# David Ardia

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## Personal Details

First Name: | David |

Middle Name: | |

Last Name: | Ardia |

Suffix: | |

RePEc Short-ID: | par194 |

[This author has chosen not to make the email address public] | |

http://perso.unifr.ch/david.ardia/ | |

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 & 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.
"
**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.
"
- David Ardia & Kris Boudt, 2013.
"
**The Peer Performance of Hedge Funds**," Cahiers de recherche 1329, CIRPEE. - Attilio Meucci & David Ardia & Simon Keel, 2013.
"
**Fully Flexible Views in Multivariate Normal Markets**," Cahiers de recherche 1311, CIRPEE. - 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.- 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.
"
- 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. - David Ardia & Kris Boudt, 2013.
"
**Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy**," Cahiers de recherche 1328, CIRPEE. - David Ardia & Lennart F. Hoogerheide, 2013.
"
**Worldwide equity Risk Prediction**," Cahiers de recherche 1312, CIRPEE.- 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.
"
- 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.- Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011.
"
**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.
"
- Ardia, David & Hoogerheide, Lennart F., 2010.
"
**Efficient Bayesian estimation and combination of GARCH-type models**," MPRA Paper 22919, University Library of Munich, Germany.- David Ardia & Lennart F. Hoogerheide, 2010.
"
**Efficient Bayesian Estimation and Combination of GARCH-Type Models**," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.

- David Ardia & Lennart F. Hoogerheide, 2010.
"
- 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. - 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. - 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.
"
- 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. - Keel, Simon & Ardia, David, 2009.
"
**Generalized Marginal Risk**," MPRA Paper 17258, University Library of Munich, Germany. - 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. - 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. - 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. - 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 & 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.
"
**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.

- David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 2008.
"
- 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, 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, 2002.
"
**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]

RePEc:pra:mprapa:12983 is not listed on IDEAS

RePEc:pra:mprapa:12985 is not listed on IDEAS

RePEc:pra:mprapa:12682 is not listed on IDEAS

- Ardia, David & Boudt, Kris, 2015.
"
**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.
"
- 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.

- Ardia, David, 2007.
"
- 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).

RePEc:jss:jstsof:40:i06 is not listed on IDEAS

20 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

- NEP-CFN: Corporate Finance (1) 2007-08-08
- NEP-CMP: Computational Economics (2) 2010-04-11 2010-04-24
- 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-EFF: Efficiency & Productivity (1) 2013-09-26
- 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-EVO: Evolutionary Economics (2) 2010-04-11 2010-04-24
- NEP-FMK: Financial Markets (2) 2013-06-04 2013-09-26
- NEP-FOR: Forecasting (3) 2007-04-28 2011-01-30 2013-06-04
- NEP-IFN: International Finance (1) 2011-02-26
- NEP-MON: Monetary Economics (1) 2011-02-26
- NEP-ORE: Operations Research (4) 2009-03-22 2010-04-11 2010-04-24 2014-03-22
- NEP-RMG: Risk Management (6) 2009-09-19 2013-03-30 2013-06-04 2013-06-04 2014-03-22 2015-04-25. Author is listed

#### 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

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