# David Ardia

### Contents:

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## Personal Details

Neuchâtel, Switzerland

http://www2.unine.ch/iaf

: +41 32 718 1350

+41 32 718 1401

Pierre-à-Mazel 7, CH-2000 Neuchâtel

RePEc:edi:iafnech (more details at EDIRC)

http://www2.unine.ch/iaf

: +41 32 718 1350

+41 32 718 1401

Pierre-à-Mazel 7, CH-2000 Neuchâtel

RePEc:edi:iafnech (more details at EDIRC)

Québec, Canada

http://www5.fsa.ulaval.ca/sgc/faculte/departementsecole/financeassurance/cache/bypass

: (418) 656-2180

(418)656-2624

(418) 656-2180

RePEc:edi:dflavca (more details at EDIRC)

http://www5.fsa.ulaval.ca/sgc/faculte/departementsecole/financeassurance/cache/bypass

: (418) 656-2180

(418)656-2624

(418) 656-2180

RePEc:edi:dflavca (more details at EDIRC)

- David Ardia & Kris Boudt & Leopoldo Catania, 2016.
"
**Generalized Autoregressive Score Models in R: The GAS Package**," Papers 1609.02354, arXiv.org. - 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.- David Ardia & Lukasz Gatarek & Lennart F. Hoogerheide, 2014.
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**A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis**," Tinbergen Institute Discussion Papers 14-028/III, Tinbergen Institute.

- David Ardia & Lukasz Gatarek & Lennart F. Hoogerheide, 2014.
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- Attilio Meucci & David Ardia & Simon Keel, 2013.
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**Fully Flexible Views in Multivariate Normal Markets**," Cahiers de recherche 1311, CIRPEE. - David Ardia & Lennart Hoogerheide, 2013.
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**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.- 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.

- Ardia, David & Hoogerheide, Lennart F., 2014.
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- David Ardia & Kris Boudt, 2013.
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**Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy**," Cahiers de recherche 1328, CIRPEE. - David Ardia & Lennart F. Hoogerheide, 2013.
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**Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012**," Cahiers de recherche 1313, CIRPEE. - David Ardia & Kris Boudt, 2013.
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**The Peer Performance of Hedge Funds**," Cahiers de recherche 1329, CIRPEE. - David Ardia & Lennart F. Hoogerheide, 2013.
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**Worldwide equity Risk Prediction**," Cahiers de recherche 1312, CIRPEE.- David Ardia & Lennart F. Hoogerheide, 2013.
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**Worldwide equity risk prediction**," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1333-1339, September.

- David Ardia & Lennart F. Hoogerheide, 2013.
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- Ardia, David & Lennart, Hoogerheide & Nienke, Corré, 2011.
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**Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?**," MPRA Paper 28259, University Library of Munich, Germany.- Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011.
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**Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?**," Tinbergen Institute Discussion Papers 11-020/4, Tinbergen Institute.

- Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011.
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- Ardia, David & Ospina, Juan & Giraldo, Giraldo, 2010.
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**Jump-Diffusion Calibration using Differential Evolution**," MPRA Paper 26184, University Library of Munich, Germany, revised 25 Oct 2010. - Ardia, David & Hoogerheide, Lennart F., 2010.
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**Efficient Bayesian estimation and combination of GARCH-type models**," MPRA Paper 22919, University Library of Munich, Germany.- David Ardia & Lennart F. Hoogerheide, 2010.
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**Efficient Bayesian Estimation and Combination of GARCH-Type Models**," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.

- David Ardia & Lennart F. Hoogerheide, 2010.
"
- Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian, 2010.
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**Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization**," MPRA Paper 22135, University Library of Munich, Germany. - 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.- 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.

- Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012.
"
- 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. - Keel, Simon & Ardia, David, 2009.
"
**Generalized Marginal Risk**," MPRA Paper 17258, University Library of Munich, Germany. - 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.- 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).

- Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2011.
"
- 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. - 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. - 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.- 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).

- 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**," Tinbergen Institute Discussion Papers 08-062/4, Tinbergen Institute, revised 15 Dec 2008.

- Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2009.
"
- 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. - 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. - 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.- 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.

- David Ardia, 2009.
"
- Ardia, David, 2002.
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**Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence**," MPRA Paper 17415, University Library of Munich, Germany.

[Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data]

- 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.- Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014.
"
**Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices**," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.

- Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014.
"
- Trottier, Denis-Alexandre & Ardia, David, 2016.
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**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. - Ardia, David & Boudt, Kris & Wauters, Marjan, 2016.
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**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. - Ardia, David & Boudt, Kris, 2015.
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**Testing equality of modified Sharpe ratios**," Finance Research Letters, Elsevier, vol. 13(C), pages 97-104. - 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.- 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.

- David Ardia & Lennart Hoogerheide, 2013.
"
- David Ardia & Lennart F. Hoogerheide, 2013.
"
**Worldwide equity risk prediction**," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1333-1339, September.- David Ardia & Lennart F. Hoogerheide, 2013.
"
**Worldwide equity Risk Prediction**," Cahiers de recherche 1312, CIRPEE.

- David Ardia & Lennart F. Hoogerheide, 2013.
"
- 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. - 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.- 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.

- David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010.
"
- 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).- 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.

- Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2009.
"
- 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).- 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**," Tinbergen Institute Discussion Papers 08-062/4, Tinbergen Institute, revised 15 Dec 2008. - 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.

- David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 2008.
"
- 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.- 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.

RePEc:gam:jecnmx:v:4:y:2016:i:1:p:14:d:65426 is not listed on IDEAS - Ardia, David, 2007.
"

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.

- 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 - 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 - NEP-RMG:
**Risk Management**(5) 2009-09-19 2013-06-04 2013-06-04 2014-03-22 2015-04-25. Author is listed - NEP-ORE: Operations Research (4) 2009-03-22 2010-04-11 2010-04-24 2014-03-22
- NEP-FOR: Forecasting (3) 2007-04-28 2011-01-30 2013-06-04
- NEP-CMP: Computational Economics (2) 2010-04-11 2010-04-24
- NEP-EVO: Evolutionary Economics (2) 2010-04-11 2010-04-24
- NEP-FMK: Financial Markets (2) 2013-06-04 2013-09-26
- NEP-CFN: Corporate Finance (1) 2007-08-08
- NEP-EFF: Efficiency & Productivity (1) 2013-09-26
- NEP-IFN: International Finance (1) 2011-02-26
- NEP-MON: Monetary Economics (1) 2011-02-26

#### Most cited item

- 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.

#### Most downloaded item (past 12 months)

- 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.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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