Access Statistics for David Veredas

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 Comparison of Financial Duration Models via Density Forecasts 0 0 1 362 0 1 5 808
A Monthly Volatility Index for the US Economy 0 0 0 2 0 0 1 46
A Multivariate Hill Estimator 0 0 0 0 0 0 0 6
A comparison of financial duration models via density forecast 0 0 0 0 0 0 1 62
A comparison of financial duration models via density forecasts 0 0 1 81 0 0 2 1,141
A model for vast panels of volatilities 0 0 0 85 0 0 2 167
A simple two-component model for the distribution of intraday returns 0 0 0 0 0 0 2 48
Aggregation of linear models for panel data 0 0 0 0 0 0 3 23
Aggregation of linear models for panel data 0 0 0 8 0 1 2 47
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices 0 0 1 55 0 0 2 80
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 0 0 1 170
Does the open limit order book matter in explaining informational volatility? 0 0 0 0 1 1 1 22
Does the open limit order book matter in explaining long run volatility ? 0 0 1 118 0 1 3 435
Estimation of stable distributions by indirect inference 0 0 0 74 0 0 1 255
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 3 50
High frequency finance 0 0 0 0 0 0 0 41
High frequency financial econometrics. Recent developments 0 0 0 0 0 0 0 74
How relevant is infrastructure to growth in East Asia ? 0 0 2 150 0 2 6 319
Indirect estimation of elliptical stable distributions 0 0 0 25 0 0 0 88
Indirect inference of elliptical fat tailed distributions 0 0 0 0 0 0 0 29
Inference for vast dimensional elliptical distributions 0 0 0 0 0 0 0 39
Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation 0 0 0 80 0 0 1 242
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 0 50
Macro Surprises and short-term behavior in bond futures 0 0 0 0 0 0 0 13
Macro surprises and short-term behavior in bond futures 0 0 0 0 0 0 0 18
Macro surprises and short-term behaviour in bond futures 0 0 0 24 0 0 1 109
Marginal quantiles for stationary processes 0 0 0 15 0 0 1 59
Market liquidity as dynamic factors 0 0 0 4 0 1 2 60
On sample marginal quantiles for stationary processes 0 0 0 0 0 0 0 34
On the (Intradaily) Seasonality and Dynamics of a Financial Point Process: A Semiparametric Approach 0 0 1 16 0 1 3 391
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 1 66 0 0 2 170
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 1 2 174 0 1 4 434
Optimal portfolios with end-of-period target 0 0 0 0 0 0 0 25
Quantifying and understanding dysfunctions in financial markets 0 0 0 0 0 0 0 40
Quantitative Finance Group: Activity Report 2010-2012 0 0 0 0 0 0 2 32
Rank-based testing in linear models with stable errors 0 0 0 0 0 0 1 24
Seminonparametric models for financial durations 0 0 0 0 0 0 0 13
Short Selling in the Tails 0 0 2 43 0 0 4 74
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 1 1 0 0 1 20
TailCoR 0 0 0 42 0 0 3 199
Temporal aggregation of univariate and multivariate time series models: A survey 0 1 4 453 2 4 15 970
Temporal aggregation of univariate and multivariate time series models: a survey 0 0 0 0 0 1 3 42
Temporal aggregation of univariate linear time series models 0 0 0 96 0 1 2 288
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 0 1 41
Testing weak exogeneity in the exponential family: an application to financial point processes 0 0 0 29 0 0 1 150
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 0 1 1 29
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 0 0 0 44
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 0 1 1 167
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 0 0 2 166
The method of simulated quantiles 0 0 0 3 0 0 0 23
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 0 0 4 41
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 1 67 0 0 3 1,221
Using intra annual information to forecast the annual state deficit. The case of France 0 0 0 0 0 0 0 26
Using intra annual information to forecast the annual state deficits: the case of France 0 0 0 21 0 0 0 126
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 0 0 0 15
What pieces of limit order book information are informative ? 0 1 1 118 0 1 1 445
Which model to match? 0 0 0 26 0 1 2 92
Total Working Papers 0 3 19 2,389 3 19 96 9,843


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of financial duration models via density forecasts 0 0 2 111 1 2 4 348
A simple two-component model for the distribution of intraday returns 0 0 0 35 0 0 0 113
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 1 2 43 0 1 4 146
Editor’s introduction 0 0 0 14 0 0 0 98
Estimation of stable distributions by indirect inference 0 0 1 87 0 0 3 258
Indirect estimation of elliptical stable distributions 0 0 0 13 0 0 0 69
Macroeconomic surprises and short-term behaviour in bond futures 0 0 0 48 0 0 1 143
Market liquidity as dynamic factors 0 2 3 96 0 3 5 293
Monitoring and forecasting annual public deficit every month: the case of France 0 0 0 35 0 0 1 135
On sample marginal quantiles for stationary processes 0 0 0 6 0 0 1 42
Testing conditional asymmetry: A residual-based approach 0 0 0 24 0 0 2 122
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 45 0 2 4 188
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 2 94 0 1 6 263
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 0 0 3 185
Total Journal Articles 0 3 11 687 1 9 34 2,403


Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions" 0 0 1 58 0 0 2 253
Total Software Items 0 0 1 58 0 0 2 253


Statistics updated 2025-07-04