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 0 362 0 1 11 819
A Monthly Volatility Index for the US Economy 0 0 0 2 0 3 18 64
A Multivariate Hill Estimator 0 0 0 0 0 1 4 10
A comparison of financial duration models via density forecast 0 0 0 0 0 1 14 76
A comparison of financial duration models via density forecasts 0 0 0 81 0 3 17 1,158
A model for vast panels of volatilities 0 0 0 85 0 3 15 182
A simple two-component model for the distribution of intraday returns 0 0 0 0 0 2 4 52
A simple two-component model for the distribution of intraday returns 0 0 0 0 0 1 6 6
Aggregation of linear models for panel data 0 0 1 9 0 6 9 56
Aggregation of linear models for panel data 0 0 0 0 0 1 4 27
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices 0 0 0 55 0 1 6 86
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 0 2 11 181
Does the open limit order book matter in explaining informational volatility? 0 0 0 0 0 4 13 35
Does the open limit order book matter in explaining long run volatility ? 0 0 0 118 0 2 5 440
Estimation of stable distributions by indirect inference 0 0 1 75 0 3 13 268
Estimation of stable distributions with indirect inference 0 0 0 5 0 2 12 62
High frequency finance 0 0 0 0 0 1 6 47
High frequency financial econometrics. Recent developments 0 0 0 0 0 0 9 83
How relevant is infrastructure to growth in East Asia ? 0 0 0 150 1 6 16 335
Indirect estimation of elliptical stable distributions 0 0 0 25 0 2 10 98
Indirect inference of elliptical fat tailed distributions 0 0 0 0 0 4 8 37
Inference for vast dimensional elliptical distributions 0 0 0 0 0 1 7 46
Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation 0 0 0 80 0 0 12 254
Latest developments in heavy-tailed distributions 0 0 0 0 0 3 5 55
Macro Surprises and short-term behavior in bond futures 0 0 0 0 0 1 5 18
Macro surprises and short-term behavior in bond futures 0 0 0 0 0 4 7 25
Macro surprises and short-term behaviour in bond futures 0 0 0 24 0 0 3 112
Marginal quantiles for stationary processes 0 0 0 15 0 4 11 70
Market liquidity as dynamic factors 0 0 0 4 0 7 12 72
On sample marginal quantiles for stationary processes 0 0 0 0 0 1 7 41
On the (Intradaily) Seasonality and Dynamics of a Financial Point Process: A Semiparametric Approach 0 0 0 16 0 3 9 400
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 1 67 0 3 12 182
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 0 174 1 4 7 441
Optimal portfolios with end-of-period target 0 0 0 0 0 1 3 28
Quantifying and understanding dysfunctions in financial markets 0 0 0 0 0 5 11 51
Quantitative Finance Group: Activity Report 2010-2012 0 0 0 0 0 2 5 37
Rank-based testing in linear models with stable errors 0 0 0 0 0 2 8 32
Seminonparametric models for financial durations 0 0 0 0 0 1 2 15
Short Selling in the Tails 0 0 0 43 1 2 4 78
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 1 2 0 3 5 25
TailCoR 0 0 0 42 1 3 18 217
Temporal aggregation of univariate and multivariate time series models: A survey 0 1 7 460 0 7 32 1,002
Temporal aggregation of univariate and multivariate time series models: a survey 0 0 0 0 1 2 69 111
Temporal aggregation of univariate linear time series models 0 0 0 96 0 0 9 297
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 3 19 60
Testing weak exogeneity in the exponential family: an application to financial point processes 0 0 0 29 0 2 18 168
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 0 3 18 62
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 1 1 7 36
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 46 0 0 7 173
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 0 2 12 179
The method of simulated quantiles 0 0 0 3 1 4 16 39
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 0 1 10 51
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 67 1 2 11 1,232
Using intra annual information to forecast the annual state deficit. The case of France 0 0 0 0 0 1 5 31
Using intra annual information to forecast the annual state deficits: the case of France 0 0 1 22 0 2 12 138
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 0 1 3 18
What pieces of limit order book information are informative ? 0 0 0 118 1 1 11 456
Which model to match? 0 0 0 26 1 6 14 106
Total Working Papers 0 1 13 2,402 10 137 637 10,480

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 0 111 0 1 12 360
A simple two-component model for the distribution of intraday returns 0 0 1 36 0 3 10 123
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 0 43 0 2 12 158
Editor’s introduction 0 0 0 14 0 2 7 105
Estimation of stable distributions by indirect inference 0 0 0 87 0 4 11 269
Indirect estimation of elliptical stable distributions 0 0 0 13 0 2 19 88
Macroeconomic surprises and short-term behaviour in bond futures 0 0 0 48 1 2 5 148
Market liquidity as dynamic factors 0 0 0 96 1 8 17 310
Monitoring and forecasting annual public deficit every month: the case of France 0 1 2 37 0 2 9 144
On sample marginal quantiles for stationary processes 0 0 0 6 0 2 6 48
Testing conditional asymmetry: A residual-based approach 0 0 1 25 0 1 8 130
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 1 6 16 204
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 94 1 1 8 271
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 1 5 15 200
Total Journal Articles 0 1 4 691 5 41 155 2,558

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 58 2 4 11 264
Total Software Items 0 0 0 58 2 4 11 264

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Statistics updated 2026-07-10