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 3 802
A Monthly Volatility Index for the US Economy 0 0 0 2 0 0 3 45
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 0 61
A comparison of financial duration models via density forecasts 0 0 0 80 0 0 0 1,139
A model for vast panels of volatilities 0 0 1 85 0 1 5 165
A simple two-component model for the distribution of intraday returns 0 0 0 0 0 0 4 46
Aggregation of linear models for panel data 0 0 1 7 0 1 7 44
Aggregation of linear models for panel data 0 0 0 0 0 0 1 20
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices 0 1 1 54 0 1 1 77
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 0 0 2 168
Does the open limit order book matter in explaining informational volatility? 0 0 0 0 2 2 3 21
Does the open limit order book matter in explaining long run volatility ? 0 0 0 117 0 0 1 432
Estimation of stable distributions by indirect inference 0 0 0 74 1 1 1 254
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 0 47
High frequency finance 0 0 0 0 0 0 0 40
High frequency financial econometrics. Recent developments 0 0 0 0 0 0 2 74
How relevant is infrastructure to growth in East Asia ? 0 0 2 148 0 4 10 311
Indirect estimation of elliptical stable distributions 0 0 0 25 0 0 1 88
Indirect inference of elliptical fat tailed distributions 0 0 0 0 0 0 0 28
Inference for vast dimensional elliptical distributions 0 0 0 0 0 0 0 38
Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation 0 0 1 80 1 2 5 241
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 1 49
Macro Surprises and short-term behavior in bond futures 0 0 0 0 0 0 2 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 1 24 0 1 2 108
Marginal quantiles for stationary processes 0 0 0 14 1 1 2 57
Market liquidity as dynamic factors 0 0 0 4 0 3 5 58
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 15 0 0 2 387
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 1 63 0 0 6 166
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 0 169 0 0 0 427
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 0 30
Rank-based testing in linear models with stable errors 0 0 0 0 0 0 0 23
Seminonparametric models for financial durations 0 0 0 0 0 0 0 13
Short Selling in the Tails 0 0 0 41 0 0 1 70
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 0 0 0 0 0 19
TailCoR 0 0 0 42 1 1 2 196
Temporal aggregation of univariate and multivariate time series models: A survey 0 0 6 448 0 4 19 951
Temporal aggregation of univariate and multivariate time series models: a survey 0 0 0 0 0 0 0 38
Temporal aggregation of univariate linear time series models 0 0 0 95 0 0 0 284
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 0 0 40
Testing weak exogeneity in the exponential family: an application to financial point processes 0 0 0 29 1 1 5 149
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility 0 0 0 41 0 0 1 166
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 2 0 0 0 28
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 0 0 0 163
The method of simulated quantiles 0 0 0 3 0 0 1 22
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 0 0 2 37
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 1 66 0 0 2 1,217
Using intra annual information to forecast the annual state deficit. The case of France 0 0 0 0 0 0 3 25
Using intra annual information to forecast the annual state deficits: the case of France 0 0 1 21 0 1 7 124
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 0 0 1 15
What pieces of limit order book information are informative ? 0 0 0 117 1 1 1 443
Which model to match? 0 0 0 26 0 0 0 90
Total Working Papers 0 1 17 2,361 8 26 114 9,716


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 1 1 2 106 2 2 3 341
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 0 0 41 0 0 3 142
Editor’s introduction 0 0 0 14 0 0 0 98
Estimation of stable distributions by indirect inference 0 0 1 86 0 0 1 254
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 0 142
Market liquidity as dynamic factors 0 0 1 92 0 0 4 285
Monitoring and forecasting annual public deficit every month: the case of France 0 0 1 35 0 0 2 133
On sample marginal quantiles for stationary processes 0 0 0 6 0 0 0 41
Testing conditional asymmetry: A residual-based approach 0 0 0 24 0 0 0 120
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 43 0 0 1 182
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 1 1 2 90 2 2 3 254
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 1 1 1 182
Total Journal Articles 2 2 7 669 5 5 18 2,356


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 0 56 0 1 6 250
Total Software Items 0 0 0 56 0 1 6 250


Statistics updated 2024-02-04