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Publications

by members of

Faculté des sciences de l'administration
Université Laval
Québec, Canada

(Faculty of Management, Laval University))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2013

  1. David Ardia & Lennart Hoogerheide, 2013. "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers 13-047/III, Tinbergen Institute.
  2. Attilio Meucci & David Ardia & Simon Keel, 2013. "Fully Flexible Views in Multivariate Normal Markets," Cahiers de recherche 1311, CIRPEE.
  3. David Ardia & Lennart F. Hoogerheide, 2013. "Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012," Cahiers de recherche 1313, CIRPEE.
  4. David Ardia & Lennart F. Hoogerheide, 2013. "Worldwide equity Risk Prediction," Cahiers de recherche 1312, CIRPEE.
  5. David Ardia & Kris Boudt, 2013. "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche 1328, CIRPEE.
  6. David Ardia & Kris Boudt, 2013. "The Peer Performance of Hedge Funds," Cahiers de recherche 1329, CIRPEE.

2011

  1. Ardia, David & Lennart, Hoogerheide & Nienke, Corré, 2011. "Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?," MPRA Paper 28259, University Library of Munich, Germany.

2010

  1. Wongsasutthikul, Paitoon & Turvey, Calum G. & Power, Gabriel J., 2010. "Type I and Type II Errors in the Unit Root Determination of a Fractional Brownian Motion," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 60984, Agricultural and Applied Economics Association.
  2. Karali, Berna & Power, Gabriel J., 2010. "Is commodity price volatility persistent? Another look using improved, full-sample estimates," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61826, Agricultural and Applied Economics Association.
  3. Kropp, Jaclyn D. & Power, Gabriel J., 2010. "Estimation of a Backward-Bending Investment Demand Function for Agribusiness Firms," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61293, Agricultural and Applied Economics Association.
  4. Vedenov, Dmitry V. & Power, Gabriel J., 2010. "Do Elevators Need a Bigger Umbrella? The Economic Value to Agribusiness Firms of Improved Multi-Commodity Risk Management," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 62006, Agricultural and Applied Economics Association.
  5. Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian, 2010. "Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization," MPRA Paper 22135, University Library of Munich, Germany.
  6. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
  7. David Ardia & Lennart F. Hoogerheide, 2010. "Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations," Tinbergen Institute Discussion Papers 10-045/4, Tinbergen Institute.
  8. David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010. "A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods," Tinbergen Institute Discussion Papers 10-059/4, Tinbergen Institute.
  9. Ardia, David & Ospina, Juan & Giraldo, Giraldo, 2010. "Jump-Diffusion Calibration using Differential Evolution," MPRA Paper 26184, University Library of Munich, Germany, revised 25 Oct 2010.

2009

  1. Ahmedov, Zafarbek & Power, Gabriel J. & Vedenov, Dmitry V. & Fuller, Stephen W. & McCarl, Bruce A. & Vadali, Sharada, 2009. "A Spatial Equilibrium Model of the Impact of Bio-Fuels Energy Policy on Grain Transportation Flows," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49837, Agricultural and Applied Economics Association.
  2. Mkrtchyan, Vardan & Welch, J. Mark & Power, Gabriel J., 2009. "Predicting the Corn Basis in the Texas Triangle Area," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46759, Southern Agricultural Economics Association.
  3. Power, Gabriel J. & Vedenov, Dmitry V., 2009. "The Price Shock Transmission during the 2007-2008 Commodity Bull Cycle: A Structural Vector Auto-Regression Approach to the "Chicken-or-Egg" Problem," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49538, Agricultural and Applied Economics Association.
  4. Hong, Sung Wook & Power, Gabriel J. & Vedenov, Dmitry V., 2009. "The Impact of the Average Crop Revenue Election (ACRE) Program on the Effectiveness of Crop Insurance," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46755, Southern Agricultural Economics Association.
  5. Power, Gabriel J. & Thomsen, Michael R. & McKenzie, Andrew M. & Vedenov, Dmitry V., 2009. "The Effect of Food Scares on Risk Aversion: Implied Estimates from BSE Shocks on Cattle Futures Options (PowerPoint)," SCC-76 Meeting, March 19-21, 2009, Galveston, Texas 48905, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
  6. Thomsen, Michael R. & McKenzie, Andrew M. & Power, Gabriel J., 2009. "Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49354, Agricultural and Applied Economics Association.
  7. Karali, Berna & Power, Gabriel J., 2009. "What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49576, Agricultural and Applied Economics Association.
  8. Power, Gabriel J. & Robinson, John R.C., 2009. "Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53044, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  9. David Ardia & Lennart Hoogerheide & Herman K. van Dijk, 2009. "To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods," Tinbergen Institute Discussion Papers 09-017/4, Tinbergen Institute.
  10. Keel, Simon & Ardia, David, 2009. "Generalized Marginal Risk," MPRA Paper 17258, University Library of Munich, Germany.
  11. Ardia, David, 2009. "Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R," MPRA Paper 17414, University Library of Munich, Germany.
  12. Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2009. "DEoptim: An R Package for Global Optimization by Differential Evolution," MPRA Paper 21743, University Library of Munich, Germany, revised 26 Dec 2010.

2008

  1. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  2. Power, Gabriel J. & Turvey, Calum G., 2008. "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37608, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  3. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2008. "Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit," DQE Working Papers 9, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 07 Jan 2009.
  4. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2008. "AdMit: Adaptive Mixtures of Student-t Distributions," DQE Working Papers 10, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 07 Jan 2009.
  5. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 2008. "Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation," Tinbergen Institute Discussion Papers 08-062/4, Tinbergen Institute, revised 15 Dec 2008.

2007

  1. Power, Gabriel J. & Turvey, Calum G., 2007. "Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9782, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  2. Ardia, David, 2007. "Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations," DQE Working Papers 6, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 08 Jul 2008.
  3. Ardia, David, 2007. "Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers," DQE Working Papers 8, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland.

2006

  1. Turvey, Calum G. & Power, Gabriel J., 2006. "The Confidence Limits of a Geometric Brownian Motion," 2006 Annual meeting, July 23-26, Long Beach, CA 21239, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  2. Power, Gabriel J. & Turvey, Calum G., 2006. "Farmland price bubbles: wavelet-based evidence," Proceedings: 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006; Washington, DC 133088, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  3. David, Ardia, 2006. "Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations," MPRA Paper 12985, University Library of Munich, Germany.

2003

  1. Ardia, David, 2003. "Analysis of dependencies in low frequency financial data sets," MPRA Paper 12682, University Library of Munich, Germany.
  2. Ardia, David, 2003. "Fear Trading," MPRA Paper 12983, University Library of Munich, Germany.

2002

  1. Ardia, David, 2002. "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 17415, University Library of Munich, Germany.

Journal articles

Undated material is listed at the end

2013

  1. David Ardia & Lennart F. Hoogerheide, 2013. "Worldwide equity risk prediction," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1333-1339, September.
  2. Muhammad Mohiuddin & Rumana Parveen & Masud Ibn Rahman & Mohammad Nurul Huda Mazumder, 2013. "Entrepreneurial Motivation and Social Enterprises: An Empirical Analysis on Founders of Social Ventures in Bangladesh," Transnational Corporations Review, Ottawa United Learning Academy, vol. 5(2), pages 77-92, June.
  3. Somaye Gharibvand & Mohammad Nurul Huda Mazumder & Muhammad Mohiuddin & Zhan Su, 2013. "Leadership Style and Employee Job Satisfaction: Evidence from Malaysian Semiconductor Industry," Transnational Corporations Review, Ottawa United Learning Academy, vol. 5(2), pages 93-103, June.

2012

  1. Gabriel J. Power & Victoria Salin & John L. Park, 2012. "Strategic options associated with cooperative members' equity," Agricultural Finance Review, Emerald Group Publishing, vol. 72(1), pages 48-67, March.
  2. Hoogerheide, Lennart F. & Ardia, David & Corré, Nienke, 2012. "Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?," Economics Letters, Elsevier, vol. 116(3), pages 322-325.
  3. Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012. "A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3398-3414.

2011

  1. Gabriel Power & Calum Turvey, 2011. "Revealing the impact of index traders on commodity futures markets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(7), pages 621-626.
  2. G. J. Power & C. Turvey, 2011. "What explains long memory in futures price volatility?," Applied Economics, Taylor & Francis Journals, vol. 43(24), pages 3395-3404.
  3. Berna Karali & Gabriel J. Power & Ariun Ishdorj, 2011. "Bayesian State-Space Estimation of Stochastic Volatility for Storable Commodities," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 93(2), pages 434-440.
  4. Joshua D. Woodard & Nicholas D. Paulson & Dmitry Vedenov & Gabriel J. Power, 2011. "Impact of copula choice on the modeling of crop yield basis risk," Agricultural Economics, International Association of Agricultural Economists, vol. 42, pages 101-112, November.

2010

  1. Gabriel Power & Calum Turvey, 2010. "US rural land value bubbles," Applied Economics Letters, Taylor & Francis Journals, vol. 17(7), pages 649-656.
  2. Power, Gabriel J. & Turvey, Calum G., 2010. "Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 79-90.

2009

  1. Gabriel J. Power & Dmitry V. Vedenov & Sung-wook Hong, 2009. "The impact of the average crop revenue election (ACRE) program on the effectiveness of crop insurance," Agricultural Finance Review, Emerald Group Publishing, vol. 69(3), pages 330-345, November.
  2. Welch, J. Mark & Mkrtchyan, Vardan & Power, Gabriel J., 2009. "Predicting the Corn Basis in the Texas Triangle Area," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 27.
  3. David Ardia, 2009. "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 105-126, 03.

2008

  1. Vedenov, Dmitry V. & Power, Gabriel J., 2008. "Risk-Reducing Effectiveness of Revenue versus Yield Insurance in the Presence of Government Payments," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 40(02), August.
  2. Yanhong H. Jin & Gabriel J. Power & Levan Elbakidze, 2008. "The Impact of North American BSE Events on Live Cattle Futures Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(5), pages 1279-1286.

2005

  1. Hachimi Sanni Yaya, 2005. "From state to market: the impact of privatization on the performance of State-owned enterprises - a multiple case study in Benin," Perspective Afrique, Association Africaine pour les Sciences sociales, vol. 1(1), pages 59-89.

Undated

  1. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, . "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, American Statistical Association, vol. 29(i03).
  2. Katharine M. Mullen & David Ardia & David L. Gil & Donald Windover & James Cline, . "DEoptim: An R Package for Global Optimization by Differential Evolution," Journal of Statistical Software, American Statistical Association, vol. 40(i06).
  3. Marian Matei & Muhammad Mohiuddin, . "ÉTUDE QUALITATIVE SUR LES DIMENSIONS DU CONCEPT DE CENTRE DE L’EXCELLENCE DE LA FILIALE À L’ÉTRANGER - Une analyse du contenu de la littérature scientifique par Nvivo," Global Journal of Strategies & Governance, Global Journal of Strategies & Governance, vol. 1(2), pages 73-90.
  4. Md. Samim Al-Azad & Muhammad Mohiuddin & Md. Mamunur Rashid, . "KNOWLEDGE TRANSFER IN OFFSHORE OUTSOURCING AND INTERNATIONAL JOINT VENTURES (IJVS) - A Critical Literature Review from Cross-Cultural Context," Global Journal of Strategies & Governance, Global Journal of Strategies & Governance, vol. 1(1), pages 41-67.