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 0 2 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 0 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 0 1 13 46
AdMit: Adaptive Mixtures of Student-t Distributions 0 0 0 41 1 1 7 175
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 39 0 0 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 3 12 265
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations 0 0 1 660 1 6 48 1,290
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 1 1 4 53 3 7 21 160
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 0 2 5 83 0 2 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 0 7 53
DEoptim: An R Package for Global Optimization by Differential Evolution 0 4 7 134 2 15 43 464
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 1 3 132 0 2 11 297
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 1 1 37 1 4 6 146
Efficient Bayesian estimation and combination of GARCH-type models 0 0 0 68 2 3 8 175
Fully Flexible Views in Multivariate Normal Markets 1 3 9 26 1 6 16 61
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 2 49 0 2 10 76
Generalized Autoregressive Score Models in R: The GAS Package 0 0 3 3 0 0 14 14
Generalized Marginal Risk 1 1 1 61 1 5 11 269
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 1 2 14 0 5 23 89
Jump-Diffusion Calibration using Differential Evolution 0 1 2 49 2 7 11 130
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 0 0 0 35 1 2 10 63
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 0 0 4 84 0 1 11 154
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 0 0 0 16 0 2 5 112
Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers 0 0 0 97 0 0 2 446
The Peer Performance of Hedge Funds 0 0 0 30 1 3 25 83
To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods 0 1 1 50 0 2 9 186
Worldwide equity Risk Prediction 0 2 5 38 1 3 10 46
Total Working Papers 3 18 52 1,974 18 85 370 5,266


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 1 1 14 0 1 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 0 14 163
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 0 0 1 152 1 3 28 445
DEoptim: An R Package for Global Optimization by Differential Evolution 0 1 2 17 1 3 11 130
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 0 0 14 0 0 7 69
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 0 3 8 0 1 14 34
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 1 5 6 6 2 9 17 17
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 2 5 10 10 4 10 26 26
Testing equality of modified Sharpe ratios 0 0 1 6 0 2 12 31
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 1 3 3 0 2 12 12
Worldwide equity risk prediction 0 0 0 1 0 0 3 22
Total Journal Articles 3 13 27 253 8 31 151 997


Statistics updated 2017-06-02