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 1 4 12 819
A Monthly Volatility Index for the US Economy 0 0 0 2 1 3 16 62
A Multivariate Hill Estimator 0 0 0 0 1 1 4 10
A comparison of financial duration models via density forecast 0 0 0 0 1 2 14 76
A comparison of financial duration models via density forecasts 0 0 0 81 2 4 16 1,157
A model for vast panels of volatilities 0 0 0 85 2 5 14 181
A simple two-component model for the distribution of intraday returns 0 0 0 0 2 2 4 52
A simple two-component model for the distribution of intraday returns 0 0 0 0 1 1 6 6
Aggregation of linear models for panel data 0 0 0 0 1 2 4 27
Aggregation of linear models for panel data 0 0 1 9 4 4 8 54
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices 0 0 0 55 0 2 5 85
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 1 4 10 180
Does the open limit order book matter in explaining informational volatility? 0 0 0 0 3 4 13 34
Does the open limit order book matter in explaining long run volatility ? 0 0 0 118 2 3 6 440
Estimation of stable distributions by indirect inference 0 1 1 75 3 7 13 268
Estimation of stable distributions with indirect inference 0 0 0 5 1 1 11 61
High frequency finance 0 0 0 0 0 0 5 46
High frequency financial econometrics. Recent developments 0 0 0 0 0 1 9 83
How relevant is infrastructure to growth in East Asia ? 0 0 0 150 5 5 15 334
Indirect estimation of elliptical stable distributions 0 0 0 25 2 3 10 98
Indirect inference of elliptical fat tailed distributions 0 0 0 0 3 3 7 36
Inference for vast dimensional elliptical distributions 0 0 0 0 1 1 7 46
Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation 0 0 0 80 0 3 12 254
Latest developments in heavy-tailed distributions 0 0 0 0 3 4 5 55
Macro Surprises and short-term behavior in bond futures 0 0 0 0 1 1 5 18
Macro surprises and short-term behavior in bond futures 0 0 0 0 4 5 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 4 5 11 70
Market liquidity as dynamic factors 0 0 0 4 3 3 8 68
On sample marginal quantiles for stationary processes 0 0 0 0 0 1 6 40
On the (Intradaily) Seasonality and Dynamics of a Financial Point Process: A Semiparametric Approach 0 0 0 16 3 3 10 400
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 1 67 3 3 12 182
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach 0 0 1 174 3 3 7 440
Optimal portfolios with end-of-period target 0 0 0 0 1 1 3 28
Quantifying and understanding dysfunctions in financial markets 0 0 0 0 5 8 11 51
Quantitative Finance Group: Activity Report 2010-2012 0 0 0 0 2 3 5 37
Rank-based testing in linear models with stable errors 0 0 0 0 1 2 7 31
Seminonparametric models for financial durations 0 0 0 0 1 1 2 15
Short Selling in the Tails 0 0 0 43 1 2 3 77
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 1 2 3 4 5 25
TailCoR 0 0 0 42 1 3 16 215
Temporal aggregation of univariate and multivariate time series models: A survey 1 2 8 460 6 9 34 1,001
Temporal aggregation of univariate and multivariate time series models: a survey 0 0 0 0 0 1 68 109
Temporal aggregation of univariate linear time series models 0 0 0 96 0 4 10 297
Testing conditional asymmetry. A residual based approach 0 0 0 0 3 10 19 60
Testing weak exogeneity in the exponential family: an application to financial point processes 0 0 0 29 2 6 18 168
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 0 0 7 35
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 2 5 17 61
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 46 0 1 7 173
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 2 5 13 179
The method of simulated quantiles 0 0 0 3 2 6 14 37
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 67 0 3 9 1,230
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 0 1 9 50
Using intra annual information to forecast the annual state deficit. The case of France 0 0 0 0 0 0 4 30
Using intra annual information to forecast the annual state deficits: the case of France 0 0 1 22 1 1 11 137
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 1 1 3 18
What pieces of limit order book information are informative ? 0 0 0 118 0 1 10 455
Which model to match? 0 0 0 26 4 6 13 104
Total Working Papers 1 3 15 2,402 99 177 613 10,442

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 3 13 359
A simple two-component model for the distribution of intraday returns 0 0 1 36 3 3 10 123
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 0 43 1 4 11 157
Editor’s introduction 0 0 0 14 1 4 6 104
Estimation of stable distributions by indirect inference 0 0 0 87 4 5 11 269
Indirect estimation of elliptical stable distributions 0 0 0 13 2 4 19 88
Macroeconomic surprises and short-term behaviour in bond futures 0 0 0 48 1 1 4 147
Market liquidity as dynamic factors 0 0 0 96 4 6 13 306
Monitoring and forecasting annual public deficit every month: the case of France 1 2 2 37 2 4 9 144
On sample marginal quantiles for stationary processes 0 0 0 6 2 2 6 48
Testing conditional asymmetry: A residual-based approach 0 0 1 25 1 1 8 130
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 5 8 17 203
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 94 0 3 7 270
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 3 3 13 198
Total Journal Articles 1 2 4 691 29 51 147 2,546

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 2 9 262
Total Software Items 0 0 0 58 2 2 9 262

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Statistics updated 2026-05-06