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 28 0 0 10 93
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 16 0 1 5 45
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 2 2 6 63
AdMit: Adaptive Mixtures of Student-t Distributions 0 0 0 42 1 1 6 189
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit 0 0 0 40 2 2 5 187
Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit 0 0 0 63 2 2 10 286
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations 0 0 0 660 3 8 43 1,362
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations 0 0 0 63 2 3 8 197
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 0 0 1 86 2 4 16 232
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 0 0 3 13 15
Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 0 0 1 36 0 0 6 64
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 1 146 0 0 4 523
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 0 1 138 2 2 12 333
Efficient Bayesian Estimation and Combination of GARCH-Type Models 0 0 0 38 0 1 11 161
Efficient Bayesian estimation and combination of GARCH-type models 0 0 0 69 0 1 8 191
Fully Flexible Views in Multivariate Normal Markets 2 5 9 45 4 9 20 103
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 0 57 0 0 8 112
Generalized Autoregressive Score Models in R: The GAS Package 1 1 3 17 1 2 14 65
Generalized Marginal Risk 0 0 0 61 2 2 9 281
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 1 2 4 23 4 8 23 127
Jump-Diffusion Calibration using Differential Evolution 0 0 0 55 3 3 8 154
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? 0 1 2 42 0 2 9 89
Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? 1 1 1 87 5 5 11 180
Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence 0 0 0 18 0 0 2 124
Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers 0 0 0 97 1 2 4 456
The Peer Performance of Hedge Funds 0 0 1 31 2 2 6 99
To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods 0 0 0 50 0 0 5 193
Value-at-Risk Prediction in R with the GAS Package 0 0 4 46 2 3 18 42
Worldwide equity Risk Prediction 0 0 1 42 2 2 7 67
Total Working Papers 5 10 32 2,136 42 70 307 6,033

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 17 0 2 8 69
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit 0 0 0 22 1 1 6 172
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 1 1 2 161 1 1 9 498
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 3 7 0 2 11 23
DEoptim: An R Package for Global Optimization by Differential Evolution 0 0 0 21 1 5 11 166
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? 0 1 1 18 2 6 15 101
Forecasting risk with Markov-switching GARCH models:A large-scale performance study 0 2 5 9 1 6 23 36
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 0 0 0 13 0 0 7 64
Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation 0 0 2 2 0 1 12 24
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 0 1 5 19 0 1 12 47
Regime changes in Bitcoin GARCH volatility dynamics 0 0 4 4 2 3 25 27
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 0 0 13 1 6 17 57
Smart beta and CPPI performance 0 0 3 12 1 2 8 31
Testing equality of modified Sharpe ratios 0 0 1 11 1 1 13 64
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 0 1 6 0 0 9 44
The impact of covariance misspecification in risk-based portfolios 1 2 4 10 2 10 20 41
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models 0 0 0 4 0 0 3 16
The peer performance ratios of hedge funds 0 2 3 8 1 3 16 44
Worldwide equity risk prediction 0 0 0 2 1 1 9 35
Total Journal Articles 2 9 35 359 15 51 234 1,559

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 1 1 11 29
Total Books 0 0 0 0 1 1 11 29

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Statistics updated 2020-09-04