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 2 2 4 17
A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood 0 1 1 33 0 1 2 136
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 1 3 57
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 0 0 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 1 3 219
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 0 2 5 96 1 3 8 270
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 0 0 0 1 23
Climate change concerns and the performance of green versus brown stocks 2 2 10 108 2 4 56 460
Climate change concerns and the performance of green versus brown stocks 2 2 4 69 3 3 13 185
Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 0 0 0 37 1 1 1 69
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 0 147 0 1 3 535
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 1 1 5 152 2 2 9 432
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 0 1 46 0 0 2 180
Efficient Bayesian estimation and combination of GARCH-type models 0 0 1 75 1 1 2 210
Factor Exposure Heterogeneity in Green and Brown Stocks 0 0 0 46 0 2 4 15
Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior 0 0 0 8 0 1 5 16
Fully Flexible Views in Multivariate Normal Markets 1 3 4 69 1 3 6 152
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 0 59 0 1 3 133
Generalized Autoregressive Score Models in R: The GAS Package 0 0 0 30 0 0 3 114
Generalized Marginal Risk 0 0 1 64 1 1 11 308
High-Dimensional Mean-Variance Spanning Tests 0 0 1 2 0 1 5 7
How easy is it for investment managers to deploy their talent in green and brown stocks? 0 0 0 11 0 0 4 22
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 0 0 28 0 0 4 182
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 16 1 1 5 63
Jump-Diffusion Calibration using Differential Evolution 0 0 1 56 0 0 1 164
Linking Frequentist and Bayesian Change-Point Methods 0 1 1 26 0 1 8 41
Media abnormal tone, earnings announcements, and the stock market 0 0 1 12 2 3 5 22
Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions 0 1 2 2 1 3 8 8
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 0 0 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 1 1 4 117
The Role of Twitter in Cryptocurrency Pump-and-Dumps 1 1 1 14 1 2 36 51
Thirty Years of Academic Finance 0 0 0 8 0 0 4 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 4 199
Value-at-Risk Prediction in R with the GAS Package 0 0 0 50 1 2 6 71
Worldwide equity Risk Prediction 0 0 0 46 0 0 0 76
Total Working Papers 7 14 44 1,738 21 42 237 5,279
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 0 2 14
A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood 0 0 0 21 0 1 1 86
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 0 6 525
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 10 0 1 2 42
Climate Change Concerns and the Performance of Green vs. Brown Stocks 0 1 7 13 2 7 30 45
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 0 0 2 27
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 0 27 0 0 1 218
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 0 1 31 0 0 2 126
ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS 0 0 4 28 1 2 8 128
Factor exposure heterogeneity in green and brown stocks 0 0 0 1 0 1 2 5
Forecasting risk with Markov-switching GARCH models:A large-scale performance study 1 2 3 29 4 6 10 108
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 1 2 19 1 5 9 93
Generalized marginal risk 0 0 2 3 0 0 2 8
How easy is it for investment managers to deploy their talent in green and brown stocks? 0 0 1 2 0 0 2 7
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 1 3 5 0 3 17 25
Media abnormal tone, earnings announcements, and the stock market 0 0 2 3 1 1 8 18
Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation 0 0 0 5 0 0 1 11
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 1 1 6 52 1 2 10 131
Properties of the Margrabe Best-of-two strategy to tactical asset allocation 0 1 1 3 1 4 6 19
Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values 0 0 0 14 1 5 7 73
Regime changes in Bitcoin GARCH volatility dynamics 0 0 3 29 0 4 9 132
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 0 0 18 83 190 306 398
Smart beta and CPPI performance 1 1 1 17 1 1 9 57
Testing equality of modified Sharpe ratios 0 0 2 25 1 1 9 108
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 1 1 1 22 1 2 3 77
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models 0 0 1 6 0 0 1 24
The peer performance ratios of hedge funds 1 1 4 26 1 1 10 96
Worldwide equity risk prediction 0 0 0 2 0 0 1 37
Total Journal Articles 5 10 45 613 99 237 480 2,872

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 2 2 6 68
Total Books 0 0 0 0 2 2 6 68

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Statistics updated 2025-07-04