estimation of elliptical stable distributions
    Computational Statistics & Data Analysis, 2009, 53, (6), 2309-2324 Downloads View citations (14)
    See also Working Paper (2007)
  2. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
    Quantitative Finance, 2009, 9, (5), 527-545 Downloads View citations (17)

2008

  1. Monitoring and forecasting annual public deficit every month: the case of France
    Empirical Economics, 2008, 34, (3), 493-524 Downloads View citations (20)

2006

  1. Editor’s introduction
    Empirical Economics, 2006, 30, (4), 791-794 Downloads View citations (1)
  2. Macroeconomic surprises and short-term behaviour in bond futures
    Empirical Economics, 2006, 30, (4), 843-866 Downloads View citations (10)

2004

  1. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 Downloads View citations (80)
    See also Working Paper (2004)
  2. The stochastic conditional duration model: a latent variable model for the analysis of financial durations
    Journal of Econometrics, 2004, 119, (2), 381-412 Downloads View citations (85)

Software Items

2012

  1. FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
 
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