David Ardia

HEC Montreal - Department of Decision Sciences

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

SCHOLARLY PAPERS

52

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23,655

SSRN CITATIONS
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Top 9,600

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54

CROSSREF CITATIONS

64

Ideas:
“  https://ardiad.github.io  ”

Scholarly Papers (52)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 4,246 (2,291)
Citation 17

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GARCH, MSGARCH, Markov-switching, conditional volatility, forecasting, R software

2.

Portfolio Construction and Systematic Trading with Factor Entropy Pooling

Risk Magazine, Vol. 27, No. 5, pp. 56-61, 2014
Number of pages: 36 Posted: 13 May 2011 Last Revised: 10 Jul 2020
ARPM - Advanced Risk and Portfolio Management, HEC Montreal - Department of Decision Sciences and ARPM - Advanced Risk and Portfolio Management
Downloads 3,346 (3,421)

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Trading signals, tactical allocation, Black-Litterman, equilibrium prior, shrinkage, risk management, Entropy Pooling, factor models, inequality views, portfolios from sorts, ranking, Kullback-Leibler

3.

Fully Flexible Extreme Views

Journal of Risk, Vol. 14, No. 2, pp. 39-49, Winter 2011/2012
Number of pages: 11 Posted: 25 Jan 2010 Last Revised: 12 Jan 2012
Attilio Meucci, David Ardia and Simon Keel
ARPM - Advanced Risk and Portfolio Management, HEC Montreal - Department of Decision Sciences and Aeris Capital AG
Downloads 2,068 (7,698)

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Entropy Pooling, Kullback-Leibler, Black-Litterman, VaR, CVaR, grid-probability pair, Monte Carlo, Gauss-Hermite polynomials, Newton-Raphson, kernel estimator

4.

Generalized Autoregressive Score Models in R: The GAS Package

Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28 Posted: 21 Aug 2016 Last Revised: 04 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,473 (13,352)
Citation 3

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, R Software

5.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36 Posted: 16 Feb 2017 Last Revised: 28 Mar 2019
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,337 (15,552)
Citation 6

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GARCH, MSGARCH, forecasting performance, large-scale study, Value-at-Risk, Expected Shortfall, risk management

6.

The Peer Performance Ratios of Hedge Funds

Journal of Banking and Finance, Vol. 87, pp. 351-368, 2018
Number of pages: 35 Posted: 08 Feb 2012 Last Revised: 04 Nov 2018
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 949 (25,858)
Citation 3

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False discoveries, hedge fund, multiple hypothesis testing, peer performance, performance measurement

7.

Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization

The R Journal, Vol. 3, No. 1, pp. 27-34, 2011
Number of pages: 8 Posted: 05 Apr 2010 Last Revised: 03 Aug 2018
HEC Montreal - Department of Decision Sciences, Ghent University, William Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and University of Washington
Downloads 903 (27,798)
Citation 1

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Differential optimization, non-convex portfolio optimization, DEoptim, R software

8.

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

Journal of Statistical Software, Forthcoming
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 23 May 2020
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, University of Neuchâtel and Ghent University
Downloads 847 (30,476)
Citation 8

Abstract:

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Aggregation, Penalized Regression, Prediction, R, sentometrics, Textual Sentiment, Time Series

9.

Parametric Stress-Testing in Non-Normal Markets via Copula-Marginal Entropy Pooling

Risk Magazine, June 2015
Number of pages: 23 Posted: 23 Jun 2014 Last Revised: 05 Aug 2015
David Ardia and Attilio Meucci
HEC Montreal - Department of Decision Sciences and ARPM - Advanced Risk and Portfolio Management
Downloads 765 (35,018)
Citation 3

Abstract:

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Entropy Pooling, Kullback-Leibler, copula-marginal, stress-test, risk

10.

Downside Risk Evaluation with the R Package GAS

R Journal, Vol. 10, Issue 2, pp. 410-421, 2018
Number of pages: 12 Posted: 17 Nov 2016 Last Revised: 27 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 763 (35,162)

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, Risk Management, VaR, R Software

11.

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

Quantitative Finance, Vol. 18, Issue 8, pp.1249-1259, 2018
Number of pages: 42 Posted: 11 Aug 2016 Last Revised: 31 Jul 2018
David Ardia, Kris Boudt and Giang Nguyen
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 735 (37,006)
Citation 1

Abstract:

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Asset Allocation, Performance/Risk Contribution, Target Relative Performance Portfolio

12.

The Impact of Covariance Misspecification in Risk-Based Portfolios

Annals of Operation Research, Vol. 254, No. 1, pp. 1-16, 2017
Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 15 Nov 2017
HEC Montreal - Department of Decision Sciences, University of Neuchatel - Institute of Financial Analysis, Ghent University and Université Laval - Département de Finance et Assurance
Downloads 679 (41,184)
Citation 4

Abstract:

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Covariance misspecification, Monte Carlo study, Risk-based portfolios

13.

Regime changes in Bitcoin GARCH volatility dynamics

Finance Research Letters, Volume 29, June 2019, Pages 266-271
Number of pages: 12 Posted: 30 May 2018 Last Revised: 21 Jun 2019
David Ardia, Keven Bluteau and Maxime Rüede
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and University of Neuchatel - Institute of Financial Analysis
Downloads 527 (57,270)
Citation 9

Abstract:

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Bitcoin, GARCH, MSGARCH, Value-at-Risk, Backtesting, Bayesian

14.

DEoptim: An R Package for Global Optimization by Differential Evolution

Journal of Statistical Software, Vol. 40, No. 6, pp. 1-26, April 2011
Number of pages: 26 Posted: 21 Dec 2009 Last Revised: 03 Aug 2018
Government of the United States of America - National Institute of Standards and Technology (NIST), HEC Montreal - Department of Decision Sciences, Independent, Independent and Independent
Downloads 488 (63,036)
Citation 3

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global optimization, evolutionary algorithm, differential evolution, R software

15.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020
Number of pages: 39 Posted: 12 Jan 2016 Last Revised: 24 Jun 2020
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, University of Neuchâtel and Ghent University
Downloads 399 (80,341)
Citation 3

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qualitative data, sentiment analysis, sentometrics, survey, textual analysis

16.

Questioning the News About Economic Growth: Sparse Forecasting Using Thousands of News-Based Sentiment Values

International Journal of Forecasting, Vol 35, Issue 4, pp. 1370-1386, 2019
Number of pages: 31 Posted: 30 May 2017 Last Revised: 27 Sep 2019
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 368 (88,234)
Citation 3

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elastic-net, US industrial production, sentiment analysis, time-series aggregation, topic-sentiment

17.

Smart Beta and CPPI Performance

Finance, Vol. 37, No. 3, pp. 32-65, 2016
Number of pages: 37 Posted: 05 May 2015 Last Revised: 15 Nov 2017
David Ardia, Kris Boudt and Marjan Wauters
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 358 (91,043)
Citation 2

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Bootstrap evaluation; CPPI; Portfolio insurance; Gap risk; Smart beta

18.

Efficient Bayesian Estimation and Combination of GARCH-Type Models

Rethinking Risk Measurement and Reporting: Examples and Applications from Finance, Vol. II, Chapter 1, Klaus Böcker, eds., RiskBooks, London, 2010
Number of pages: 22 Posted: 26 Jan 2010 Last Revised: 15 Nov 2017
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 353 (92,536)

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GARCH, Bayesian inference, MCMC, marginal likelihood, Bayesian model averaging, adaptive mixture of Student-t distributions, importance sampling

19.

The Economic Benefits of Market Timing the Style Allocation of Characteristic-Based Portfolios

North American Journal of Economics and Finance, Vol. 37, pp. 38-62, 2016
Number of pages: 47 Posted: 27 Jun 2014 Last Revised: 19 Sep 2016
David Ardia, Kris Boudt and Marjan Wauters
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 344 (95,267)
Citation 3

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ETFs; Factor models; Market timing; Portfolio choice; Stock characteristics

20.

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

Journal of Portfolio Management, Vol. 41, Number 4, pp.68-81, July 2015
Number of pages: 21 Posted: 12 Feb 2013 Last Revised: 10 Aug 2018
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 320 (103,293)
Citation 1

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Implied expected return, mean-variance, portfolio allocation, reverse engineering, risk-based allocation

21.

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

The R Journal, Vol. 2, No. 2, pp. 41–47, 2010
Number of pages: 7 Posted: 21 Sep 2009 Last Revised: 08 Dec 2019
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 262 (127,845)

Abstract:

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GARCH, Bayesian, MCMC, Student-t, R software

22.

Properties of the Margrabe Best-of-Two Strategy to Tactical Asset Allocation

International Review of Financial Analysis, Forthcoming
Number of pages: 26 Posted: 06 Dec 2017 Last Revised: 31 Dec 2018
HEC Montreal - Department of Decision Sciences, Ghent University, Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 247 (135,754)

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Best-of-Two, Bond-Equity, Margrabe, Tactical Asset Allocation, Upside Potential, Downside Protection

23.

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

Journal of Time Series Econometrics, Vol. 10, No. 2, pp.1-9, 2018
Number of pages: 14 Posted: 07 Mar 2016 Last Revised: 03 Aug 2018
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 193 (171,598)
Citation 1

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Bootstrap, GARCH, HAC kernel, numerical standard error (NSE), Monte Carlo, Markov chain Monte Carlo (MCMC), spectral density, Value-at-Risk precision

24.

Testing Equality of Modified Sharpe Ratios

Finance Research Letters, Vol.13, pp. 97-104, May 2015
Number of pages: 12 Posted: 31 Oct 2014 Last Revised: 15 Nov 2017
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 191 (173,152)
Citation 3

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bootstrap test, hedge fund, modified Sharpe ratio, non-normal returns, performance measurement

25.

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Number of pages: 59 Posted: 21 Jun 2018 Last Revised: 26 May 2020
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 170 (192,039)

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics

26.

Heuristic Methods in Finance

The Statistical Computing & Statistical Graphics Newsletter, Vol. 22, pp. 13-19, 2011
Number of pages: 7 Posted: 28 Mar 2011 Last Revised: 17 Nov 2017
Enrico Schumann and David Ardia
Independent and HEC Montreal - Department of Decision Sciences
Downloads 165 (196,987)

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Optimization, Heuristic methods, Local Search, Differential Evolution

27.

The Impact of Parameter and Model Uncertainty on Market Risk Predictions from GARCH-Type Models

Journal of Forecasting, 36(7), pp. 808–823, 2017
Number of pages: 32 Posted: 12 Nov 2015 Last Revised: 22 Jul 2019
HEC Montreal - Department of Decision Sciences, affiliation not provided to SSRN and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 142 (223,109)
Citation 3

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GARCH models, Bayesian and frequentist estimation, predictive density combination, beta linear pool, censored optimal pooling, backtesting

28.

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

Finance Research Letters, Vol. 18, pp. 311-316, 2016
Number of pages: 13 Posted: 06 Sep 2015 Last Revised: 15 Nov 2017
Denis-Alexandre Trottier and David Ardia
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students and HEC Montreal - Department of Decision Sciences
Downloads 133 (235,107)
Citation 6

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Asymmetric GARCH, Backtesting, Bayesian, Maximum Likelihood, Skewness

29.

Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit

Journal of Statistical Software, Vol. 29, No. 3, pp.1-32, Jan 2009
Number of pages: 32 Posted: 23 Jun 2008 Last Revised: 03 Aug 2018
HEC Montreal - Department of Decision Sciences, VU University Amsterdam and Tinbergen Institute
Downloads 125 (246,433)
Citation 1

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adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software

30.

Arbitrage Opportunities on the ODAX Options Market: A High-Frequency Analysis

Banque et Marchés, Issue 89, pp. 45-54, 2007
Number of pages: 10 Posted: 26 Oct 2009 Last Revised: 03 Aug 2018
David Ardia
HEC Montreal - Department of Decision Sciences
Downloads 121 (252,591)

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Index options, arbitrage tests, lower boundary, put-call parity

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

Tinbergen Institute Discussion Paper 2013-047/III
Number of pages: 18 Posted: 21 Mar 2013
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 97 (296,656)
Citation 1

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GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, false discovery rate

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

Economics Letters, Vol. 123, Issue 2, pp.187-190, May 2014
Posted: 27 Feb 2013 Last Revised: 11 Mar 2014
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam

Abstract:

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GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, estimation, false discovery rate

32.

To Bridge, to Warp or to Wrap? A Comperative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood

Computational Statistics & Data Analysis, Vol. 56, No. 11, pp. 3398-3414, 2012, TI Discussion Paper No. 09-017/4
Number of pages: 44 Posted: 26 Feb 2009 Last Revised: 13 May 2015
HEC Montreal - Department of Decision Sciences, VU University Amsterdam and Tinbergen Institute
Downloads 95 (298,559)
Citation 1

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marginal likelihood, Bayes factor, importance sampling, Markov chain Monte Carlo, bridge sampling, adaptive mixture of Student-t distributions

33.

Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling

Insurance and Risk Management, Vol. 83, Number 3-4, pp. 115-133, 2016
Number of pages: 20 Posted: 09 Jul 2016 Last Revised: 17 Nov 2017
David Ardia, Anas Guerrouaz and Jeanne Rey
HEC Montreal - Department of Decision Sciences, Université Laval - Département de Finance et Assurance and National Bank of Canada
Downloads 93 (302,639)
Citation 1

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mortgage default probability, entropy pooling, macroeconomic variables, stress-testing, VECM

34.

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

Wilmott Magazine, Issue 66, pp. 40-44, July 2013
Number of pages: 9 Posted: 02 Mar 2013 Last Revised: 23 Nov 2017
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 69 (361,006)

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GARCH, GJR, equity, leverage effect, S&P 500 universe

35.

AdMit: Adaptive Mixtures of Student-t Distributions

The R Journal, Vol. 1, No. 1, pp. 25-30, May 2009
Number of pages: 6 Posted: 16 Jun 2010 Last Revised: 03 Aug 2018
HEC Montreal - Department of Decision Sciences, VU University Amsterdam and Tinbergen Institute
Downloads 63 (378,595)

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adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software

36.

Web Appendix to 'Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation'

Number of pages: 14 Posted: 03 Jan 2018 Last Revised: 19 Jan 2018
David Ardia, Kris Boudt and Giang Nguyen
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 53 (411,300)

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Asset allocation, Performance/Risk Contribution, Target relative performance portfolio

37.

Frequentist and Bayesian Change-Point Models: A Missing Link

Number of pages: 46 Posted: 08 Jan 2020 Last Revised: 11 Mar 2020
HEC Montreal - Department of Decision Sciences, CeReFiM. Université de Namur. and Université Laval - Département d'Économique
Downloads 43 (448,798)

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change point, model selection, model combination, structural change

38.

Predicting Market Risk with Density Combination: An Introduction

Wilmott Magazine 81, pp. 52-57, 2016
Number of pages: 10 Posted: 19 Feb 2015 Last Revised: 13 Nov 2017
David Ardia and Jeremy Kolly
HEC Montreal - Department of Decision Sciences and affiliation not provided to SSRN
Downloads 26 (529,957)
Citation 1

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Density forecast combination, censoring, incomplete model set, risk model contribution, skew Student-t distribution, pool risk forecasts

39.

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

Economics Letters, Vol. 116, pp. 322-325, September 2012
Number of pages: 6 Posted: 20 Jan 2011 Last Revised: 17 Nov 2017
VU University Amsterdam, HEC Montreal - Department of Decision Sciences and Bain & Company - Bain & Company, Netherlands, LLC
Downloads 23 (548,131)
Citation 1

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GARCH, Bayesian, KLIC, censored likelihood

40.

Stress-Testing with Parametric Models and Fully Flexible Probabilities

Wilmott Magazine, Vol. 87, pp. 52-55, 2017
Number of pages: 7 Posted: 20 Mar 2016 Last Revised: 03 Aug 2018
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and HEC Montreal - Department of Decision Sciences
Downloads 20 (567,005)

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Fully flexible probabilities, GARCH, Stress-testing

41.

Generalized Marginal Risk

Journal of Asset Management, Vol 12, pp.123-131, June 2011
Number of pages: 13 Posted: 11 Sep 2009 Last Revised: 17 Nov 2017
Simon Keel and David Ardia
Aeris Capital AG and HEC Montreal - Department of Decision Sciences
Downloads 19 (573,550)

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Marginal Risk, Component Risk, Generalized Marginal Risk, Value-at-Risk, Expected Shortfall, Elliptical Distribution

42.

A Note on Jointly Backtesting Models for Multiple Assets and Horizons

Wilmott Magazine 83, pp.46-48, 2016
Number of pages: 6 Posted: 13 Feb 2016 Last Revised: 15 Nov 2017
HEC Montreal - Department of Decision Sciences, Université Laval - Département de Finance et Assurance and VU University Amsterdam
Downloads 12 (620,148)

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Bootstrap test, GARCH, dependent time series, multiple testing, Value-at-Risk

43.

Jump-Diffusion Calibration Using Differential Evolution

Wilmott Magazine, Issue 55, pp. 76-79, September 2011
Number of pages: 6 Posted: 10 Oct 2010 Last Revised: 14 Nov 2017
HEC Montreal - Department of Decision Sciences, National University of Colombia and National University of Colombia
Downloads 9 (641,020)

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Jump-Diffusion, Maximum Likelihood, Optimization, Differential Evolution

44.

Worldwide Equity Risk Prediction

Applied Economics Letters, Vol. 20, No. 14, 2013
Number of pages: 9 Posted: 23 May 2012 Last Revised: 14 Nov 2017
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 8 (648,244)

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GARCH, value-at-risk, equity, worldwide, false discovery rate

45.

Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-Tinnovations

Econometrics Journal, Vol. 12, Issue 1, pp. 105-126, March 2009
Number of pages: 22 Posted: 27 Apr 2009
David Ardia
HEC Montreal - Department of Decision Sciences
Downloads 5 (669,930)
Citation 1
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46.

Hedge Fund Performance under Misspecified Models

Number of pages: 47
HEC Montreal - Department of Decision Sciences, McGill University - Desautels Faculty of Management, University of Lugano and University of Geneva GSEM and GFRI
Downloads 3

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Hedge funds, performance, model misspecification, large panel

47.

NSE: Computation of Numerical Standard Errors in R

Journal of Open Source Software, Vol. 10, No. 2, 2017
Posted: 06 Aug 2018
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and HEC Montreal - Department of Decision Sciences

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bootstrap, HAC kernel, numerical standard error (NSE), Monte Carlo, spectral density, R software

48.

RiskPortfolios: Computation of Risk-based Portfolios in R

Journal of Open Source Software, Vol 10, No. 2, 2017
Posted: 04 Feb 2017 Last Revised: 06 Feb 2017
HEC Montreal - Department of Decision Sciences, Ghent University and Université Laval - Département de Finance et Assurance

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Risk-based portfolios, optimization, R software

A New Bootstrap Test for Multiple Assets Joint Risk Testing

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 22 Posted: 30 Mar 2017
HEC Montreal - Department of Decision Sciences, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam
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bootstrap test, generalized autoregressive conditional heteroscedasticity (GARCH), marginal models, multiple time series, value-at-risk (VaR)

A New Bootstrap Test for Multiple Assets Joint Risk Testing

Journal of Risk, 2017, Volume 19, Issue 4, pages 1-22
Posted: 19 Aug 2013 Last Revised: 14 Nov 2017
HEC Montreal - Department of Decision Sciences, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam

Abstract:

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Bootstrap test, GARCH, marginal models, multiple time series, Value-at-Risk

50.

The Short-Run Performance Persistence in Funds of Hedge Funds

In G. N. Gregoriou (Ed.), Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence (pp. 289-301). Academic Press: Elsevier Inc., 2013
Posted: 15 Dec 2012 Last Revised: 31 Jan 2013
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University

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Financial crisis, Fund of funds, Persistence, Return, Risk, Selection, Stability, Time-variation

51.

Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications

LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS, G. Fandel, Walter Trockel, eds., Springer-Verlag, 2008
Posted: 21 Sep 2009
David Ardia
HEC Montreal - Department of Decision Sciences

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Bayesian, MCMC, GARCH, GJR, Markov-switching, Value at Risk, Expected Shortfall, Bayes factor, DIC

52.

Analysis of Dependencies in Low Frequency Financial Data Sets

Posted: 15 Apr 2004 Last Revised: 14 Dec 2015
David Ardia
HEC Montreal - Department of Decision Sciences

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Dependencies, low-frequency, monthly, copula, GARCH

Other Papers (1)

Total Downloads: 0
1.

The Short-Run Persistence of Performance in Funds of Hedge Funds

Elsevier Handbook on Funds of Hedge Funds during and after the crisis, Forthcoming
Posted: 04 Apr 2012
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University

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Alpha, Funds of Hedge funds, Hot hands, Performance, Sharpe ratio