David Veredas
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- TailCoR (RePEc:bde:wpaper:1227)
by Lorenzo Ricci & David Veredas - Marginal quantiles for stationary processes (RePEc:bde:wpaper:1228)
by Yves Dominicy & Siegfried Hörmann & David Veredas & Hiroaki Ogata - Which model to match? (RePEc:bde:wpaper:1229)
by Matteo Barigozzi & Roxana Halbleib & David Veredas - A model for vast panels of volatilities (RePEc:bde:wpaper:1230)
by Matteo Luciani & David Veredas - Temporal aggregation of univariate and multivariate time series models: A survey (RePEc:bdi:wptemi:td_685_08)
by Andrea Silvestrini & David Veredas - The stochastic conditional duration model: a latent factor model for the analysis of financial durations (RePEc:cor:louvco:1999058)
by BAUWENS, Luc & VEREDAS, David - A comparison of financial duration models via density forecasts (RePEc:cor:louvco:2000060)
by BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David - On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach (RePEc:cor:louvco:2002023)
by VEREDAS, David & RODRIGUEZ-POO, Juan & ESPASA, Antoni - Macro surprises and short-term behaviour in bond futures (RePEc:cor:louvco:2002037)
by DURENARD, Eugene & VEREDAS, David - What pieces of limit order book information are informative ? (RePEc:cor:louvco:2004033)
by PASCUAL, Roberto & VEREDAS, David - Using intra annual information to forecast the annual state deficits : the case of France (RePEc:cor:louvco:2004048)
by MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David - Testing weak exogeneity in the exponential family : an application to financial point processes (RePEc:cor:louvco:2004049)
by DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David - Temporal aggregation of univariate linear time series models (RePEc:cor:louvco:2005059)
by SILVESTRINI, Andrea & VEREDAS, David - Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation (RePEc:cor:louvco:2006077)
by CORONEO, Laura & VEREDAS, David - Does the open limit order book matter in explaining long run volatility ? (RePEc:cor:louvco:2006110)
by PASCUAL, Roberto & VEREDAS, David - Estimation of stable distributions by indirect inference (RePEc:cor:louvco:2006112)
by GARCIA, René & RENAULT, Eric & VEREDAS, David - Indirect estimation of elliptical stable distributions (RePEc:cor:louvco:2007018)
by LOMBARDI, Marco & VEREDAS, David - On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach (RePEc:crs:wpaper:2001-19)
by David Veredas & Juan Rodriguez-Poo & Antoni Espasa - On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach (RePEc:cte:wsrepe:ws013321)
by Veredas, David & Rodríguez Poo, Juan M. - Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices (RePEc:eca:wpaper:2013/174857)
by Harry-Paul Vander Elst & David Veredas - A Monthly Volatility Index for the US Economy (RePEc:eca:wpaper:2013/230517)
by Cecilia Frale & David Veredas - Market liquidity as dynamic factors (RePEc:eca:wpaper:2013/230740)
by Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas - Aggregation of linear models for panel data (RePEc:eca:wpaper:2013/230744)
by Alexandre Petkovic & David Veredas - The impact of macroeconomic news on quote adjustments, noise and informational volatility (RePEc:eca:wpaper:2013/230855)
by Nikolaus Hautsch & Dieter Hess & David Veredas - The method of simulated quantiles (RePEc:eca:wpaper:2013/230859)
by Yves Dominicy & David Veredas - Short Selling in the Tails (RePEc:eca:wpaper:2013/235546)
by Marco Valerio Geraci & Tomas Garbaravicius & David Veredas - A Comparison of Financial Duration Models via Density Forecasts (RePEc:ecm:wc2000:0810)
by Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas - Indirect estimation of elliptical stable distributions (RePEc:eee:csdana:v:53:y:2009:i:6:p:2309-2324)
by Lombardi, Marco J. & Veredas, David - Testing conditional asymmetry: A residual-based approach (RePEc:eee:dyncon:v:36:y:2012:i:8:p:1229-1247)
by Lambert, Philippe & Laurent, Sébastien & Veredas, David - The stochastic conditional duration model: a latent variable model for the analysis of financial durations (RePEc:eee:econom:v:119:y:2004:i:2:p:381-412)
by Bauwens, Luc & Veredas, David - Estimation of stable distributions by indirect inference (RePEc:eee:econom:v:161:y:2011:i:2:p:325-337)
by Garcia, René & Renault, Eric & Veredas, David - Market liquidity as dynamic factors (RePEc:eee:econom:v:163:y:2011:i:1:p:42-50)
by Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David - A comparison of financial duration models via density forecasts (RePEc:eee:intfor:v:20:y:2004:i:4:p:589-609)
by Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David - The impact of macroeconomic news on quote adjustments, noise, and informational volatility (RePEc:eee:jbfina:v:35:y:2011:i:10:p:2733-2746)
by Hautsch, Nikolaus & Hess, Dieter & Veredas, David - On sample marginal quantiles for stationary processes (RePEc:eee:stapro:v:83:y:2013:i:1:p:28-36)
by Dominicy, Yves & Hörmann, Siegfried & Ogata, Hiroaki & Veredas, David - Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets (RePEc:fir:econom:wp2010_06)
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas - The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility (RePEc:hum:wpaper:sfb649dp2010-005)
by Nikolaus Hautsch & Dieter Hess & David Veredas - Does the Open Limit Order Book Matter in Explaining Informational Volatility? (RePEc:oup:jfinec:v:8:y:2010:i:1:p:57-87)
by Roberto Pascual & David Veredas - Editor’s introduction (RePEc:spr:empeco:v:30:y:2006:i:4:p:791-794)
by Luc Bauwens & Winfried Pohlmeier & David Veredas - Macroeconomic surprises and short-term behaviour in bond futures (RePEc:spr:empeco:v:30:y:2006:i:4:p:843-866)
by David Veredas - Monitoring and forecasting annual public deficit every month: the case of France (RePEc:spr:empeco:v:34:y:2008:i:3:p:493-524)
by Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas - A simple two-component model for the distribution of intraday returns (RePEc:taf:eurjfi:v:18:y:2012:i:9:p:775-797)
by Laura Coroneo & David Veredas - What pieces of limit order book information matter in explaining order choice by patient and impatient traders? (RePEc:taf:quantf:v:9:y:2009:i:5:p:527-545)
by Roberto Pascual & David Veredas - Estimation of stable distributions with indirect inference (RePEc:ulb:ulbeco:2013/136186)
by Rene Garcia & Eric Renault & David Veredas - A simple two-component model for the distribution of intraday returns (RePEc:ulb:ulbeco:2013/136189)
by Laura Coroneo & David Veredas - The impact of macroeconomic news on quote adjustments, noise and informational volatility (RePEc:ulb:ulbeco:2013/136190)
by Nikolaus Hautsch & Dieter Hess & David Veredas - What pieces of LOB information are informative? An empirical analysis of a pure order driven market (RePEc:ulb:ulbeco:2013/136193)
by Roberto Pascual & David Veredas - Macro surprises and short-term behavior in bond futures (RePEc:ulb:ulbeco:2013/136194)
by David Veredas - Testing conditional asymmetry. A residual based approach (RePEc:ulb:ulbeco:2013/136195)
by Philippe Lambert & Sébastien Laurent & David Veredas - Rank-based testing in linear models with stable errors (RePEc:ulb:ulbeco:2013/136196)
by Marc Hallin & Yvik Swan & Thomas Verdebout & David Veredas - Aggregation of linear models for panel data (RePEc:ulb:ulbeco:2013/136203)
by Alexandre Petkovic & David Veredas - Indirect inference of elliptical fat tailed distributions (RePEc:ulb:ulbeco:2013/136204)
by Marco Lombardi & David Veredas - Temporal aggregation of univariate and multivariate time series models: a survey (RePEc:ulb:ulbeco:2013/136205)
by Andrea Silvestrini & David Veredas - Using intra annual information to forecast the annual state deficit. The case of France (RePEc:ulb:ulbeco:2013/136217)
by Laurent Moulin & Matteo Sala & Andrea Silvestrini & David Veredas - A comparison of financial duration models via density forecast (RePEc:ulb:ulbeco:2013/136218)
by Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas - Quantifying and understanding dysfunctions in financial markets (RePEc:ulb:ulbeco:2013/136219)
by Thomas Lux & Pablo Rovira & David Veredas - High frequency finance (RePEc:ulb:ulbeco:2013/136220)
by Luc Bauwens & David Veredas & Winfried Pohlmeier - High frequency financial econometrics. Recent developments (RePEc:ulb:ulbeco:2013/136223)
by Winfried Pohlmeier & Luc Bauwens & David Veredas - The stochastic conditional duration model: a latent factor model for the analysis of financial durations (RePEc:ulb:ulbeco:2013/136234)
by Luc Bauwens & David Veredas - Seminonparametric models for financial durations (RePEc:ulb:ulbeco:2013/136235)
by Rodriguez-Poo Juan & David Veredas & Antoni Espasa - Macro Surprises and short-term behavior in bond futures (RePEc:ulb:ulbeco:2013/136236)
by David Veredas - Quantitative Finance Group: Activity Report 2010-2012 (RePEc:ulb:ulbeco:2013/136245)
by David Veredas - Inference for vast dimensional elliptical distributions (RePEc:ulb:ulbeco:2013/136282)
by Yves Dominicy & Hiroaki Ogata & David Veredas - On sample marginal quantiles for stationary processes (RePEc:ulb:ulbeco:2013/136283)
by Yves Dominicy & Siegfried Hörmann & Hiroaki Ogata & David Veredas - Latest developments in heavy-tailed distributions (RePEc:ulb:ulbeco:2013/136284)
by Marc Paolella & Eric Renault & Gennady Samorodnitsky & David Veredas - Statistical Estimation of Portfolios for Dependent Financial Returns (RePEc:ulb:ulbeco:2013/136659)
by Cathy Chen & Junichi Hirukawa & Hiroshi Shiraishi & Kenichiro Tamaki & Masanobu Taniguchi & David Veredas - Optimal portfolios with end-of-period target (RePEc:ulb:ulbeco:2013/136660)
by Hiroshi Shiraishi & Hiroaki Ogata & Tomoyuki Amano & Valentin Palitea & Masanobu Taniguchi & David Veredas - A Multivariate Hill Estimator (RePEc:ulb:ulbeco:2013/154961)
by Yves Dominicy & Sirkku Pauliina Ilmonen & David Veredas - Does the open limit order book matter in explaining informational volatility? (RePEc:ulb:ulbeco:2013/183777)
by Roberto Pascual & David Veredas - How relevant is infrastructure to growth in East Asia ? (RePEc:wbk:wbrwps:4597)
by Seethepalli, Kalpana & Bramati, Maria Caterina & Veredas, David - FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions" (RePEc:wuu:hscode:zip12001)
by Yves Dominicy & Hiroaki Ogata & David Veredas - The impact of macroeconomic news on quote adjustments, noise, and informational volatility (RePEc:zbw:cfrwps:1106)
by Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David - The impact of macroeconomic news on quote adjustments, noise, and informational volatility (RePEc:zbw:sfb649:sfb649dp2010-005)
by Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David