David Ardia
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HEC Montréal (École des Hautes Études Commerciales)
Research profile
author of:
- Generalized Autoregressive Score Models in R: The GAS Package (RePEc:arx:papers:1609.02354)
by David Ardia & Kris Boudt & Leopoldo Catania - Value-at-Risk Prediction in R with the GAS Package (RePEc:arx:papers:1611.06010)
by David Ardia & Kris Boudt & Leopoldo Catania - A Century of Economic Policy Uncertainty Through the French-Canadian Lens (RePEc:arx:papers:2106.05240)
by David Ardia & Keven Bluteau & Alaa Kassem - Media abnormal tone, earnings announcements, and the stock market (RePEc:arx:papers:2110.10800)
by David Ardia & Keven Bluteau & Kris Boudt - Thirty Years of Academic Finance (RePEc:arx:papers:2112.14902)
by David Ardia & Keven Bluteau & Mohammad Abbas Meghani - How easy is it for investment managers to deploy their talent in green and brown stocks? (RePEc:arx:papers:2201.05709)
by David Ardia & Keven Bluteau & Thien Duy Tran - Factor Exposure Heterogeneity in Green and Brown Stocks (RePEc:arx:papers:2302.11729)
by David Ardia & Keven Bluteau & Gabriel Lortie-Cloutier & Thien-Duy Tran - The Role of Twitter in Cryptocurrency Pump-and-Dumps (RePEc:arx:papers:2306.02148)
by David Ardia & Keven Bluteau - Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior (RePEc:arx:papers:2307.11012)
by David Ardia & Cl'ement Aymard & Tolga Cenesizoglu - Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions (RePEc:arx:papers:2403.17095)
by David Ardia & Cl'ement Aymard & Tolga Cenesizoglu - High-Dimensional Mean-Variance Spanning Tests (RePEc:arx:papers:2403.17127)
by David Ardia & S'ebastien Laurent & Rosnel Sessinou - Econometrics Meets Sentiment: An Overview Of Methodology And Applications (RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547)
by Andres Algaba & David Ardia & Keven Bluteau & Samuel Borms & Kris Boudt - Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation (RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:9:n:1)
by Ardia David & Bluteau Keven & Hoogerheide Lennart F. - Smart beta and CPPI performance (RePEc:cai:finpug:fina_373_0031)
by David Ardia & Kris Boudt & Marjan Wauters - Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified (RePEc:chf:rpseri:rp2082)
by David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet - Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations (RePEc:ect:emjrnl:v:12:y:2009:i:1:p:105-126)
by David Ardia - A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood (RePEc:eee:csdana:v:56:y:2012:i:11:p:3398-3414)
by Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K. - The economic benefits of market timing the style allocation of characteristic-based portfolios (RePEc:eee:ecofin:v:37:y:2016:i:c:p:38-62)
by Ardia, David & Boudt, Kris & Wauters, Marjan - Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? (RePEc:eee:ecolet:v:116:y:2012:i:3:p:322-325)
by Hoogerheide, Lennart F. & Ardia, David & Corré, Nienke - GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts (RePEc:eee:ecolet:v:123:y:2014:i:2:p:187-190)
by Ardia, David & Hoogerheide, Lennart F. - A century of Economic Policy Uncertainty through the French–Canadian lens (RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002159)
by Ardia, David & Bluteau, Keven & Kassem, Alaa - Properties of the Margrabe Best-of-two strategy to tactical asset allocation (RePEc:eee:finana:v:81:y:2022:i:c:s105752191830190x)
by Ardia, David & Boudt, Kris & Hartmann, Stefan & Nguyen, Giang - Testing equality of modified Sharpe ratios (RePEc:eee:finlet:v:13:y:2015:i:c:p:97-104)
by Ardia, David & Boudt, Kris - Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models (RePEc:eee:finlet:v:18:y:2016:i:c:p:311-316)
by Trottier, Denis-Alexandre & Ardia, David - Regime changes in Bitcoin GARCH volatility dynamics (RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271)
by Ardia, David & Bluteau, Keven & Rüede, Maxime - How easy is it for investment managers to deploy their talent in green and brown stocks? (RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200232x)
by Ardia, David & Bluteau, Keven & Tran, Thien Duy - Factor exposure heterogeneity in green and brown stocks (RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002726)
by Ardia, David & Bluteau, Keven & Lortie-Cloutier, Gabriel & Duy Tran, Thien - Media abnormal tone, earnings announcements, and the stock market (RePEc:eee:finmar:v:61:y:2022:i:c:s1386418121000598)
by Ardia, David & Bluteau, Keven & Boudt, Kris - Forecasting risk with Markov-switching GARCH models:A large-scale performance study (RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747)
by Ardia, David & Bluteau, Keven & Boudt, Kris & Catania, Leopoldo - Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values (RePEc:eee:intfor:v:35:y:2019:i:4:p:1370-1386)
by Ardia, David & Bluteau, Keven & Boudt, Kris - The peer performance ratios of hedge funds (RePEc:eee:jbfina:v:87:y:2018:i:c:p:351-368)
by Ardia, David & Boudt, Kris - Is it alpha or beta? Decomposing hedge fund returns when models are misspecified (RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x)
by Ardia, David & Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier - Unknown item RePEc:fri:dqewps:wp0006 (paper)
- Unknown item RePEc:fri:dqewps:wp0008 (paper)
- Unknown item RePEc:fri:dqewps:wp0009 (paper)
- Unknown item RePEc:fri:dqewps:wp0010 (paper)
- Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices (RePEc:gam:jecnmx:v:4:y:2016:i:1:p:14-:d:65426)
by David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk - Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4 , 14 (RePEc:gam:jecnmx:v:8:y:2020:i:1:p:4-:d:316998)
by David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk - Climate Change Concerns and the Performance of Green vs. Brown Stocks (RePEc:inm:ormnsc:v:69:y:2023:i:12:p:7607-7632)
by David Ardia & Keven Bluteau & Kris Boudt & Koen Inghelbrecht - Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit (RePEc:jss:jstsof:v:029:i03)
by Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K. - DEoptim: An R Package for Global Optimization by Differential Evolution (RePEc:jss:jstsof:v:040:i06)
by Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James - Fully Flexible Views in Multivariate Normal Markets (RePEc:lvl:lacicr:1311)
by Attilio Meucci & David Ardia & Simon Keel - Worldwide equity Risk Prediction (RePEc:lvl:lacicr:1312)
by David Ardia & Lennart F. Hoogerheide - Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012 (RePEc:lvl:lacicr:1313)
by David Ardia & Lennart F. Hoogerheide - Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy (RePEc:lvl:lacicr:1328)
by David Ardia & Kris Boudt - The Peer Performance of Hedge Funds (RePEc:lvl:lacicr:1329)
by David Ardia & Kris Boudt - A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis (RePEc:lvl:lacicr:1413)
by David Ardia & Lukasz Gatarek & Lennart F. hoogerheide - Climate change concerns and the performance of green versus brown stocks (RePEc:nbb:reswpp:202010-395)
by David Ardia & Keven Bluteau & Kris Boudt & Koen Inghelbrecht - Generalized marginal risk (RePEc:pal:assmgt:v:12:y:2011:i:2:d:10.1057_jam.2010.30)
by Simon Keel & David Ardia - Linking Frequentist and Bayesian Change-Point Methods (RePEc:pra:mprapa:119486)
by Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos - Generalized Marginal Risk (RePEc:pra:mprapa:17258)
by Keel, Simon & Ardia, David - Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R (RePEc:pra:mprapa:17414)
by Ardia, David - Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
[Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data] (RePEc:pra:mprapa:17415)
by Ardia, David - DEoptim: An R Package for Global Optimization by Differential Evolution (RePEc:pra:mprapa:21743)
by Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James - Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization (RePEc:pra:mprapa:22135)
by Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian - Efficient Bayesian estimation and combination of GARCH-type models (RePEc:pra:mprapa:22919)
by Ardia, David & Hoogerheide, Lennart F. - Jump-Diffusion Calibration using Differential Evolution (RePEc:pra:mprapa:26184)
by Ardia, David & Ospina, Juan & Giraldo, Giraldo - Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation? (RePEc:pra:mprapa:28259)
by Ardia, David & Lennart, Hoogerheide & Nienke, Corré - Climate change concerns and the performance of green versus brown stocks (RePEc:rug:rugwps:21/1011)
by David Ardia & Keven Bluteau & Kris Boudt & Koen Inghelbrecht - The impact of covariance misspecification in risk-based portfolios (RePEc:spr:annopr:v:254:y:2017:i:1:d:10.1007_s10479-017-2474-7)
by David Ardia & Guido Bolliger & Kris Boudt & Jean-Philippe Gagnon-Fleury - Financial Risk Management with Bayesian Estimation of GARCH Models (RePEc:spr:lnecms:978-3-540-78657-3)
by David Ardia - Worldwide equity risk prediction (RePEc:taf:apeclt:v:20:y:2013:i:14:p:1333-1339)
by David Ardia & Lennart F. Hoogerheide - Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation (RePEc:taf:quantf:v:18:y:2018:i:8:p:1249-1259)
by David Ardia & Kris Boudt & Giang Nguyen - Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit (RePEc:tin:wpaper:20080062)
by David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk - To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods (RePEc:tin:wpaper:20090017)
by David Ardia & Lennart Hoogerheide & Herman K. van Dijk - Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations (RePEc:tin:wpaper:20100045)
by David Ardia & Lennart F. Hoogerheide - Efficient Bayesian Estimation and Combination of GARCH-Type Models (RePEc:tin:wpaper:20100046)
by David Ardia & Lennart F. Hoogerheide - A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood (RePEc:tin:wpaper:20100059)
by David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk - Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation? (RePEc:tin:wpaper:20110020)
by Lennart F. Hoogerheide & David Ardia & Nienke Corre - GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts (RePEc:tin:wpaper:20130047)
by David Ardia & Lennart Hoogerheide - A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis (RePEc:tin:wpaper:20140028)
by David Ardia & Lukasz Gatarek & Lennart F. Hoogerheide - Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation (RePEc:ulb:ulbeco:2013/286494)
by David Ardia & Kris Boudt & Giang Nguyen - The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models (RePEc:wly:jforec:v:36:y:2017:i:7:p:808-823)
by David Ardia & Jeremy Kolly & Denis‐Alexandre Trottier