Institut d'analyse financière

Ardia, D. (2008). Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Vol. 612). Heidelberg: Springer.
Frésard, L., & Salva Lopez, C. (2007). Does Cross-listing in the U. S. Really Improve Corporate Governance? Evidence from Value of Corporate Liquidity
Salva Lopez, C., & Sonney, F. (2006). The Value of Analysts' Recommandations and the Organization of Financial Research
Bailey, W., Karolyi, G. A., & Salva Lopez, C. (2005). The Economic Consequences of Increased Disclosure: Evidence from International Cross-listings
De Bondt, W. (2005). The Psychology of World Equity Markets: Edward Elgar.
Dubois, M., & Girerd, I. (2000). Exercices de théorie financière et de gestion de portefeuille. Louvain-la-Neuve: De Boeck Université.
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.
Dubois, M., Anolli, M., & Buckland, R. (1995). Second-tier Markets in Europe: New Markets for Growing Firms' Equities. In R. Buckland, & E. Davis (Eds.) Finance for Growing Entreprises. (pp. 223-248). Londres: Routledge.
Articles de périodiques
Ardia, D., Boudt, K., Hartmann, S., & Nguyen, G. (2019). Properties of the Margrabe Best-of-Two strategy to tactical asset allocation. International Review of Financial Analysis, Forthcoming, 00(00), 01-01.
Ardia, D., Bluteau, K., & Boudt, K. (2019). Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values. International Journal of Forecasting, Forthcoming, 0(0), 01-01.
Ardia, D., Boudt, K., & Catania, L. (2019). Generalized autoregressive score models in R: The GAS package. Journal of Statistical Software, Forthcoming, 88(6), 1-28.
Ardia, D., Bluteau, K., Boudt, K., Catania, L., & Trottier, D. A. (2019). Markov-switching GARCH models in R: The MSGARCH package. Journal of Statistical Software, Forthcoming, 0(0), 01-01.
Ardia, D., Bluteau, K., & Ruede, M. (2019). Regime changes in Bitcoin GARCH volatility dynamics. Finance Research Letters, Forthcoming, 0(0), 01-01.
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.
Dubois, M., Dumontier, P., & Frésard, L. (2014). Regulating Conflicts of Interest: The Effect of Sanctions and Enforcement. Review of Finance, 18(2), 489-526.
Min, B. K. (2014). Time-Varying Expected Momentum Profits. Journal of Banking and Finance, 49, 191-215.
Ardia, D., & Hoogerheide, L. (2013). Cross-sectional distribution of GARCH coefficients across S&P 500 constituents. Wilmott Magazine, 66, 40-44.
Min, B. K. (2013). Pricing Innovations in Consumption Growth: A Re-evaluation of the Recursive Utility Model. Journal of Banking and Finance, 37(11), 4465-4475.
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.
Min, B. K. (2012). Are Good-News Firms Riskier than Bad-News Firms?. Journal of Banking and Finance, 36(5), 1528-1535.
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.
Guidotti, I. (2011). Hedge Fund Investing in the Aftermath of the Crisis: Where Did the Money Go?. The Journal of Alternative Investments, 14(2), 8-17.
Min, B. K. (2011). Macroeconomic Risk and the Cross-Section of Stock Returns. Journal of Banking and Finance, 35(12), 3158-3173.
Min, B. K. (2011). Future Labor Income Growth and the Cross Section of Equity Returns. Journal of Banking and Finance, 35(1), 67-81.
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.
De Bondt, W. (2009). Behavioral Finance: Quo Vadis?. Journal of Applied Finance.
Ardia, D. (2007). Tests d'arbitrage sur options. Une analyse empirique des cotations de market-makers. Banque et Marchés, 89, 45-54.
Dubois, M., Bacmann, J. F., & Ertur, C. (2002). Valuation effects of listing on a more prominent segment of the stock market: evidence from France. European Financial Management Journal, 8(4), 479-494.
Dubois, M., & Bacmann, J. F. (2000). La performance des stratégies contraires et momentum sur le marché suisse. Financial Markets and Portfolio Management, 14(4), 252-266.
De Bondt, W. (1998). A portrait of the individual investor. European Economic Review.
Dubois, M., & Louvet, P. (1996). The day of the week effect: the international evidence. Journal of Banking and Finance, 20, 1463-1484.
Dubois, M., & Durini, J. M. (1994). The Dynamics of Stock Returns: an Empirical Analysis of four European Stock Markets. Revue d'Economie Politique et de Statistique Suisse, 131(1), 85-119.
Dubois, M., & Russi, A. (1994). Stock Split and Capital Restructuring: Evidence from Switzerland. Finanzmarkt und Portfolio Management, 8(3), 394-409.
De Bondt, W. (1990). Do security analysts overreact?. American Economic Review.
De Bondt, W. (1985). Does the stock market overreact?. Journal of Finance.
Bluteau, K. (2019). Modeling latent variables in economics and finance, Doctorat, Neuchâtel, Neuchâtel.
Working papers
Guidotti, I. (2013). The Role of Remuneration Structures in Hedge Fund Performance.
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