David Veredas

Vlerick Business School

Professor

Library

REEP 1

Gent, BE-9000

Belgium

SCHOLARLY PAPERS

35

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9,704

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Top 4,886

in Total Papers Citations

107

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Scholarly Papers (35)

1.

TailCoR

Number of pages: 40 Posted: 31 May 2012 Last Revised: 13 May 2015
Lorenzo Ricci and David Veredas
European Stability Mechanism and Vlerick Business School
Downloads 933 (23,414)

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Tail correlation, tail risk, quantile, ellipticity, crises

2.

Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Number of pages: 59 Posted: 31 May 2010 Last Revised: 07 Oct 2014
London School of Economics and Political Science, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and Vlerick Business School
Downloads 859 (26,405)

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Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility

3.

Googling SIFIs

Systemic Risk: Liquidity Risk, Governance and Financial Stability, Forthcoming
Number of pages: 31 Posted: 25 Oct 2012 Last Revised: 24 Apr 2014
Mardi Dungey, Matteo Luciani and David Veredas
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Federal Reserve Board and Vlerick Business School
Downloads 721 (33,610)

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Systemic risk, ranking, financial institutions

4.

What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?

Quantitative Finance, 9, 527-545, (2009)
Number of pages: 44 Posted: 26 Jan 2004 Last Revised: 06 Oct 2014
Roberto Pascual and David Veredas
Universidad de las Islas Baleares and Vlerick Business School
Downloads 672 (37,014)

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Limit orders, market orders, limit order book, order aggressiveness, order-driven markets

Does the Open Limit Order Book Matter in Explaining Informational Volatility?

Journal of Financial Econometrics, 8, 57-87, (2010)
Number of pages: 40 Posted: 22 Jun 2006 Last Revised: 06 Oct 2014
Roberto Pascual and David Veredas
Universidad de las Islas Baleares and Vlerick Business School
Downloads 496 (54,206)

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Limit order book, volatility, electronic order-driven markets, state-space models, price formation, market microstructure

Does the Open Limit Order Book Matter in Explaining Informational Volatility?

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 57-87, 2010
Posted: 28 Dec 2009
Roberto Pascual and David Veredas
Universidad de las Islas Baleares and Vlerick Business School

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G1, limit order book, market microstructure, order-driven markets, price formation, state-space models, volatility

6.

A Simple Two-Component Model for the Distribution of Intra-Day Returns

CORE Discussion Paper No. 2006/77
Number of pages: 41 Posted: 19 Nov 2006 Last Revised: 10 Jun 2011
Laura Coroneo and David Veredas
University of York - Department of Economics and Related Studies and Vlerick Business School
Downloads 473 (58,256)

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Intraday returns, Quantile Regression, intraday VaR

7.

The Method of Simulated Quantiles

Number of pages: 31 Posted: 28 Feb 2010 Last Revised: 01 Jul 2010
Yves Dominicy and David Veredas
Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES and Vlerick Business School
Downloads 426 (66,182)

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Quantiles, simulated methods, alpha-stable distribution, fat tails

8.

Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models

Number of pages: 19 Posted: 14 Sep 2011 Last Revised: 01 Aug 2013
David Veredas and Matteo Luciani
Vlerick Business School and Federal Reserve Board
Downloads 397 (72,015)

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Realized volatilities, vast dimensions, factor models, long memory, forecasting

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 31 Mar 2012
Nikolaus Hautsch, Dieter Hess and David Veredas
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and Vlerick Business School
Downloads 365 (78,775)

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Efficient return, macroeconomic announcements, microstructure noise, informational volatility

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Journal of Banking and Finance, Vol. 35, No. 10, 2011
Posted: 20 Nov 2011 Last Revised: 31 Mar 2012
Nikolaus Hautsch, Dieter Hess and David Veredas
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and Vlerick Business School

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Efficient return, Macroeconomic announcements, Microstructure noise, Informational volatility

10.

Estimation of Stable Distributions by Indirect Inference

Number of pages: 62 Posted: 09 Sep 2005 Last Revised: 11 Jun 2009
René Garcia, Eric Renault and David Veredas
Université de Montréal - CIREQ - Département de sciences économiques, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Vlerick Business School
Downloads 338 (86,801)

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Stable distribution, Indirect Inference, Constrained Indirect Inference, Skewed-t distribution

11.

Market Liquidity as Dynamic Factors

Number of pages: 21 Posted: 02 Feb 2009 Last Revised: 01 Nov 2009
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles - Solvay Brussels School of Economics and Management, Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management and Vlerick Business School
Downloads 327 (90,082)

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Commonality, liquidity, equities, factor models, block structure

12.

How Relevant is Infrastructure to Growth in East Asia?

World Bank Policy Research Working Paper No. 4597
Number of pages: 42 Posted: 20 Apr 2016
World Bank - East Asia and Pacific Region, Belgian National Institute of Statistics and Vlerick Business School
Downloads 317 (93,182)

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Transport Economics Policy & Planning, Governance Indicators, Banks & Banking Reform, Urban Slums Upgrading, Urban Services to the Poor

13.

The Stochastic Conditional Duration Model: A Latent Factor Model for the Analysis of Financial Durations

Journal of Econometrics, Vol. 119, No. 2, pp. 381-412, 2004
Number of pages: 37 Posted: 08 Apr 2005
Luc Bauwens and David Veredas
Université catholique de Louvain and Vlerick Business School
Downloads 301 (98,594)

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Duration, Hazard function, Market microstructure, Latent variable model

14.

Multivariate Hill Estimators

Number of pages: 41 Posted: 01 Sep 2013 Last Revised: 24 Apr 2015
Yves Dominicy, Pauliina Ilmonen and David Veredas
Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES, Aalto University - Department of Mathematics and Systems Analysis and Vlerick Business School
Downloads 281 (106,161)

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Hill estimator, elliptical distributions, Minimum Covariance Determinant, tail index

15.

Macro Surprises and Short-Term Behavior in Bond Futures

Empirical Economics, Forthcoming
Number of pages: 31 Posted: 09 Sep 2005
David Veredas
Vlerick Business School
Downloads 256 (117,104)

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US bonds, PDL model, business cycle, macroeconomic announcements

16.

Which Model to Match?

Number of pages: 44 Posted: 17 Jan 2012 Last Revised: 18 Oct 2015
Matteo Barigozzi, Roxana Halbleib and David Veredas
London School of Economics and Political Science, University of Konstanz and Vlerick Business School
Downloads 237 (126,639)

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Auxiliary model, efficient method of moments, indirect inference, information criteria

17.

The Emergence of Systemically Important Insurers

CIFR Paper No. WP038, FIRN Research Paper No. 2494030
Number of pages: 29 Posted: 11 Sep 2014
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania, Federal Reserve Board and Vlerick Business School
Downloads 230 (130,505)

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banking, insurance, systemic risk

18.

A Comparison of Financial Duration Models Via Density Forecast

International Journal of Forecasting, Vol. 20, pp. 589-604
Number of pages: 37 Posted: 09 Sep 2005
Université catholique de Louvain, Eberhard Karls Universitaet Tübingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 208 (143,725)

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Duration processes, transactions data, intra-day financial markets, density forecast evaluation

19.

Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey

Bank of Italy Temi di Discussione Working Paper No. 685
Number of pages: 56 Posted: 28 Oct 2008
Andrea Silvestrini and David Veredas
Bank of Italy and Vlerick Business School
Downloads 199 (149,693)

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Temporal aggregation, ARIMA, Seasonality, GARCH, Vector ARMA, Spurious causality, Multivariate GARCH

20.

A Monthly Volatility Index for the US Real Economy

Number of pages: 27 Posted: 25 Mar 2008 Last Revised: 02 Feb 2009
Cecilia Frale and David Veredas
Government of the Italian Republic (Italy) - Department of the Treasury and Vlerick Business School
Downloads 192 (154,856)

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Great Moderation, temporal disaggregation, volatility, dynamic factor models, Kalman filter

21.

Inference for Vast Dimensional Elliptical Distributions

Number of pages: 28 Posted: 06 Aug 2010 Last Revised: 19 Apr 2012
Yves Dominicy, Hiroaki Ogata and David Veredas
Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES, Waseda University and Vlerick Business School
Downloads 184 (160,913)

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Quantiles, elliptical family, simulations, heavy tails

Short Selling and Excess Return Correlation

Number of pages: 29 Posted: 30 Oct 2017 Last Revised: 18 Dec 2017
University of Cambridge - Cambridge-INET Institute, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Vlerick Business School
Downloads 121 (228,486)

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short selling, correlation, informed trading

Short Selling and Excess Return Correlation

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 38 Posted: 04 Jun 2018
University of Cambridge - Cambridge-INET Institute, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Vlerick Business School
Downloads 54 (374,226)

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short selling, correlation, informed trading

23.

Testing Conditional Asymmetry: A Residual-Based Approach

Number of pages: 32 Posted: 16 Nov 2007 Last Revised: 17 Sep 2008
University of Angers - Research Group in Quantitative Saving (GREQAM), University of Liege - Economics, Business Administration and Social Sciences and Vlerick Business School
Downloads 173 (170,077)

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Conditional skewness, asymmetry

24.

Monitoring and Forecasting Annual Public Deficit. The Case of France

Number of pages: 29 Posted: 09 Sep 2005
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), European Union - Directorate General for Economic and Financial Affairs (DG ECFIN), Directorate-General COMP, European Commission and Vlerick Business School
Downloads 156 (185,764)

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French State deficit, temporal aggregation, intra-annual, forecasting

25.

Quantile-Based Inference for Tempered Stable Distributions

Number of pages: 25 Posted: 20 Jun 2015 Last Revised: 12 Jul 2016
Hasan Fallahgoul, David Veredas and Frank J. Fabozzi
Monash University, Vlerick Business School and EDHEC Business School
Downloads 130 (215,517)

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heavy tailed distribution, tempered stable distribution, method of simulated quantiles

Surfing Through the GFC: Systemic Risk in Australia

CIFR Paper No. WP061/2015, FIRN Research Paper No. 2617117
Number of pages: 25 Posted: 11 Jun 2015
University of Tasmania, Federal Reserve Board, University of Tasmania and Vlerick Business School
Downloads 129 (217,537)

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banking, insurance, systemic risk

Surfing Through the GFC: Systemic Risk in Australia

Economic Record, Vol. 93, Issue 300, pp. 1-19, 2017
Number of pages: 19 Posted: 09 Mar 2017
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania, Federal Reserve Board and Vlerick Business School
Downloads 1 (669,724)
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27.

Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances

Number of pages: 35 Posted: 02 Sep 2014 Last Revised: 19 Jun 2015
Harry Vander Elst and David Veredas
Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management and Vlerick Business School
Downloads 119 (230,343)

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Realized measures, noise, jumps, synchronization

28.

Testing Weak Exogeneity in the Exponential Family: An Application to Financial Marked-Point Processes

CORE Discussion Paper No. 2004/49
Number of pages: 29 Posted: 06 Sep 2005
Universidad Carlos III de Madrid - Department of Economics, University of Cantabria - Department of Economics and Vlerick Business School
Downloads 104 (253,611)

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Weak exogeneity, pseudo-maximum likelihood, semiparametric models, point processes, high-frequency data. stealth trading, mixture of distribution hypothesis

29.

Indirect Estimation of Elliptical Stable Distributions

CORE Discussion Paper No. 2007/18
Number of pages: 28 Posted: 16 Aug 2007
Marco J. Lombardi and David Veredas
Bank for International Settlements (BIS) - Monetary and Economic Department and Vlerick Business School
Downloads 102 (257,024)

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Stable, elliptical, high dimension, multivariate, Indirect Inference

30.

One-Step R-Estimation in Linear Models with Stable Errors

Number of pages: 13 Posted: 22 Oct 2010
Marc Hallin, Yvik Swan, Thomas Verdebout and David Veredas
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Lille III - EQUIPPE-GREMARS and Vlerick Business School
Downloads 64 (339,112)

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Stable Distributions, Local Asymptotic Normality, R-Estimation, Asymptotic Relative Efficiencies

31.

Aggregation of Linear Models for Panel Data

ECORE DP Working Paper No. 2009/12
Number of pages: 29 Posted: 26 Aug 2009
Alexandre Petkovic and David Veredas
ECARES and Vlerick Business School
Downloads 54 (368,486)

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panel data, temporal aggregation, temporal aggregation, model specification, efficiency

32.

Rank-Based Inference in Linear Models with Stable Errors

Number of pages: 24 Posted: 03 Jun 2010
Marc Hallin, Yvik Swan, Thomas Verdebout and David Veredas
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Lille III - EQUIPPE-GREMARS and Vlerick Business School
Downloads 53 (371,555)

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Stable distributions, local asymptotic normality, rank tests, asymptotic relative efficiencies

33.

Marginal Quantiles for Stationary Processes

Number of pages: 12 Posted: 04 Jun 2012
Vlerick Business School, Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES, Université Libre de Bruxelles (ULB) - Department of Mathematics and Waseda University
Downloads 30 (458,652)

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Quantiles, S-mixing

34.

Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey

Journal of Economic Surveys, Vol. 22, Issue 3, pp. 458-497, July 2008
Number of pages: 40 Posted: 11 Jun 2008
Andrea Silvestrini and David Veredas
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Vlerick Business School
Downloads 2 (625,444)
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35.

Short Selling in Extreme Events

Journal of Financial Stability, Vol. 39, 2018
Posted: 03 Sep 2016 Last Revised: 23 Feb 2019
University of Cambridge - Cambridge-INET Institute, Vlerick Business School and European Central Bank (ECB)

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short selling, tail correlation