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Publications

Institut d'analyse financière

Title Authors Year Type
 
Macroeconomic stress-testing of mortgage d... Ardia, David,... 2016 Journal article
   
Moments of standardized Fernandez–Steel sk... Trottier, Den... 2016 Journal article
   
A Note on Jointly Backtesting Models for M... Ardia, David,... 2016 Journal article
   
Predicting market risk with density combin... Ardia, David,... 2016 Journal article
   
Return and risk of pairs trading using a s... Ardia, David,... 2016 Journal article
   
The economic benefits of market timing the... Ardia, David,... 2016 Journal article
   
Testing the equality of modified Sharpe ratios Ardia, David,... 2015 Journal article
   
Parametric stress-testing in non-normal ma... Ardia, David,... 2015 Journal article
   
Implied expected returns and the choice of... Ardia, David,... 2015 Journal article
   
Large scale portfolio optimization with DE... Ardia, David,... 2014 Book chapter
   
Worldwide equity risk prediction Ardia, David,... 2014 Journal article
   
Estimation frequency of GARCH-type models:... Ardia, David,... 2014 Journal article
   
Quantitative portfolio construction and sy... Meucci, Attil... 2014 Journal article
   
Regulating Conflicts of Interest: The Effe... Dubois, Miche... 2014 Journal article
   
Time-Varying Expected Momentum Profits Min, Byoung-Kyu 2014 Journal article
   
The short-run persistence of performance i... Ardia, David,... 2013 Book chapter
   
Cross-sectional distribution of GARCH coef... Ardia, David,... 2013 Journal article
   
The Role of Remuneration Structures in Hed... Guidotti, Ivan 2013 Working paper
   
 
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