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Publications

Titre  
 
Livres
Ardia, D. (2008). Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Vol. 612). Heidelberg: Springer.
   
Chapitres de livres
Ardia, D., Boudt, K., Mullen , K., & Peterson, B. (2014). Large scale portfolio optimization with DEoptim. In Soft-Computing in Capital Market: Research and Methods of Computational Finance for Measuring Risk of Financial Instruments. (pp. 1-20). Boca Raton, Florida: BrownWalker Press.
   
Ardia, D., & Boudt, K. (2013). The short-run persistence of performance in funds of hedge funds. In Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence. (pp. 289-301). New-York: G. N. Gregoriou.
   
Ardia, D., & Hoogerheide, L. (2010). Efficient Bayesian estimation and combination of GARCH-type models. In Rethinking Risk Measurement and Reporting. (Vol. II, pp. 1-19). London: Klaus Bocker.
   
Articles de périodiques
Ardia, D., Boudt, K., & Catania, L. (2018). Downside risk evaluation with the R package GAS. R Journal, 10(2), 410-421.
   
Ardia, D., Bluteau, K., Boudt, K., & Catania, L. (2018). Forecasting risk with Markov-switching GARCH models: A large-scale performance study. International Journal of Forecasting, 34(4), 733-747.
   
Ardia, D., Bluteau, K., & Hoogerheide, L. (2018). Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation. Journal of Time Series Econometrics, 10(2), 1-9.
   
Ardia, D., Boudt, K., & Nguyen, G. (2018). Beyond risk-based portfolios: Balancing performance and risk contributions in asset allocation. Quantitative Finance, 18(8), 1249-1259.
   
Ardia, D., & Boudt, K. (2018). The peer performance ratios of hedge funds. Journal of Banking and Finance, 87, 351-368.
   
Ardia, D., Kolly, J., & Trottier, D. A. (2017). The impact of parameter and model uncertainty on market risk predictions from GARCH-type models. Journal of Forecasting, 36(7), 808-823.
   
Ardia, D., Boudt, K., Bolliger, G., & Gagnon-Fleury, P. (2017). The impact of covariance misspecification in risk-based portfolios. Annals of Operations Research, 0, 1-5.
   
Ardia, D., Gatarek, L., & Hoogerheide, L. (2017). A new bootstrap test for multiple assets joint risk testing. Journal of Risk, 19(4), 1-22.
   
Ardia, D., & Bluteau, K. (2017). nse: Computation of numerical standard errors in R. Journal of Open Source Software, 10(2), 1-1.
   
Ardia, D., Boudt, K., & Gagnon-Fleury, P. (2017). RiskPortfolios: Computation of risk-based portfolios in R. Journal of Open Source Software, 10(2), 1-1.
   
Ardia, D., & Bluteau, K. (2017). Stress-testing with parametric models and Fully Flexible Probabilities. Wilmott Magazine, 87, 52-55.
   
Ardia, D., Boudt, K., & Wauters, M. (2016). Smart beta and CPPI performance. Finance, 37(3), 32-65.
   
Ardia, D., Guerrouaz, A., & Rey, J. (2016). Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling. Insurance and Risk Management, 83(3-4), 115-133.
   
Trottier, D. A., & Ardia, D. (2016). Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models. Finance Research Letters, 18, 311-316.
   
Ardia, D., Guerrouaz, A., & Hoogerheide, L. (2016). A Note on Jointly Backtesting Models for Multiple Assets and Horizons. Wilmott Magazine, 83, 46-49.
   
Ardia, D., & Kolly, J. (2016). Predicting market risk with density combination: An introduction. Wilmott Magazine, 81, 52-57.
   
Ardia, D., Gatarek, L. T., Hoogerheide, L., & Van Dijk , H. (2016). Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices. Econometrics, 4(1), 1-19.
   
Ardia, D., Boudt, K., & Wauters, M. (2016). The economic benefits of market timing the style allocation of characteristic-based portfolios. The North American Journal of Economics and Finance, 37, 38-62.
   
Ardia, D., & Boudt, K. (2015). Testing the equality of modified Sharpe ratios. Finance Research Letters, 13, 97-104.
   
Ardia, D., & Meucci, A. (2015). Parametric stress-testing in non-normal markets via entropy pooling. Risk Magazine, June, 1-5.
   
Ardia, D., & Boudt, K. (2015). Implied expected returns and the choice of a mean-variance efficient portfolio proxy. Journal of Portfolio Management, 41(4), 68-81.
   
Ardia, D., & Hoogerheide, L. (2014). Worldwide equity risk prediction. Applied Economics Letters, 20(14), 1333-1339.
   
Ardia, D., & Hoogerheide, L. (2014). Estimation frequency of GARCH-type models: Impact on Value-at-Risk and Expected Shortfall forecasts?. Economics Letters, 123, 187-190.
   
Meucci, A., Ardia, D., & Colasante, M. (2014). Quantitative portfolio construction and systematic trading strategies using factor entropy pooling. Risk Magazine, 27(5), 56-61.
   
Ardia, D., & Hoogerheide, L. (2013). Cross-sectional distribution of GARCH coefficients across S&P 500 constituents. Wilmott Magazine, 66, 40-44.
   
Hoogerheide, L., Ardia, D., & Corré, N. (2012). Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?. Economics Letters, 116(3), 322-325.
   
Ardia, D., Basturk, N., Hoogerheide, L., & Van Dijk , H. (2012). A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods. Computational Statistics & Data Analysis, 56(11), 3398-3414.
   
Ardia, D., Ospina , J. D., & Giraldo Gomez, J. D. (2011). Jump-diffusion calibration using Differential Evolution. Wilmott Magazine, 55, 76-79.
   
Mullen , K., Ardia, D., Gil, D. L., Windover , D., & Cline, J. (2011). DEoptim: An R package for global optimization by Differential Evolution. Journal of Statistical Software, 40(6), 1-26.
   
Ardia, D., Boudt, K., Carl, P., Mullen , K., & Peterson, B. (2011). Differential Evolution with DEoptim: An application to non-convex portfolio optimization. The R Journal, 3(1), 27-34.
   
Ardia, D., & Keel, S. (2011). Generalized marginal risk. Journal of Asset Management, 12, 123-131.
   
Meucci, A., Ardia, D., & Keel, S. (2011). Fully flexible extreme views. Journal of Risk, 14(2), 39-49.
   
Ardia, D., & Hoogerheide, L. (2010). Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R. The R Journal, 2(2), 41-47.
   
Ardia, D. (2009). Bayesian estimation of a Markov-switching threshold GARCH model with Student-t innovations. Econometrics Journal, 12(1), 105-126.
   
Ardia, D., Hoogerheide, L., & Van Dijk , H. (2009). Adaptive mixture of Student-t distributions as a flexible distribution for efficient simulation: The R package AdMit. Journal of Statistical Software, 29(3), 1-32.
   
Ardia, D., Hoogerheide, L., & Van Dijk , H. (2009). AdMit: Adaptive mixtures of Student-t distributions. The R Journal, 1(1), 25-30.
   
Ardia, D. (2007). Tests d'arbitrage sur options. Une analyse empirique des cotations de market-makers. Banque et Marchés, 89, 45-54.
   
 
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*Format bibliographique : APA5