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David Ardia

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First Name:David
Middle Name:
Last Name:Ardia
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RePEc Short-ID:par194
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  1. David Ardia & Kris Boudt & Leopoldo Catania, 2016. "Generalized Autoregressive Score Models in R: The GAS Package," Papers 1609.02354, arXiv.org.
  2. David Ardia & Lukasz Gatarek & Lennart F. hoogerheide, 2014. "A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis," Cahiers de recherche 1413, CIRPEE.
  3. David Ardia & Kris Boudt, 2013. "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche 1328, CIRPEE.
  4. David Ardia & Kris Boudt, 2013. "The Peer Performance of Hedge Funds," Cahiers de recherche 1329, CIRPEE.
  5. 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.
  6. Attilio Meucci & David Ardia & Simon Keel, 2013. "Fully Flexible Views in Multivariate Normal Markets," Cahiers de recherche 1311, CIRPEE.
  7. David Ardia & Lennart F. Hoogerheide, 2013. "Worldwide equity Risk Prediction," Cahiers de recherche 1312, CIRPEE.
  8. 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.
  9. 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.
  10. 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.
  11. David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010. "A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood," Tinbergen Institute Discussion Papers 10-059/4, Tinbergen Institute.
  12. 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.
  13. 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.
  14. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
  15. Keel, Simon & Ardia, David, 2009. "Generalized Marginal Risk," MPRA Paper 17258, University Library of Munich, Germany.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  1. David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 14, March.
  2. Ardia, David & Boudt, Kris & Wauters, Marjan, 2016. "The economic benefits of market timing the style allocation of characteristic-based portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 38-62.
  3. Trottier, Denis-Alexandre & Ardia, David, 2016. "Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models," Finance Research Letters, Elsevier, vol. 18(C), pages 311-316.
  4. Ardia, David & Boudt, Kris, 2015. "Testing equality of modified Sharpe ratios," Finance Research Letters, Elsevier, vol. 13(C), pages 97-104.
  5. Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
  6. David Ardia & Lennart F. Hoogerheide, 2013. "Worldwide equity risk prediction," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1333-1339, September.
  7. 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.
  8. 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.
  9. Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2011. "DEoptim: An R Package for Global Optimization by Differential Evolution," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 40(i06).
  10. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2009. "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, vol. 29(i03).
  11. 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.

    RePEc:gam:jecnmx:v:4:y:2016:i:1:p:14:d:65426 is not listed on IDEAS
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (7) 2007-04-28 2008-07-05 2009-03-22 2010-06-04 2010-11-06 2011-02-26 2014-03-22. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2007-04-28 2009-09-26 2010-06-04 2011-01-30 2013-06-04 2014-03-22 2015-04-25. Author is listed
  3. NEP-RMG: Risk Management (5) 2009-09-19 2013-06-04 2013-06-04 2014-03-22 2015-04-25. Author is listed
  4. NEP-ORE: Operations Research (4) 2009-03-22 2010-04-11 2010-04-24 2014-03-22
  5. NEP-FOR: Forecasting (3) 2007-04-28 2011-01-30 2013-06-04
  6. NEP-CMP: Computational Economics (2) 2010-04-11 2010-04-24
  7. NEP-EVO: Evolutionary Economics (2) 2010-04-11 2010-04-24
  8. NEP-FMK: Financial Markets (2) 2013-06-04 2013-09-26
  9. NEP-CFN: Corporate Finance (1) 2007-08-08
  10. NEP-EFF: Efficiency & Productivity (1) 2013-09-26
  11. NEP-IFN: International Finance (1) 2011-02-26
  12. NEP-MON: Monetary Economics (1) 2011-02-26

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