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 0 361 0 1 8 793
A Monthly Volatility Index for the US Economy 0 0 0 1 1 5 14 35
A comparison of financial duration models via density forecast 0 0 0 0 0 0 2 48
A comparison of financial duration models via density forecasts 0 0 1 80 0 1 7 1,132
A model for vast panels of volatilities 0 0 2 83 0 0 7 151
A simple two-component model for the distribution of intraday returns 0 0 0 0 0 2 3 40
Aggregation of linear models for panel data 0 0 0 4 0 0 6 29
Aggregation of linear models for panel data 0 0 0 0 0 1 4 16
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices 0 0 0 53 0 0 5 67
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 1 54 0 2 6 155
Does the open limit order book matter in explaining informational volatility? 0 0 0 0 0 0 6 15
Does the open limit order book matter in explaining long run volatility ? 0 0 2 114 1 2 7 416
Estimation of stable distributions by indirect inference 0 0 0 74 1 1 6 247
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 5 40
High frequency finance 0 0 0 0 0 0 1 35
High frequency financial econometrics. Recent developments 0 0 0 0 2 2 5 65
How relevant is infrastructure to growth in East Asia ? 0 0 1 141 2 4 13 285
Indirect estimation of elliptical stable distributions 0 0 0 25 1 2 8 84
Indirect inference of elliptical fat tailed distributions 0 0 0 0 0 0 0 24
Inference for vast dimensional elliptical distributions 0 0 0 0 0 0 3 36
Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation 0 0 0 78 0 0 7 229
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 2 44
Macro Surprises and short-term behavior in bond futures 0 0 0 0 0 0 0 8
Macro surprises and short-term behavior in bond futures 0 0 0 0 1 1 1 17
Macro surprises and short-term behaviour in bond futures 0 0 0 23 0 1 7 105
Marginal quantiles for stationary processes 0 0 0 12 0 0 10 48
Market liquidity as dynamic factors 0 0 0 4 0 0 9 39
On sample marginal quantiles for stationary processes 0 0 0 0 0 0 4 31
On the (Intradaily) Seasonality and Dynamics of a Financial Point Process: A Semiparametric Approach 0 0 1 13 0 1 6 380
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 0 59 1 2 6 144
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 0 168 1 1 3 418
Optimal portfolios with end-of-period target 0 0 0 0 0 0 1 22
Quantifying and understanding dysfunctions in financial markets 0 0 0 0 0 0 2 38
Quantitative Finance Group: Activity Report 2010-2012 0 0 0 0 0 0 4 27
Rank-based testing in linear models with stable errors 0 0 0 0 0 0 3 21
Seminonparametric models for financial durations 0 0 0 0 0 0 0 12
Short Selling in the Tails 0 0 2 39 1 2 13 64
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 0 0 0 0 1 18
TailCoR 0 0 0 35 3 7 16 162
Temporal aggregation of univariate and multivariate time series models: A survey 1 2 13 415 9 12 46 849
Temporal aggregation of univariate and multivariate time series models: a survey 0 0 0 0 0 1 2 34
Temporal aggregation of univariate linear time series models 0 0 1 95 1 3 4 281
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 0 1 37
Testing weak exogeneity in the exponential family: an application to financial point processes 0 0 0 29 1 1 3 142
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility 0 0 0 41 0 0 9 164
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 0 1 7 42
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 0 0 6 28
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 1 2 9 161
The method of simulated quantiles 0 0 0 3 0 0 3 18
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 65 1 2 4 1,211
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 0 1 7 31
Using intra annual information to forecast the annual state deficit. The case of France 0 0 0 0 0 0 1 21
Using intra annual information to forecast the annual state deficits: the case of France 0 0 1 20 1 1 4 116
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 0 0 2 14
What pieces of limit order book information are informative ? 0 0 4 117 0 5 23 425
Which model to match? 0 0 0 24 0 1 4 84
Total Working Papers 1 2 29 2,282 29 68 346 9,198


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 0 99 0 1 6 320
A simple two-component model for the distribution of intraday returns 0 1 2 31 0 1 7 105
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 0 38 1 1 5 127
Editor’s introduction 0 0 0 14 0 0 4 96
Estimation of stable distributions by indirect inference 0 0 1 83 0 1 8 246
Indirect estimation of elliptical stable distributions 0 0 0 13 0 0 3 64
Macroeconomic surprises and short-term behaviour in bond futures 0 0 1 48 0 0 4 138
Market liquidity as dynamic factors 0 0 0 86 0 0 5 258
Monitoring and forecasting annual public deficit every month: the case of France 0 0 1 33 0 1 4 123
On sample marginal quantiles for stationary processes 0 0 0 6 0 0 3 38
Testing conditional asymmetry: A residual-based approach 0 0 0 24 0 0 4 117
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 41 2 2 16 171
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 86 0 1 2 247
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 34 0 0 5 178
Total Journal Articles 0 1 6 636 3 8 76 2,228


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 54 2 4 19 233
Total Software Items 0 0 1 54 2 4 19 233


Statistics updated 2021-01-03