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1

GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts

Ardia, David, Hoogerheide, Lennart F.

Journal:

Economics Letters

Année:

2014

Langue:

english

Fichier:

PDF, 331 KB

english, 2014

2

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Ardia, David, Gatarek, Lukasz, Hoogerheide, Lennart, van Dijk, Herman

Journal:

Année:

2016

Langue:

english

Fichier:

PDF, 299 KB

english, 2016

3

A Note on Jointly Backtesting Models for Multiple Assets and Horizons

Ardia, David, Guerrouaz, Anas, Hoogerheide, Lennart F.

Journal:

Année:

2016

Langue:

english

Fichier:

PDF, 1.97 MB

english, 2016

4

Stress-Testing With Parametric Models and Fully Flexible Probabilities

Ardia, David, Bluteau, Keven

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 23.31 MB

english, 2017

5

Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy

Ardia, David, Boudt, Kris

Journal:

The Journal of Portfolio Management

Année:

2015

Langue:

english

Fichier:

PDF, 1006 KB

english, 2015

6

An Introduction to the Generalized Margin Risk

David Ardia, Simon Keel

Journal:

Année:

2012

Langue:

english

Fichier:

PDF, 1.66 MB

english, 2012

7

[Lecture Notes in Economics and Mathematical System] Financial Risk Management with Bayesian Estimation of GARCH Models Volume 612 ||

Année:

2008

Langue:

english

Fichier:

PDF, 7.07 MB

english, 2008

8

Cross-Sectional Distribution of GARCH Coefficients Across S&P 500 Constituents: Time-Variation Over the Period 2000-2012

Ardia, David, Hoogerheide, Lennart F.

Journal:

Année:

2013

Langue:

english

Fichier:

PDF, 30.42 MB

english, 2013

9

Predicting Market Risk with Density Combination: An Introduction

Ardia, David, Kolly, Jeremy

Journal:

Année:

2016

Langue:

english

Fichier:

PDF, 1.62 MB

english, 2016

10

Forecasting risk with Markov-switching GARCH models: A large-scale performance study

Ardia, David, Bluteau, Keven, Boudt, Kris, Catania, Leopoldo

Journal:

International Journal of Forecasting

Année:

2018

Langue:

english

Fichier:

PDF, 1.48 MB

english, 2018

11

GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Ardia, David, Hoogerheide, Lennart F.

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 148 KB

english, 2013

12

Jump-Diffusion Calibration Using Differential Evolution

David Ardia, Juan David, Ospina Arango, Norman Diego Giraldo Gómez

Journal:

Année:

2011

Langue:

english

Fichier:

PDF, 550 KB

english, 2011

13

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

Journal:

The Econometrics Journal

Année:

2009

Langue:

english

Fichier:

PDF, 785 KB

english, 2009

14

Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation

Ardia, David, Boudt, Kris, Nguyen, Giang

Journal:

Quantitative Finance

Année:

2018

Langue:

english

Fichier:

PDF, 838 KB

english, 2018

15

Generalized Autoregressive Score Models in R: The GAS Package

Ardia, David, Boudt, Kris, Catania, Leopoldo

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 595 KB

english, 2016

16

Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?

Lennart F. Hoogerheide, David Ardia, Nienke Corré

Journal:

Economics Letters

Année:

2012

Langue:

english

Fichier:

PDF, 199 KB

english, 2012

17

The economic benefits of market timing the style allocation of characteristic-based portfolios

Ardia, David, Boudt, Kris, Wauters, Marjan

Journal:

The North American Journal of Economics and Finance

Année:

2016

Langue:

english

Fichier:

PDF, 1005 KB

english, 2016

18

Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models

Trottier, Denis-Alexandre, Ardia, David

Journal:

Finance Research Letters

Année:

2016

Langue:

english

Fichier:

PDF, 296 KB

english, 2016

19

The impact of covariance misspecification in risk-based portfolios

David Ardia,Guido Bolliger,Kris Boudt…

Journal:

Annals of Operations Research

Année:

2017

Langue:

english

Fichier:

PDF, 493 KB

english, 2017

20

The peer performance ratios of hedge funds

Ardia, David, Boudt, Kris

Journal:

Journal of Banking & Finance

Année:

2017

Langue:

english

Fichier:

PDF, 769 KB

english, 2017

21

Regime changes in Bitcoin GARCH volatility dynamics

Ardia, David, Bluteau, Keven, Rüede, Maxime

Journal:

Finance Research Letters

Année:

2018

Langue:

english

Fichier:

PDF, 549 KB

english, 2018

22

Fully Flexible Views in Multivariate Normal Markets

Meucci, Attilio, Ardia, David, Keel, Simon

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 1.30 MB

english, 2011

23

Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values

Ardia, David, Bluteau, Keven, Boudt, Kris

Journal:

International Journal of Forecasting

Année:

2019

Langue:

english

Fichier:

PDF, 938 KB

english, 2019

24

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Algaba, Andres, Ardia, David, Bluteau, Keven, Borms, Samuel, Boudt, Kris

Journal:

SSRN Electronic Journal

Année:

2019

Langue:

english

Fichier:

PDF, 702 KB

english, 2019

25

ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS

Algaba, Andres, Ardia, David, Bluteau, Keven, Borms, Samuel, Boudt, Kris

Journal:

Journal of Economic Surveys

Année:

2020

Fichier:

PDF, 318 KB

2020

26

A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood

David Ardia, Nalan Baştürk, Lennart Hoogerheide, Herman K. van Dijk

Journal:

Computational Statistics & Data Analysis

Année:

2012

Langue:

english

Fichier:

PDF, 2.05 MB

english, 2012

27

Individual quality and food availability determine yolk and egg mass and egg composition in tree swallows Tachycineta bicolor

Daniel R. Ardia, Matthew F. Wasson, David W. Winkler

Journal:

Journal of Avian Biology

Année:

2006

Langue:

english

Fichier:

PDF, 324 KB

english, 2006

28

Reproductive Effort Reduces Long-Term Immune Function in Breeding Tree Swallows (Tachycineta bicolor)

Daniel R. Ardia, Karel A. Schat and David W. Winkler

Journal:

Proceedings Biological Sciences

Année:

2003

Langue:

english

Fichier:

PDF, 740 KB

english, 2003

29

Worldwide equity risk prediction

Ardia, David, Hoogerheide, Lennart F.

Journal:

Applied Economics Letters

Année:

2013

Langue:

english

Fichier:

PDF, 123 KB

english, 2013

30

Biparental nest-attendance in Chilean Swallows (Tachycineta meyeni) breeding in Ushuaia, Argentina

Ospina, Emilie A., Cooper, Caren B., Liljesthr�m, Marcela, Ardia, Daniel R., Winkler, David W.

Journal:

Année:

2015

Langue:

english

Fichier:

PDF, 107 KB

english, 2015

31

Testing equality of modified Sharpe ratios

Ardia, David, Boudt, Kris

Journal:

Finance Research Letters

Année:

2015

Langue:

english

Fichier:

PDF, 210 KB

english, 2015

32

[Lecture Notes in Economics and Mathematical System] Financial Risk Management with Bayesian Estimation of GARCH Models Volume 612 || Bayesian Estimation of the Linear Regression Model with Student-t-GJR(1, 1) Errors

Année:

2008

Langue:

english

Fichier:

PDF, 2.50 MB

english, 2008

33

Subtle Edge-of-Range Genetic Structuring in Transcontinentally Distributed North American Tree Swallows

Stenzler, Laura M., Makarewich, Christopher A., Coulon, Aurélie, Ardia, Daniel R., Lovette, Irby J., Winkler, David W.

Journal:

Année:

2009

Langue:

english

Fichier:

PDF, 759 KB

english, 2009

34

Generalized marginal risk

Keel, Simon, Ardia, David

Journal:

Journal of Asset Management

Année:

2011

Langue:

english

Fichier:

PDF, 217 KB

english, 2011

35

Shedding Light on Bird Egg Color: Pigment as Parasol and the Dark Car Effect

Lahti, David C., Ardia, Daniel R.

Journal:

American Naturalist

Année:

2016

Langue:

english

Fichier:

PDF, 12.05 MB

english, 2016

36

Individual Quality and Food Availability Determine Yolk and Egg Mass and Egg Composition in Tree Swallows Tachycineta bicolor

Daniel R. Ardia, Matthew F. Wasson and David W. Winkler

Journal:

Journal of Avian Biology

Année:

2006

Langue:

english

Fichier:

PDF, 1.23 MB

english, 2006

37

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

Journal:

The Econometrics Journal

Année:

2009

Langue:

english

Fichier:

PDF, 2.02 MB

english, 2009

38

The impact of parameter and model uncertainty on market risk predictions from GARCH-type models

Ardia, David, Kolly, Jeremy, Trottier, Denis-Alexandre

Journal:

Journal of Forecasting

Année:

2017

Langue:

english

Fichier:

PDF, 1.22 MB

english, 2017

39

The lingering impact of stress: brief acute glucocorticoid exposure has sustained, dose-dependent effects on reproduction

Vitousek, Maren N., Taff, Conor C., Ardia, Daniel R., Stedman, Jocelyn M., Zimmer, Cedric, Salzman, Timothy C., Winkler, David W.

Journal:

Proceedings Biological Sciences

Année:

2018

Langue:

english

Fichier:

PDF, 613 KB

english, 2018

40

Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation

Ardia, David, Bluteau, Keven, Hoogerheide, Lennart F.

Journal:

Journal of Time Series Econometrics

Langue:

english

Fichier:

PDF, 151 KB

english

41

Testing Equality of Modified Sharpe Ratios

Ardia, David, Boudt, Kris

Journal:

SSRN Electronic Journal

Année:

2014

Langue:

english

Fichier:

PDF, 333 KB

english, 2014

42

Moments of Standardized Fernandez-Steel Skewed Distributions: Applications to the Estimation of GARCH-Type Models

Trottier, Denis-Alexandre, Ardia, David

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 234 KB

english, 2015

43

Markov-Switching GARCH Models in R: The MSGARCH Package

Ardia, David, Bluteau, Keven, Boudt, Kris, Trottier, Denis-Alexandre

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 1.13 MB

english, 2016

44

Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation

Ardia, David, Boudt, Kris, Nguyen, Giang Ha

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 437 KB

english, 2016

45

Density Prediction of Stock Index Returns Using GARCH Models: Frequentist or Bayesian Estimation?

Hoogerheide, Lennart F., Ardia, David, Corré, Nienké

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 278 KB

english, 2011

46

The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Ardia, David, Bluteau, Keven, Borms, Samuel, Boudt, Kris

Journal:

SSRN Electronic Journal

Année:

2017

Langue:

english

Fichier:

PDF, 505 KB

english, 2017

47

Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012

Ardia, David, Hoogerheide, Lennart F.

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 648 KB

english, 2013

48

Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy

Ardia, David, Boudt, Kris

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 333 KB

english, 2013

49

Aggregating the Panel of Daily Textual Sentiment for Sparse Forecasting of Economic Growth

Ardia, David, Bluteau, Keven, Boudt, Kris

Journal:

SSRN Electronic Journal

Année:

2017

Langue:

english

Fichier:

PDF, 1.40 MB

english, 2017

50

Worldwide Equity Risk Forecasting with GARCH Models

Ardia, David, Hoogerheide, Lennart F.

Journal:

SSRN Electronic Journal

Année:

2012

Langue:

english

Fichier:

PDF, 195 KB

english, 2012