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 2 26 0 1 10 73
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 15 0 1 4 34
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 0 11 46
AdMit: Adaptive Mixtures of Student-t Distributions 0 0 0 41 0 2 7 177
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 39 1 3 8 173
Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit 0 0 0 63 0 1 12 266
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations 0 0 0 660 0 2 36 1,295
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 1 1 5 54 2 3 21 165
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 0 1 4 84 0 3 11 195
Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 0 0 0 35 0 0 3 53
DEoptim: An R Package for Global Optimization by Differential Evolution 1 2 7 136 3 6 35 471
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 0 1 132 1 1 8 298
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 0 1 37 0 0 6 146
Efficient Bayesian estimation and combination of GARCH-type models 0 0 0 68 0 2 8 177
Fully Flexible Views in Multivariate Normal Markets 0 0 5 26 0 1 12 62
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 2 49 2 4 10 80
Generalized Autoregressive Score Models in R: The GAS Package 0 1 4 5 0 4 18 20
Generalized Marginal Risk 0 0 1 61 0 1 10 270
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 1 2 15 0 1 18 91
Jump-Diffusion Calibration using Differential Evolution 0 0 3 50 0 2 12 133
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 0 1 1 36 0 1 8 64
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 0 0 4 85 1 1 9 156
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 0 0 1 17 1 2 8 115
Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers 0 0 0 97 0 0 2 447
The Peer Performance of Hedge Funds 0 0 0 30 0 0 13 83
To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods 0 0 1 50 0 1 8 187
Worldwide equity Risk Prediction 0 1 5 39 1 3 11 50
Total Working Papers 2 9 51 1,988 12 46 319 5,327


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 1 14 0 1 7 50
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit 0 0 0 22 0 1 6 164
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 0 0 2 153 2 3 23 450
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 1 17 0 1 8 131
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 1 1 15 1 3 5 72
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 0 2 8 2 2 9 36
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 0 0 6 6 0 1 19 20
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 1 9 11 1 5 27 31
Testing equality of modified Sharpe ratios 0 0 1 7 0 1 11 35
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 0 3 3 0 0 14 14
Worldwide equity risk prediction 0 0 0 1 0 0 1 22
Total Journal Articles 0 2 26 257 6 18 130 1,025


Statistics updated 2017-10-05