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 1 2 26 0 1 10 72
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 0 4 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 0 11 46
AdMit: Adaptive Mixtures of Student-t Distributions 0 0 0 41 1 2 6 176
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 39 0 0 6 170
Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit 0 0 0 63 0 1 11 265
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations 0 0 0 660 0 4 44 1,293
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 0 1 4 53 0 5 20 162
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 0 0 5 83 1 1 15 193
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 0 0 7 134 0 3 38 465
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 0 2 132 0 0 9 297
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 0 1 37 0 1 6 146
Efficient Bayesian estimation and combination of GARCH-type models 0 0 0 68 0 2 6 175
Fully Flexible Views in Multivariate Normal Markets 0 1 8 26 0 1 14 61
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 2 49 0 0 7 76
Generalized Autoregressive Score Models in R: The GAS Package 0 1 4 4 3 5 19 19
Generalized Marginal Risk 0 1 1 61 0 1 10 269
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 0 2 14 0 1 21 90
Jump-Diffusion Calibration using Differential Evolution 0 1 3 50 1 4 12 132
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 1 1 1 36 1 2 9 64
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 0 1 5 85 0 1 11 155
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 0 1 1 17 1 2 7 114
Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers 0 0 0 97 0 1 2 447
The Peer Performance of Hedge Funds 0 0 0 30 0 1 20 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 0 8 186
Worldwide equity Risk Prediction 0 0 4 38 1 3 11 48
Total Working Papers 1 9 54 1,980 9 42 340 5,290


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 49
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit 0 0 0 22 0 0 10 163
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 0 1 2 153 1 4 28 448
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 2 17 0 1 8 130
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 0 0 14 1 1 6 70
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 0 2 8 0 0 11 34
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 0 1 6 6 0 4 19 19
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 2 9 10 1 5 24 27
Testing equality of modified Sharpe ratios 0 1 1 7 1 4 13 35
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 0 3 3 0 2 14 14
Worldwide equity risk prediction 0 0 0 1 0 0 2 22
Total Journal Articles 0 5 26 255 4 22 142 1,011


Statistics updated 2017-08-03