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 26 0 0 8 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 0 1 15 0 0 2 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 7 46
AdMit: Adaptive Mixtures of Student-t Distributions 0 0 0 41 0 0 6 177
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 39 0 1 5 173
Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit 0 0 0 63 0 0 11 266
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations 0 0 0 660 4 6 31 1,301
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 0 2 5 55 1 6 23 169
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 0 0 4 84 0 3 11 198
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 8 137 3 9 38 477
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 0 1 132 0 2 7 299
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 0 1 37 0 1 6 147
Efficient Bayesian estimation and combination of GARCH-type models 0 0 0 68 0 0 7 177
Fully Flexible Views in Multivariate Normal Markets 1 1 6 27 2 3 13 65
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 1 49 0 4 10 82
Generalized Autoregressive Score Models in R: The GAS Package 1 2 5 7 1 2 15 22
Generalized Marginal Risk 0 0 1 61 0 0 10 270
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 1 1 3 16 1 2 17 93
Jump-Diffusion Calibration using Differential Evolution 0 0 3 50 0 1 13 134
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 0 2 3 38 0 2 6 66
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 0 0 3 85 1 5 11 160
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 1 1 2 18 1 3 7 117
Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers 0 0 0 97 1 1 3 448
The Peer Performance of Hedge Funds 0 0 0 30 0 1 10 84
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 7 187
Value-at-Risk Prediction in R with the GAS Package 0 0 39 39 0 0 13 13
Worldwide equity Risk Prediction 0 1 4 40 1 3 10 52
Total Working Papers 5 12 93 2,037 16 55 310 5,383


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 1 1 7 51
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit 0 0 0 22 0 0 6 164
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 0 0 2 153 1 5 21 453
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 1 17 1 3 11 134
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 0 1 15 0 6 9 77
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 1 2 9 0 4 8 38
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 2 2 7 8 3 3 16 23
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 1 9 12 1 3 23 33
Smart beta and CPPI performance 0 0 0 0 2 3 3 3
Testing equality of modified Sharpe ratios 1 2 3 9 1 4 14 39
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 0 3 3 1 1 12 15
Worldwide equity risk prediction 0 0 0 1 1 1 2 23
Total Journal Articles 3 6 29 263 12 34 132 1,053


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Risk Management with Bayesian Estimation of GARCH Models 0 0 0 0 0 1 1 1
Total Books 0 0 0 0 0 1 1 1


Statistics updated 2017-12-03