Details about David Veredas

Access statistics for papers by David Veredas.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pve30

Working Papers

2016

1. Short Selling in the Tails
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2015

2. A Multivariate Hill Estimator
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2014

3. Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)

2013

4. Inference for vast dimensional elliptical distributions
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
5. Latest developments in heavy-tailed distributions
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
6. On sample marginal quantiles for stationary processes
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
   See also Journal Article On sample marginal quantiles for stationary processes, Statistics & Probability Letters, Elsevier (2013) View citations (4) (2013)
7. Quantitative Finance Group: Activity Report 2010-2012
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2012

8. A model for vast panels of volatilities
   Working Papers, Banco de España View citations (16)
9. A simple two-component model for the distribution of intraday returns
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
   See also Journal Article A simple two-component model for the distribution of intraday returns, The European Journal of Finance, Taylor & Francis Journals (2012) View citations (5) (2012)
10. Marginal quantiles for stationary processes
    Working Papers, Banco de España View citations (2)
11. Optimal portfolios with end-of-period target
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
12. Quantifying and understanding dysfunctions in financial markets
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
13. Statistical Estimation of Portfolios for Dependent Financial Returns
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
14. TailCoR
    Working Papers, Banco de España
15. Testing conditional asymmetry. A residual based approach
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    See also Journal Article Testing conditional asymmetry: A residual-based approach, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (8) (2012)
16. Which model to match?
    Working Papers, Banco de España View citations (1)

2011

17. Estimation of stable distributions with indirect inference
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
18. Market liquidity as dynamic factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (15)
    See also Journal Article Market liquidity as dynamic factors, Journal of Econometrics, Elsevier (2011) View citations (16) (2011)
19. Rank-based testing in linear models with stable errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
20. The impact of macroeconomic news on quote adjustments, noise and informational volatility
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (40)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (15)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) View citations (26)
    See also Journal Article The impact of macroeconomic news on quote adjustments, noise, and informational volatility, Journal of Banking & Finance, Elsevier (2011) View citations (26) (2011)

2010

21. Aggregation of linear models for panel data
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2009)
22. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (7)
23. The method of simulated quantiles
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)

2009

24. Does the open limit order book matter in explaining informational volatility?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article Does the Open Limit Order Book Matter in Explaining Informational Volatility?, Journal of Financial Econometrics, Oxford University Press (2010) View citations (18) (2010)
25. Indirect inference of elliptical fat tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
26. What pieces of LOB information are informative? An empirical analysis of a pure order driven market
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2008

27. A Monthly Volatility Index for the US Economy
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
28. How relevant is infrastructure to growth in East Asia ?
    Policy Research Working Paper Series, The World Bank View citations (9)
29. Temporal aggregation of univariate and multivariate time series models: A survey
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (78)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2008) View citations (78)
30. Using intra annual information to forecast the annual state deficit. The case of France
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (4)

2007

31. High frequency financial econometrics. Recent developments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (43)
32. Indirect estimation of elliptical stable distributions
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    See also Journal Article Indirect estimation of elliptical stable distributions, Computational Statistics & Data Analysis, Elsevier (2009) View citations (13) (2009)
33. Macro Surprises and short-term behavior in bond futures
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2005)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) View citations (1)
34. Seminonparametric models for financial durations
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2006

35. Does the open limit order book matter in explaining long run volatility ?
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
36. Estimation of stable distributions by indirect inference
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
    See also Journal Article Estimation of stable distributions by indirect inference, Journal of Econometrics, Elsevier (2011) View citations (24) (2011)
37. Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)

2005

38. High frequency finance
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
39. Temporal aggregation of univariate linear time series models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)

2004

40. A comparison of financial duration models via density forecast
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (85)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (12)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (31)
    See also Journal Article A comparison of financial duration models via density forecasts, International Journal of Forecasting, Elsevier (2004) View citations (94) (2004)
41. Testing weak exogeneity in the exponential family: an application to financial point processes
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
42. The stochastic conditional duration model: a latent factor model for the analysis of financial durations
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (123)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (28)
43. What pieces of limit order book information are informative ?
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (14)

2002

44. On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
    Also in Working Papers, Center for Research in Economics and Statistics (2001) View citations (5)
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2001) View citations (4)

Journal Articles

2013

1. On sample marginal quantiles for stationary processes
   Statistics & Probability Letters, 2013, 83, (1), 28-36 View citations (4)
   See also Working Paper On sample marginal quantiles for stationary processes, ULB Institutional Repository (2013) View citations (4) (2013)

2012

2. A simple two-component model for the distribution of intraday returns
   The European Journal of Finance, 2012, 18, (9), 775-797 View citations (5)
   See also Working Paper A simple two-component model for the distribution of intraday returns, ULB Institutional Repository (2012) View citations (5) (2012)
3. Testing conditional asymmetry: A residual-based approach
   Journal of Economic Dynamics and Control, 2012, 36, (8), 1229-1247 View citations (8)
   See also Working Paper Testing conditional asymmetry. A residual based approach, ULB Institutional Repository (2012) View citations (7) (2012)

2011

4. Estimation of stable distributions by indirect inference
   Journal of Econometrics, 2011, 161, (2), 325-337 View citations (24)
   See also Working Paper Estimation of stable distributions by indirect inference, LIDAM Discussion Papers CORE (2006) View citations (11) (2006)
5. Market liquidity as dynamic factors
   Journal of Econometrics, 2011, 163, (1), 42-50 View citations (16)
   See also Working Paper Market liquidity as dynamic factors, Working Papers ECARES (2011) View citations (15) (2011)
6. The impact of macroeconomic news on quote adjustments, noise, and informational volatility
   Journal of Banking & Finance, 2011, 35, (10), 2733-2746 View citations (26)
   See also Working Paper The impact of macroeconomic news on quote adjustments, noise and informational volatility, ULB Institutional Repository (2011) View citations (40) (2011)

2010

7. Does the Open Limit Order Book Matter in Explaining Informational Volatility?
   Journal of Financial Econometrics, 2010, 8, (1), 57-87 View citations (18)
   See also Working Paper Does the open limit order book matter in explaining informational volatility?, ULB Institutional Repository (2009) View citations (1) (2009)

2009

8. Indirect estimation of elliptical stable distributions
   Computational Statistics & Data Analysis, 2009, 53, (6), 2309-2324 View citations (13)
   See also Working Paper Indirect estimation of elliptical stable distributions, LIDAM Discussion Papers CORE (2007) View citations (5) (2007)
9. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
   Quantitative Finance, 2009, 9, (5), 527-545 View citations (20)

2008

10. Monitoring and forecasting annual public deficit every month: the case of France
    Empirical Economics, 2008, 34, (3), 493-524 View citations (23)

2006

11. Editor’s introduction
    Empirical Economics, 2006, 30, (4), 791-794 View citations (1)
12. Macroeconomic surprises and short-term behaviour in bond futures
    Empirical Economics, 2006, 30, (4), 843-866 View citations (10)

2004

13. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 View citations (94)
    See also Working Paper A comparison of financial duration models via density forecast, ULB Institutional Repository (2004) View citations (85) (2004)
14. The stochastic conditional duration model: a latent variable model for the analysis of financial durations
    Journal of Econometrics, 2004, 119, (2), 381-412 View citations (126)

Software Items

2012

1. FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology