David Ardia

HEC Montreal - Department of Decision Sciences

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

SCHOLARLY PAPERS

66

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49,450

SSRN CITATIONS
Rank 4,852

SSRN RANKINGS

Top 4,852

in Total Papers Citations

327

CROSSREF CITATIONS

60

Ideas:
“  https://ardiad.github.io  ”

Scholarly Papers (66)

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, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 6,883 (2,111)
Citation 32

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

2.

Climate Change Concerns and the Performance of Green vs. Brown Stocks

Management Science, Vol. 69, Issue 12, Pages 7607-7632, 2023
Number of pages: 37 Posted: 18 Dec 2020 Last Revised: 12 Jun 2024
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Ghent University - Department of Economics
Downloads 5,211 (3,416)
Citation 1

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Asset Pricing, Climate Change, Sustainable Investing, ESG, Greenhouse Gas Emission, Sentometrics, Textual Analysis

3.

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 4,828 (3,894)

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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

4.

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Journal of Financial Economics, volume 161, 2024 [10.1016/j.jfineco.2024.103916]
Number of pages: 65 Posted: 26 Jul 2021 Last Revised: 19 Aug 2024
HEC Montreal - Department of Decision Sciences, University of Lugano - Institute of Finance and FHNW School of Business
Downloads 4,601 (4,264)
Citation 5

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bid-ask spread, trading frictions, transaction costs

5.

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 2,566 (10,899)

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

6.

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 2,391 (12,202)
Citation 4

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

7.

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: 15 Posted: 16 Feb 2017 Last Revised: 06 Jun 2021
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,850 (18,356)
Citation 19

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

8.

Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified

Journal of Financial Economics, Vol. 154, Pages 103805, 2024
Number of pages: 83 Posted: 18 Sep 2020 Last Revised: 03 Aug 2024
HEC Montreal - Department of Decision Sciences, Universite du Luxembourg - Department of Finance, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 1,477 (25,865)

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Hedge fund returns, alpha, beta, model misspecification, large cross-section

9.

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

Journal of Statistical Software, Vol. 99, Issue 2, pp. 1-40, 2021
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 19 Aug 2021
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 1,471 (26,056)
Citation 15

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aggregation, penalized regression, prediction, R, sentometrics, textual sentiment, time series

10.

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, Guidance Capital ManagementWilliam Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,190 (35,448)
Citation 1

Abstract:

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

11.

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 1,188 (35,550)
Citation 9

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

12.

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 1,001 (45,534)
Citation 3

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

13.

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 945 (49,284)
Citation 4

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

14.

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, Asteria Investment Managers, Ghent University and Université Laval - Département de Finance et Assurance
Downloads 916 (51,427)
Citation 6

Abstract:

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Covariance misspecification, Monte Carlo study, Risk-based portfolios

15.

Regime Changes in Bitcoin GARCH Volatility Dynamics

Finance Research Letters, Volume 29, June 2019, Pages 266-271
Number of pages: 6 Posted: 30 May 2018 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Maxime Rüede
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and University of Neuchatel - Institute of Financial Analysis
Downloads 876 (54,700)
Citation 14

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

16.

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 862 (55,897)
Citation 2

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

17.

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 761 (66,057)
Citation 5

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global optimization, evolutionary algorithm, differential evolution, R software

18.

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 720 (71,013)
Citation 2

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

19.

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: 18 Aug 2021
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 714 (71,773)
Citation 26

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

20.

Thirty years of academic finance

Journal of Economic Surveys, Vol. 38, pp.1008–1042., 2024
Number of pages: 35 Posted: 07 Feb 2022 Last Revised: 13 Jun 2024
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and HEC Montreal - Department of Decision Sciences
Downloads 696 (74,200)

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finance literature, structural topic model (STM), scientometrics, topic modeling, textual analysis

21.

Examining High-Frequency Patterns in Robinhood Users' Trading Behavior

Number of pages: 67 Posted: 01 Apr 2022 Last Revised: 30 Jun 2024
HEC Montreal - Department of Decision Sciences, HEC Montreal and HEC Montreal - Department of Finance
Downloads 667 (78,249)
Citation 1

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Attention-Induced Trading, Robinhood, Retail Investors, High-Frequency Data, Reaction Speed, FinTech JEL: G11, G14, G40, G41, G53

22.

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 581 (93,165)
Citation 4

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

23.

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 467 (121,712)
Citation 2

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

24.

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: 17 Posted: 30 May 2017 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 462 (123,278)
Citation 32

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

25.

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 427 (135,260)

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

26.

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

International Review of Financial Analysis, Vol. 81, 2022
Number of pages: 26 Posted: 06 Dec 2017 Last Revised: 14 Apr 2022
HEC Montreal - Department of Decision Sciences, Ghent University, Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 408 (142,599)

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

27.

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 407 (143,019)

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

28.

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 403 (144,699)
Citation 3

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

29.

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Journal of Financial Markets, Volume 61, pp. 100683, 2022
Number of pages: 41 Posted: 21 Jun 2018 Last Revised: 05 Dec 2022
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 377 (155,956)
Citation 5

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics, Structural Topic Model (STM)

30.

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, Université de Sherbrooke - Faculty of Administration and VU University Amsterdam
Downloads 350 (169,108)
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

31.

Linking Frequentist and Bayesian Change-Point Methods

Journal of Business & Economic Statistics, Vol. 42, Pages 1155-1168 , 2024
Number of pages: 43 Posted: 08 Jan 2020 Last Revised: 22 Sep 2024
HEC Montreal - Department of Decision Sciences, EDHEC Business school and Université Laval - Département d'Économique
Downloads 310 (192,519)

Abstract:

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change-point, model selection/combination, structural change, minimum description length

32.

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 263 (228,151)
Citation 11

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Asymmetric GARCH, Backtesting, Bayesian, Maximum Likelihood, Skewness

33.

Optimal Text-Based Time-Series Indices

Number of pages: 30 Posted: 17 May 2024
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and Université de Sherbrooke - Faculty of Administration
Downloads 234 (256,012)

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Genetic algorithm; text-based indices; NLP; text-mining; Sentometrics

34.

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 224 (266,827)

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Optimization, Heuristic methods, Local Search, Differential Evolution

35.

A Century of Economic Policy Uncertainty Through the French-Canadian Lens

Economics Letters, Volume 205, August 2021, 109938
Number of pages: 9 Posted: 17 Mar 2021 Last Revised: 12 Oct 2021
David Ardia, Keven Bluteau and Alaa Kassem
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and HEC Montreal - Department of Decision Sciences
Downloads 214 (278,543)

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Economic uncertainty, Policy uncertainty, Canada, Quebec, token-distance-based triple, issues, nowcasting, Sentometrics

Factor Exposure Heterogeneity in Green and Brown Stocks

Number of pages: 10 Posted: 28 Feb 2023
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, HEC Montreal and HEC Montreal
Downloads 154 (373,129)

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Greenhouse gas emissions (GHG), climate finance, carbon finance, peer performance, factor exposure

Factor Exposure Heterogeneity in Green and Brown Stocks

Number of pages: 11 Posted: 02 Mar 2023
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, HEC Montreal and HEC Montreal - Department of Decision Sciences
Downloads 27 (956,913)

Abstract:

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Greenhouse gas emissions (GHG), climate finance, carbon finance, peer performance, factor exposure

37.

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 173 (337,883)
Citation 1

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

38.

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 171 (341,294)
Citation 1

Abstract:

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

39.

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 152 (377,055)
Citation 4

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

40.

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 150 (381,291)

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

41.

Twitter and cryptocurrency pump-and-dumps

Number of pages: 15 Posted: 23 Jan 2024 Last Revised: 17 Aug 2024
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and Université de Sherbrooke - Faculty of Administration
Downloads 146 (389,673)

Abstract:

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Twitter, Cryptocurrencies, Event-study, Pump-and-dump

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 144 (394,422)
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

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

43.

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 124 (442,412)
Citation 1

Abstract:

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

44.

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 123 (445,118)

Abstract:

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

45.

Measuring uncertainty and uncertainty dispersion from a large set of model predictions

Number of pages: 37 Posted: 07 Sep 2021
David Ardia and Arnaud Dufays
HEC Montreal - Department of Decision Sciences and EDHEC Business school
Downloads 118 (459,288)

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Uncertainty, Uncertainty dispersion, Risk predictions, Model risk, Heterogeneity, Mixture models.

46.

How Easy is it for Investment Managers to Deploy their Talent in Green and Brown Stocks?

Finance Research Letters, Vol. 48, pp. 102992, 2022
Number of pages: 10 Posted: 17 Jan 2022 Last Revised: 21 Feb 2023
David Ardia, Keven Bluteau and Thien Duy Tran
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and HEC Montreal
Downloads 113 (474,551)

Abstract:

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Greenhouse gas emissions (GHG), climate finance, carbon finance, peer performance

47.

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 110 (483,986)

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

48.

Fast and Furious: A High-Frequency Analysis of Robinhood Users’ Trading Behavior

Number of pages: 44 Posted: 29 Nov 2023
HEC Montreal - Department of Decision Sciences, HEC Montreal and HEC Montreal - Department of Finance
Downloads 109 (487,175)

Abstract:

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Attention-Induced Trading, Robinhood, Retail Investors, High-FrequencyData, Reaction Speed, Fintech

49.

High-Dimensional Mean-Variance Spanning Tests

Number of pages: 34 Posted: 23 Jan 2024 Last Revised: 21 Mar 2024
HEC Montreal - Department of Decision Sciences, AMSE and HEC Montreal - Department of Decision Sciences
Downloads 105 (500,537)

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Spanning test, Mean-variance, Model validation, Diversification testing, Batch-mean

50.

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 93 (543,050)
Citation 1

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

51.

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 Université de Sherbrooke - Faculty of Administration
Downloads 86 (569,881)

Abstract:

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Fully flexible probabilities, GARCH, Stress-testing

52.

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 79 (599,272)

Abstract:

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

53.

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 66 (659,635)

Abstract:

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Jump-Diffusion, Maximum Likelihood, Optimization, Differential Evolution

54.

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 63 (674,939)
Citation 1

Abstract:

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GARCH, Bayesian, KLIC, censored likelihood

55.

Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions

Number of pages: 54 Posted: 23 Jan 2024 Last Revised: 21 Mar 2024
HEC Montreal - Department of Decision Sciences, HEC Montreal and HEC Montreal - Department of Finance
Downloads 60 (690,865)

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Retail Investor, Retail Order Imbalance, Return Predictability, Quote Midpoint Method, Replication

56.

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 50 (749,361)

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

57.

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 37 (841,526)

Abstract:

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

58.

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 33 (874,771)

Abstract:

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

59.

The Investment Value of Target Prices

Number of pages: 50 Posted: 20 Aug 2015
Ivan Guidotti, Michel Dubois and David Ardia
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel - Institute of Financial Analysis and HEC Montreal - Department of Decision Sciences
Downloads 17 (1,032,782)

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Financial analysts, target price, market efficiency

60.

Climate Change Concerns and Option-Implied Stock Returns ⋆

Number of pages: 15
David Ardia and Thomas J. Boyer
HEC Montreal - Department of Decision Sciences and HEC Montreal
Downloads 6

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Asset pricing, climate change, sustainable investing, greenhouse gas emissions, implied returns, textual analysis

61.

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 Université de Sherbrooke - Faculty of Administration

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

62.

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

63.

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

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

64.

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

65.

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

66.

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