← All authors David Ardia HEC Montréal (from arXiv:2405.10449, 2024) · ORCID · OpenAlex
58 papers in scope · 58 published · 1 on the econ.EM arXiv · 3,255 citations · h-index 23 (over the papers listed here)
Papers (1 of 58)
Revisiting Boehmer et al. (2021): recent period, alternative method, different conclusions
published 2025 · Financial markets and portfolio management · first circulated 2024
with Clément Aymard, Tolga Cenesizoglu
published 2025 · International Journal of Forecasting · first circulated 2024
Examining high-frequency patterns in Robinhood users’ trading behavior
published 2025 · International Review of Financial Analysis · 1 citations
with Clément Aymard, Tolga Cenesizoglu
Efficient estimation of bid–ask spreads from open, high, low, and close prices
published 2024 · Journal of Financial Economics · 26 citations · first circulated 2021
with Emanuele Guidotti, Tim Alexander Kroencke
Twitter and cryptocurrency pump-and-dumps
published 2024 · International Review of Financial Analysis · 10 citations · first circulated 2023
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified
published 2024 · Journal of Financial Economics · 11 citations
Linking Frequentist and Bayesian Change-Point Methods
published 2023 · Journal of Business and Economic Statistics · 2 citations
with Arnaud Dufays, Carlos Ordás Criado, Carlos Ordas Criado
Thirty years of academic finance
published 2023 · Journal of Economic Surveys · 9 citations · first circulated 2021
Factor exposure heterogeneity in green and brown stocks
published 2023 · Finance research letters · 9 citations
Climate Change Concerns and the Performance of Green vs. Brown Stocks
published 2022 · Management Science · 603 citations · first circulated 2020
How easy is it for investment managers to deploy their talent in green and brown stocks?
published 2022 · Finance research letters · 6 citations
Media abnormal tone, earnings announcements, and the stock market
published 2021 · Journal of Financial Markets · 27 citations
A century of Economic Policy Uncertainty through the French–Canadian lens
published 2021 · Economics Letters · 7 citations
The R Package sentometrics to Compute, Aggregate, and Predict with Textual Sentiment
published 2021 · Journal of Statistical Software · 25 citations · first circulated 2017
COVID-19 Data Hub
published 2020 · The Journal of Open Source Software · 172 citations
with Emanuele Guidotti
ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS
published 2020 · Journal of Economic Surveys · 139 citations · first circulated 2019
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
published 2020 · Econometrics · 3 citations
with Łukasz Gątarek, Lennart F. Hoogerheide, Herman K. van Dijk
Hedge Fund Performance under Misspecified Models
published 2020 · Swiss Finance Institute Research Paper Series
Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values
published 2019 · International Journal of Forecasting · 87 citations
Properties of the Margrabe Best-of-two strategy to tactical asset allocation
published 2019 · International Review of Financial Analysis · 1 citations · first circulated 2017
Markov-Switching GARCH Models in R : The MSGARCH Package
published 2019 · Journal of Statistical Software · 107 citations · first circulated 2016
Generalized Autoregressive Score Models in R : The GAS Package
published 2019 · Journal of Statistical Software · 66 citations · first circulated 2016
Downside Risk Evaluation with the R Package GAS
published 2019 · The R Journal · 17 citations
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
published 2018 · International Journal of Forecasting · 164 citations · first circulated 2017
Regime changes in Bitcoin GARCH volatility dynamics
published 2018 · Finance research letters · 293 citations
Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation
published 2018 · Journal of Time Series Econometrics · 2 citations
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
published 2018 · Quantitative Finance · 9 citations · first circulated 2016
The peer performance ratios of hedge funds
published 2017 · Journal of Banking & Finance · 26 citations · first circulated 2012
Smart beta and CPPI performance
published 2017 · Finance · 8 citations
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
published 2017 · Journal of Forecasting · 15 citations
with Jeremy Kolly, Denis-Alexandre Trottier
The impact of covariance misspecification in risk-based portfolios
published 2017 · Annals of Operations Research · 55 citations · first circulated 2015
nse: Computation of Numerical Standard Errors in R
published 2017 · The Journal of Open Source Software · 4 citations
RiskPortfolios: Computation of Risk-Based Portfolios in R
published 2017 · The Journal of Open Source Software · 23 citations
A new bootstrap test for multiple assets joint risk testing
published 2017 · The Journal of Risk · 6 citations
with Łukasz Gątarek, Lennart F. Hoogerheide
Stress-Testing With Parametric Models and Fully Flexible Probabilities
published 2017 · Wilmott
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models
published 2016 · Finance research letters · 38 citations · first circulated 2015
with Denis-Alexandre Trottier
A Note on Jointly Backtesting Models for Multiple Assets and Horizons
published 2016 · Wilmott
with Anas Guerrouaz, Lennart F. Hoogerheide
The economic benefits of market timing the style allocation of characteristic-based portfolios
published 2016 · The North American Journal of Economics and Finance · 11 citations
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
published 2016 · Econometrics · 3 citations
with Łukasz Gątarek, Lennart F. Hoogerheide, Herman K. van Dijk
Predicting Market Risk with Density Combination: An Introduction
published 2016 · Wilmott · 2 citations · first circulated 2015
with Jeremy Kolly
MACROECONOMIC STRESS-TESTING OF MORTGAGE DEFAULT RATE USING A VECTOR ERROR CORRECTION MODEL AND ENTROPY POOLING
published 2016 · Assurances et gestion des risques · 3 citations
with Anas Guerrouaz, Jeanne Rey
Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy
published 2015 · The Journal of Portfolio Management · 19 citations · first circulated 2013
Testing equality of modified Sharpe ratios
published 2015 · Finance research letters · 30 citations · first circulated 2014
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
published 2014 · Economics Letters · 49 citations · first circulated 2013
with Lennart F. Hoogerheide
Worldwide equity risk prediction
published 2013 · Applied Economics Letters · 2 citations
with Lennart F. Hoogerheide
Cross-Sectional Distribution of GARCH Coefficients Across S&P 500 Constituents: Time-Variation Over the Period 2000-2012
published 2013 · Wilmott · 1 citations
with Lennart F. Hoogerheide
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?
published 2012 · Economics Letters · 12 citations · first circulated 2011
with Lennart F. Hoogerheide, Nienke Corré
An Introduction to the Generalized Margin Risk
published 2012 · Wilmott
with Simon Keel
Fully flexible extreme views
published 2011 · The Journal of Risk · 1 citations
with Attilio Meucci, Simon Keel
Jump-Diffusion Calibration Using Differential Evolution
published 2011 · Wilmott · 10 citations
with Juan David
Generalized marginal risk
published 2011 · Journal of Asset Management · 3 citations · first circulated 2009
with Simon Keel
Differential Evolution with DEoptim
published 2011 · The R Journal · 233 citations
DEoptim : An R Package for Global Optimization by Differential Evolution
published 2011 · Journal of Statistical Software · 702 citations · first circulated 2009
with Katharine M. Mullen, David Gil, Donald Windover, James P. Cline, Brian G. Peterson, Joshua Ulrich
A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
published 2010 · Computational Statistics & Data Analysis · 49 citations
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
published 2010 · The R Journal · 55 citations · first circulated 2006
with F. Hoogerheide Lennart, Lennart F. Hoogerheide
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit
published 2009 · Journal of Statistical Software · 30 citations · first circulated 2008
with Lennart F. Hoogerheide, Herman K. van Dijk
AdMit
published 2009 · The R Journal · 7 citations
with F. Hoogerheide Lennart, Herman,K.,van Dijk, Lennart F. Hoogerheide, Herman K. van Dijk
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
published 2008 · Econometrics Journal · 62 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).