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David Ardia

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Personal Details

First Name:David
Middle Name:
Last Name:Ardia
Suffix:
RePEc Short-ID:par194
Email:[This author has chosen not to make the email address public]
Homepage:http://perso.unifr.ch/david.ardia/
Postal Address:David Ardia Professeur adjoint Université Laval Département de finance, assurance et immobilier Faculté des sciences de l'administration Pavillon Palasis-Prince, local 3634 2325, rue de la Terrasse Québec, QC, G1V 0A6, Canada
Phone:
Location: Montréal/Québec, Canada
Homepage: http://www.cirpee.org/
Email:
Phone: (514) 987-8161
Fax:
Postal: CP 8888, succursale Centre-Ville, Montréal, QC H3C 3P8
Handle: RePEc:edi:cirpeca (more details at EDIRC)
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  1. 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.
  2. David Ardia & Kris Boudt, 2013. "The Peer Performance of Hedge Funds," Cahiers de recherche 1329, 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 & Lennart F. Hoogerheide, 2013. "Worldwide equity Risk Prediction," Cahiers de recherche 1312, 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. 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.
  7. Attilio Meucci & David Ardia & Simon Keel, 2013. "Fully Flexible Views in Multivariate Normal Markets," Cahiers de recherche 1311, CIRPEE.
  8. 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.
  9. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
  10. 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.
  11. 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.
  12. 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.
  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. Keel, Simon & Ardia, David, 2009. "Generalized Marginal Risk," MPRA Paper 17258, University Library of Munich, Germany.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. David, Ardia, 2006. "Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations," MPRA Paper 12985, University Library of Munich, Germany.
  23. Ardia, David, 2003. "Fear Trading," MPRA Paper 12983, University Library of Munich, Germany.
  24. Ardia, David, 2003. "Analysis of dependencies in low frequency financial data sets," MPRA Paper 12682, University Library of Munich, Germany.
  25. 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. Ardia, David & Boudt, Kris, 2015. "Testing equality of modified Sharpe ratios," Finance Research Letters, Elsevier, vol. 13(C), pages 97-104.
  2. 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.
  3. David Ardia & Lennart F. Hoogerheide, 2013. "Worldwide equity risk prediction," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1333-1339, September.
  4. 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.
  5. 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.
  6. 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.
  7. 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).
  8. 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).
16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2007-08-08
  2. NEP-CMP: Computational Economics (2) 2010-04-11 2010-04-24
  3. NEP-ECM: Econometrics (4) 2007-04-28 2010-06-04 2010-11-06 2014-03-22. Author is listed
  4. NEP-EFF: Efficiency & Productivity (1) 2013-09-26
  5. 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
  6. NEP-EVO: Evolutionary Economics (2) 2010-04-11 2010-04-24
  7. NEP-FMK: Financial Markets (2) 2013-06-04 2013-09-26
  8. NEP-FOR: Forecasting (3) 2007-04-28 2011-01-30 2013-06-04
  9. NEP-ORE: Operations Research (3) 2010-04-11 2010-04-24 2014-03-22
  10. NEP-RMG: Risk Management (5) 2009-09-19 2013-06-04 2013-06-04 2014-03-22 2015-04-25. Author is listed

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