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 8 69
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 14 0 0 5 32
A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis 0 1 1 38 1 6 24 45
AdMit: Adaptive Mixtures of Student-t Distributions 0 0 0 41 1 3 7 174
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 39 1 2 9 170
Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit 0 0 0 63 3 7 12 262
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations 0 0 3 660 2 14 56 1,284
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 1 2 4 52 4 7 17 153
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 1 1 4 81 2 3 16 190
Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 0 0 0 35 2 3 14 53
DEoptim: An R Package for Global Optimization by Differential Evolution 0 1 7 130 4 10 39 449
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 0 4 131 2 3 15 295
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 0 0 36 1 1 5 142
Efficient Bayesian estimation and combination of GARCH-type models 0 0 0 68 1 2 8 172
Fully Flexible Views in Multivariate Normal Markets 0 2 6 23 1 3 13 55
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 1 3 49 0 2 11 74
Generalized Autoregressive Score Models in R: The GAS Package 0 1 3 3 2 7 14 14
Generalized Marginal Risk 0 0 0 60 3 4 8 264
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 0 3 13 2 8 28 84
Jump-Diffusion Calibration using Differential Evolution 1 1 1 48 2 2 6 123
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 0 0 1 35 1 1 11 61
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 1 2 4 84 3 4 14 153
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 0 0 0 16 0 0 9 110
Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers 0 0 1 97 1 1 6 446
The Peer Performance of Hedge Funds 0 0 1 30 3 6 36 80
To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods 0 0 0 49 2 4 10 184
Worldwide equity Risk Prediction 0 0 3 36 1 1 12 43
Total Working Papers 4 12 51 1,956 47 108 413 5,181


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 0 0 0 13 2 3 11 47
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit 0 0 0 22 2 5 17 163
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 0 1 6 152 2 10 42 442
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 1 16 3 4 10 127
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 0 0 14 1 1 8 69
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 1 3 8 1 3 16 33
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 0 0 1 1 0 1 8 8
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 2 5 5 2 6 16 16
Testing equality of modified Sharpe ratios 0 0 1 6 2 4 13 29
The economic benefits of market timing the style allocation of characteristic-based portfolios 1 2 2 2 3 7 10 10
Worldwide equity risk prediction 0 0 0 1 1 1 6 22
Total Journal Articles 1 6 19 240 19 45 157 966


Statistics updated 2017-03-07