Laval University - Département de Finance et Assurance
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Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE)
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Ardia, David's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 3,959
Total Citations 16
1.
Meucci, Attilio SYMMYS
Ardia, David Laval University - Département de Finance et Assurance
Keel, Simon Aeris Capital AG
Posted:
25 Jan 10
Last Revised:
12 Jan 12
1,184(6,999)
1
Entropy Pooling, Kullback-Leibler, Black-Litterman, VaR, CVaR, grid-probability pair, Monte Carlo, Gauss-Hermite polynomials, Newton-Raphson, kernel estimator
2.
Ardia, David Laval University - Département de Finance et Assurance
Boudt, Kris Free University of Brussels (VUB)
Carl, Peter Guidance Capital Management
Mullen, Katharine Government of the United States of America - National Institute of Standards and Technology (NIST)
Peterson, Brian G. DV Trading
Posted:
05 Apr 10
Last Revised:
24 Jun 11
626(18,830)
Differential optimization, non-convex portfolio optimization, DEoptim, R software
3.
Meucci, Attilio SYMMYS
Ardia, David Laval University - Département de Finance et Assurance
Keel, Simon Aeris Capital AG
Posted:
13 May 11
Last Revised:
15 May 11
592(20,346)
1
Portfolio Construction, Tactical Allocation, Entropy Pooling, Kullback-Leibler, Black-Litterman, Equilibrium Prior, Portfolios From Sorts, Ranking, Alpha, signals, Factor Models, Risk Management
4.
Mullen, Katharine Government of the United States of America - National Institute of Standards and Technology (NIST)
Ardia, David Laval University - Département de Finance et Assurance
Gil, David L. affiliation not provided to SSRN
Windover, Donald affiliation not provided to SSRN
Cline, James affiliation not provided to SSRN
Posted:
21 Dec 09
Last Revised:
16 Apr 11
293(49,582)
1
global optimization, evolutionary algorithm, differential evolution, R software
5.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
26 Jan 10
Last Revised:
08 Apr 11
268(55,116)
2
GARCH, Bayesian inference, MCMC, marginal likelihood, Bayesian model averaging, adaptive mixture of Student-t distributions, importance sampling
6.
Ardia, David Laval University - Département de Finance et Assurance
179(83,771)
1
GARCH model, Bayesian estimation, Markov Chain Monte Carlo
7.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
21 Sep 09
Last Revised:
16 Apr 11
178(83,771)
1
GARCH, Bayesian, MCMC, Student-t, R software
8.
Ardia, David Laval University - Département de Finance et Assurance
Boudt, Kris Free University of Brussels (VUB)
Posted:
08 Feb 12
Last Revised:
27 Feb 13
127(112,878)
Hedge fund, performance, false discovery rate, peer group, Sharpe ratio
9.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
23 Jun 08
Last Revised:
08 Apr 11
94(141,159)
3
adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software
10.
Schumann, Enrico VIP Value Investment Professionals AG
Ardia, David Laval University - Département de Finance et Assurance
Posted:
28 Mar 11
Last Revised:
26 Jul 11
83(153,004)
Optimization, Heuristic methods, Local Search, Differential Evolution
11.
Ardia, David Laval University - Département de Finance et Assurance
Posted:
26 Oct 09
Last Revised:
16 Jun 10
75(162,856)
Index options, arbitrage tests, lower boundary, put-call parity
12.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
26 Feb 09
Last Revised:
30 Jul 12
65(176,486)
1
marginal likelihood, Bayes factor, importance sampling, Markov chain Monte Carlo, bridge sampling, adaptive mixture of Student-t distributions
13.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
23 May 12
Last Revised:
22 May 13
59(185,573)
GARCH, value-at-risk, equity, worldwide, false discovery rate
14.
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
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Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
27 Feb 13
Last Revised:
21 Mar 13
56(190,395)
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
23
GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, false discovery rate
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
27 Feb 13
Last Revised:
03 Mar 13
33
GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, estimation, false discovery rate
15.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
44(211,990)
GARCH, GJR, equity, leverage effect, S&P 500 universe
16.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
16 Jun 10
Last Revised:
08 Apr 11
34(233,477)
3
adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software
17.
Ardia, David Laval University - Département de Finance et Assurance
2(336,218)
2
18.
Ardia, David Laval University - Département de Finance et Assurance
Boudt, Kris Free University of Brussels (VUB)
Implied expected return, reverse engineering, mean-variance, portfolio allocation, risk based allocation
19.
Ardia, David Laval University - Département de Finance et Assurance
Boudt, Kris Free University of Brussels (VUB)
Posted:
15 Dec 12
Last Revised:
31 Jan 13
Financial crisis, Fund of funds, Persistence, Return, Risk, Selection, Stability, Time-variation
20.
Ardia, David Laval University - Département de Finance et Assurance
Keel, Simon Aeris Capital AG
Posted:
15 Apr 11
Last Revised:
06 Mar 12
Marginal risk, generalized marginal risk, portfolio risk, value-at-risk
21.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Ardia, David Laval University - Département de Finance et Assurance
Corré, Nienké affiliation not provided to SSRN
Posted:
20 Jan 11
Last Revised:
01 May 12
GARCH, Bayesian, KLIC, censored likelihood
22.
Ardia, David Laval University - Département de Finance et Assurance
Ospina, Juan David National University of Colombia
Giraldo Gomez, Norman Diego National University of Colombia
Posted:
10 Oct 10
Last Revised:
15 Nov 11
Jump-Diffusion, Maximum Likelihood, Optimization, Differential Evolution
23.
Ardia, David Laval University - Département de Finance et Assurance
Bayesian, MCMC, GARCH, GJR, Markov-switching, Value at Risk, Expected Shortfall, Bayes factor, DIC
24.
Keel, Simon Aeris Capital AG
Ardia, David Laval University - Département de Finance et Assurance
Posted:
11 Sep 09
Last Revised:
08 Jun 11
Marginal Risk, Component Risk, Generalized Marginal Risk, Value-at-Risk, Expected Shortfall, Elliptical Distribution
25.
Ardia, David Laval University - Département de Finance et Assurance
Dinh, Julien Independent
Trading,strategy, VIX,implied volatility, mean-reverting, bootstrap
26.
Ardia, David Laval University - Département de Finance et Assurance
Dependencies, low-frequency, monthly, copula, GARCH
.
Ardia, David's
Other Papers
Note: the statistics on these "Other Papers" are not used
in determining an Author's rank.
Aggregate Statistics
Total 0
Total Citations 0
1.
Ardia, David Laval University - Département de Finance et Assurance
Boudt, Kris Free University of Brussels (VUB)
Alpha, Funds of Hedge funds, Hot hands, Performance, Sharpe ratio
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