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 Century of Economic Policy Uncertainty Through the French-Canadian Lens 0 0 0 11 0 1 2 14
A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood 0 0 0 32 0 1 1 135
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 17 0 2 2 56
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 40 1 1 1 73
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 41 0 0 0 192
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 0 0 1 68 0 0 1 217
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 0 1 3 94 0 2 9 267
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 0 1 1 1 23
Climate change concerns and the performance of green versus brown stocks 0 0 14 106 4 10 72 452
Climate change concerns and the performance of green versus brown stocks 1 2 5 67 3 4 19 182
Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 0 0 0 37 0 0 0 68
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 0 147 0 1 2 534
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 1 1 3 150 1 1 6 428
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 0 1 46 0 1 2 180
Efficient Bayesian estimation and combination of GARCH-type models 0 1 1 75 0 1 1 209
Factor Exposure Heterogeneity in Green and Brown Stocks 0 0 1 46 0 1 4 13
Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior 0 0 3 8 0 0 6 14
Fully Flexible Views in Multivariate Normal Markets 0 0 4 65 0 0 7 147
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 0 59 0 2 3 132
Generalized Autoregressive Score Models in R: The GAS Package 0 0 1 30 1 1 5 114
Generalized Marginal Risk 1 1 1 64 3 6 12 306
High-Dimensional Mean-Variance Spanning Tests 0 0 2 2 0 1 6 6
How easy is it for investment managers to deploy their talent in green and brown stocks? 0 0 0 11 1 2 4 22
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 0 0 28 1 1 5 182
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 2 16 0 1 9 62
Jump-Diffusion Calibration using Differential Evolution 0 0 1 56 0 0 1 164
Linking Frequentist and Bayesian Change-Point Methods 0 0 1 25 0 1 9 40
Media abnormal tone, earnings announcements, and the stock market 1 1 1 12 1 1 3 19
Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions 0 0 1 1 0 3 4 4
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 0 0 0 57 0 0 0 111
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 0 0 0 87 1 1 1 187
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 0 0 1 23 0 0 2 137
The Peer Performance of Hedge Funds 0 0 1 32 0 1 3 116
The Role of Twitter in Cryptocurrency Pump-and-Dumps 0 0 1 13 2 15 40 47
Thirty Years of Academic Finance 0 0 0 8 1 3 5 25
To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods 0 0 1 52 0 0 3 198
Value-at-Risk Prediction in R with the GAS Package 0 0 1 50 0 1 8 69
Worldwide equity Risk Prediction 0 0 0 46 0 0 1 76
Total Working Papers 4 7 51 1,722 21 67 260 5,221
4 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of Economic Policy Uncertainty through the French–Canadian lens 0 0 1 3 0 1 3 14
A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood 0 0 1 21 0 0 1 85
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit 0 0 0 22 0 0 1 179
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 0 0 0 162 0 1 8 525
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 10 1 1 1 41
Climate Change Concerns and the Performance of Green vs. Brown Stocks 2 4 10 12 4 9 33 35
Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4, 14 0 0 0 6 1 1 2 27
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 0 27 0 1 1 218
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 1 1 31 0 1 1 125
ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS 0 2 4 28 0 3 8 126
Factor exposure heterogeneity in green and brown stocks 0 0 0 1 0 1 1 4
Forecasting risk with Markov-switching GARCH models:A large-scale performance study 0 0 3 27 0 1 7 102
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 1 1 18 0 2 4 87
Generalized marginal risk 0 0 2 3 0 0 4 8
How easy is it for investment managers to deploy their talent in green and brown stocks? 1 1 1 2 1 1 2 7
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 4 4 1 2 22 22
Media abnormal tone, earnings announcements, and the stock market 1 1 2 3 1 4 8 17
Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation 0 0 2 5 0 1 3 11
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 0 1 5 51 0 3 12 129
Properties of the Margrabe Best-of-two strategy to tactical asset allocation 0 0 0 2 0 0 2 15
Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values 0 0 0 14 0 1 3 68
Regime changes in Bitcoin GARCH volatility dynamics 2 2 3 29 3 4 6 128
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 0 0 18 64 112 112 204
Smart beta and CPPI performance 0 0 0 16 3 7 7 55
Testing equality of modified Sharpe ratios 0 0 1 23 0 2 7 105
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 0 0 9 0 0 3 55
The impact of covariance misspecification in risk-based portfolios 0 0 0 21 0 0 1 75
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models 0 1 1 6 0 1 1 24
The peer performance ratios of hedge funds 1 1 6 25 1 1 13 95
Worldwide equity risk prediction 0 0 0 2 0 0 1 37
Total Journal Articles 7 15 48 601 80 161 278 2,623

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 2 6 66
Total Books 0 0 0 0 0 2 6 66

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Statistics updated 2025-03-03