Access Statistics for David Ardia

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood 0 0 1 25 2 4 9 71
A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis 0 0 0 14 1 1 5 33
A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis 0 0 1 38 1 2 17 46
AdMit: Adaptive Mixtures of Student-t Distributions 0 0 0 41 0 1 7 174
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 39 0 1 8 170
Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit 0 0 0 63 1 5 11 264
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations 0 0 2 660 3 7 50 1,289
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 0 1 3 52 2 8 18 157
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 1 3 5 83 1 4 15 192
Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 0 0 0 35 0 2 9 53
DEoptim: An R Package for Global Optimization by Differential Evolution 2 4 10 134 8 17 46 462
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 1 1 3 132 2 4 11 297
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 1 1 37 1 4 8 145
Efficient Bayesian estimation and combination of GARCH-type models 0 0 0 68 1 2 9 173
Fully Flexible Views in Multivariate Normal Markets 0 2 8 25 1 6 16 60
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 2 49 1 2 12 76
Generalized Autoregressive Score Models in R: The GAS Package 0 0 3 3 0 2 14 14
Generalized Marginal Risk 0 0 0 60 3 7 12 268
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 1 3 14 2 7 27 89
Jump-Diffusion Calibration using Differential Evolution 0 2 2 49 1 7 11 128
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 0 0 1 35 1 2 11 62
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 0 1 4 84 0 4 15 154
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 0 0 0 16 1 2 8 112
Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers 0 0 0 97 0 1 2 446
The Peer Performance of Hedge Funds 0 0 0 30 0 5 29 82
To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods 0 1 1 50 1 4 9 186
Worldwide equity Risk Prediction 1 2 5 38 1 3 13 45
Total Working Papers 5 19 55 1,971 35 114 402 5,248


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood 1 1 1 14 1 3 7 48
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit 0 0 0 22 0 2 16 163
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 0 0 3 152 2 4 31 444
DEoptim: An R Package for Global Optimization by Differential Evolution 0 1 2 17 1 5 11 129
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 0 0 14 0 1 8 69
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 0 3 8 1 2 17 34
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 1 4 5 5 1 7 15 15
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 1 3 8 8 1 8 22 22
Testing equality of modified Sharpe ratios 0 0 1 6 2 4 15 31
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 2 3 3 1 5 12 12
Worldwide equity risk prediction 0 0 0 1 0 1 6 22
Total Journal Articles 3 11 26 250 10 42 160 989


Statistics updated 2017-05-02