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 3 15
A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood 0 0 0 32 0 0 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 0 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 0 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 1 2 218
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R 1 1 4 95 1 1 8 268
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 0 0 1 1 23
Climate change concerns and the performance of green versus brown stocks 0 0 9 106 1 9 62 457
Climate change concerns and the performance of green versus brown stocks 0 1 4 67 0 3 16 182
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 0 2 534
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 2 4 151 0 3 8 430
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 0 0 1 209
Factor Exposure Heterogeneity in Green and Brown Stocks 0 0 0 46 0 0 2 13
Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior 0 0 3 8 0 1 7 15
Fully Flexible Views in Multivariate Normal Markets 0 1 3 66 0 2 7 149
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts 0 0 0 59 1 1 4 133
Generalized Autoregressive Score Models in R: The GAS Package 0 0 0 30 0 1 3 114
Generalized Marginal Risk 0 1 1 64 0 4 11 307
High-Dimensional Mean-Variance Spanning Tests 0 0 2 2 0 0 5 6
How easy is it for investment managers to deploy their talent in green and brown stocks? 0 0 0 11 0 1 4 22
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 0 0 28 0 1 5 182
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 16 0 0 5 62
Jump-Diffusion Calibration using Differential Evolution 0 0 1 56 0 0 1 164
Linking Frequentist and Bayesian Change-Point Methods 0 0 0 25 0 0 7 40
Media abnormal tone, earnings announcements, and the stock market 0 1 1 12 1 2 3 20
Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions 1 1 2 2 1 2 6 6
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 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 0 3 116
The Role of Twitter in Cryptocurrency Pump-and-Dumps 0 0 0 13 0 4 37 49
Thirty Years of Academic Finance 0 0 0 8 0 1 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 1 4 199
Value-at-Risk Prediction in R with the GAS Package 0 0 1 50 0 0 7 69
Worldwide equity Risk Prediction 0 0 0 46 0 0 0 76
Total Working Papers 2 8 42 1,726 5 42 237 5,242
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 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 0 7 525
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 10 0 1 1 41
Climate Change Concerns and the Performance of Green vs. Brown Stocks 0 2 7 12 2 9 30 40
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 1 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 1 2 126
ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS 0 0 4 28 1 1 9 127
Factor exposure heterogeneity in green and brown stocks 0 0 0 1 0 0 1 4
Forecasting risk with Markov-switching GARCH models:A large-scale performance study 0 0 3 27 1 1 7 103
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts 1 1 2 19 1 2 5 89
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? 0 1 1 2 0 1 2 7
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 2 4 1 2 19 23
Media abnormal tone, earnings announcements, and the stock market 0 1 2 3 0 1 7 17
Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation 0 0 1 5 0 0 2 11
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models 0 0 5 51 0 0 11 129
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 2 2 5 70
Regime changes in Bitcoin GARCH volatility dynamics 0 2 3 29 3 6 8 131
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices 0 0 0 18 19 87 135 227
Smart beta and CPPI performance 0 0 0 16 0 4 8 56
Testing equality of modified Sharpe ratios 0 2 2 25 0 2 8 107
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 1 1 2 76
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 0 1 5 25 0 1 12 95
Worldwide equity risk prediction 0 0 0 2 0 0 1 37
Total Journal Articles 1 10 43 604 31 123 299 2,666

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 0 5 66
Total Books 0 0 0 0 0 0 5 66

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Statistics updated 2025-05-12