Information about:
David Ardia

Other registered authors

Email:
Homepage: http://perso.unifr.ch/david.ardia/
Postal Address: Dept. of Quantitative Economics Bd. de Perolles 90 CH 1700 FRIBOURG
Phone:

Affiliation

• Departement für Quantitative Wirtschaftsforschung (Department of Quantitative Economics)
  Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät (Faculty of Economics and Social Sciences)
  Université de Fribourg - Universität Freiburg (University of Fribourg)

  Location: Fribourg/Freiburg, Switzerland
  Homepage: http://www.unifr.ch/dqe/
  Email:
  Phone: +41 26 300 8272
  Fax: +41 26 300 9781
  Postal: Bd de Pérolles 90, CH-1700 Fribourg
  Handle: RePEc:edi:dqefrch (registered authors at this institution)

Working papers

1. Keel, Simon & Ardia, David, 2009. "Generalized Marginal Risk," MPRA Paper 17258, University Library of Munich, Germany. [Downloadable!]

2. 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. [Downloadable!]

3. 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. [Downloadable!]

4. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 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. [Downloadable!]

5. Ardia, D. & Hoogerheide, L.F. & Dijk, H.K. van, 2008. "The AdMit Package," Econometric Institute Report EI 2008-17 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

6. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 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. [Downloadable!]
   Published as:
   • Herman K. van Dijk & Lennart F. Hoogerheide & David Ardia, 2009. "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(03), 01. [Downloadable!]

7. 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. [Downloadable!]

8. David Ardia, 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. [Downloadable!]

9. David Ardia, 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. [Downloadable!]

10. David, Ardia, 2006. "Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations," MPRA Paper 12985, University Library of Munich, Germany. [Downloadable!]

11. Ardia, David, 2003. "Analysis of dependencies in low frequency financial data sets," MPRA Paper 12682, University Library of Munich, Germany. [Downloadable!]

12. Ardia, David, 2003. "Fear Trading," MPRA Paper 12983, University Library of Munich, Germany. [Downloadable!]

13. 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. [Downloadable!]

1. 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. [Downloadable!] (restricted)

2. Herman K. van Dijk & Lennart F. Hoogerheide & David Ardia, 2009. "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(03), 01. [Downloadable!]
   Other versions:
   • David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 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. [Downloadable!]

1. NEP-CFN: Corporate Finance (1) 2007-08-08
2. NEP-ECM: Econometrics (3) 2007-04-28 2008-07-05 2009-03-22 Author is listed
3. NEP-ETS: Econometric Time Series (2) 2007-04-28 2009-09-26
4. NEP-FOR: Forecasting (1) 2007-04-28
5. NEP-ORE: Operations Research (1) 2009-03-22
6. NEP-PKE: Post Keynesian Economics (1) 2009-09-26
7. NEP-RMG: Risk Management (1) 2009-09-19

This page was last updated on 2009-12-5.