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David Veredas

Personal Details

First Name:David
Middle Name:
Last Name:Veredas
Suffix:
RePEc Short-ID:pve30
[This author has chosen not to make the email address public]
http://www.vlerick.com
Vlerick Business School Av. du Boulevard 21 1210, Brussels
Terminal Degree:2002 Center for Operations Research and Econometrics (CORE); Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM); Université Catholique de Louvain (from RePEc Genealogy)

Affiliation

Vlerick Business School

Gent, Belgium
http://www.vlerick.be/
RePEc:edi:vlgmsbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Marco Valerio Geraci & Tomas Garbaravicius & David Veredas, 2016. "Short Selling in the Tails," Working Papers ECARES ECARES 2016-30, ULB -- Universite Libre de Bruxelles.
  2. Yves Dominicy & Sirkku Pauliina Ilmonen & David Veredas, 2015. "A Multivariate Hill Estimator," ULB Institutional Repository 2013/154961, ULB -- Universite Libre de Bruxelles.
  3. Harry-Paul Vander Elst & David Veredas, 2014. "Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices," Working Papers ECARES ECARES 2014-35, ULB -- Universite Libre de Bruxelles.
  4. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
  5. David Veredas, 2013. "Quantitative Finance Group: Activity Report 2010-2012," ULB Institutional Repository 2013/136245, ULB -- Universite Libre de Bruxelles.
  6. Yves Dominicy & Siegfried Hörmann & Hiroaki Ogata & David Veredas, 2013. "On sample marginal quantiles for stationary processes," ULB Institutional Repository 2013/136283, ULB -- Universite Libre de Bruxelles.
  7. Marc Paolella & Eric Renault & Gennady Samorodnitsky & David Veredas, 2013. "Latest developments in heavy-tailed distributions," ULB Institutional Repository 2013/136284, ULB -- Universite Libre de Bruxelles.
  8. Cathy Chen & Junichi Hirukawa & Hiroshi Shiraishi & Kenichiro Tamaki & Masanobu Taniguchi & David Veredas, 2012. "Statistical Estimation of Portfolios for Dependent Financial Returns," ULB Institutional Repository 2013/136659, ULB -- Universite Libre de Bruxelles.
  9. Hiroshi Shiraishi & Hiroaki Ogata & Tomoyuki Amano & Valentin Palitea & Masanobu Taniguchi & David Veredas, 2012. "Optimal portfolios with end-of-period target," ULB Institutional Repository 2013/136660, ULB -- Universite Libre de Bruxelles.
  10. Laura Coroneo & David Veredas, 2012. "A simple two-component model for the distribution of intraday returns," ULB Institutional Repository 2013/136189, ULB -- Universite Libre de Bruxelles.
  11. Philippe Lambert & Sébastien Laurent & David Veredas, 2012. "Testing conditional asymmetry. A residual based approach," ULB Institutional Repository 2013/136195, ULB -- Universite Libre de Bruxelles.
  12. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
  13. Yves Dominicy & Siegfried Hörmann & David Veredas & Hiroaki Ogata, 2012. "Marginal quantiles for stationary processes," Working Papers 1228, Banco de España.
  14. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
  15. Thomas Lux & Pablo Rovira & David Veredas, 2012. "Quantifying and understanding dysfunctions in financial markets," ULB Institutional Repository 2013/136219, ULB -- Universite Libre de Bruxelles.
  16. Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
    • Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020. "TailCoR," Papers 2011.14817, arXiv.org.
  17. Marc Hallin & Yvik Swan & Thomas Verdebout & David Veredas, 2011. "Rank-based testing in linear models with stable errors," ULB Institutional Repository 2013/136196, ULB -- Universite Libre de Bruxelles.
  18. Rene Garcia & Eric Renault & David Veredas, 2011. "Estimation of stable distributions with indirect inference," ULB Institutional Repository 2013/136186, ULB -- Universite Libre de Bruxelles.
  19. Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2011. "Market liquidity as dynamic factors," Working Papers ECARES 163, 42-50, ULB -- Universite Libre de Bruxelles.
  20. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  21. Yves Dominicy & David Veredas, 2010. "The method of simulated quantiles," Working Papers ECARES 2010-008, ULB -- Universite Libre de Bruxelles.
  22. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES 2010-004, ULB -- Universite Libre de Bruxelles.
  23. Roberto Pascual & David Veredas, 2009. "What pieces of LOB information are informative? An empirical analysis of a pure order driven market," ULB Institutional Repository 2013/136193, ULB -- Universite Libre de Bruxelles.
  24. Marco Lombardi & David Veredas, 2009. "Indirect inference of elliptical fat tailed distributions," ULB Institutional Repository 2013/136204, ULB -- Universite Libre de Bruxelles.
  25. Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
  26. Alexandre Petkovic & David Veredas, 2009. "Aggregation of linear models for panel data," Working Papers ECARES 2009-012, ULB -- Universite Libre de Bruxelles.
  27. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research and International Relations Area.
  28. Cecilia Frale & David Veredas, 2008. "A Monthly Volatility Index for the US Economy," Working Papers ECARES 2008-008, ULB -- Universite Libre de Bruxelles.
  29. Seethepalli, Kalpana & Bramati, Maria Caterina & Veredas, David, 2008. "How relevant is infrastructure to growth in East Asia ?," Policy Research Working Paper Series 4597, The World Bank.
  30. Winfried Pohlmeier & Luc Bauwens & David Veredas, 2007. "High frequency financial econometrics. Recent developments," ULB Institutional Repository 2013/136223, ULB -- Universite Libre de Bruxelles.
  31. LOMBARDI, Marco & VEREDAS, David, 2007. "Indirect estimation of elliptical stable distributions," LIDAM Discussion Papers CORE 2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  32. Rodriguez-Poo Juan & David Veredas & Antoni Espasa, 2007. "Seminonparametric models for financial durations," ULB Institutional Repository 2013/136235, ULB -- Universite Libre de Bruxelles.
  33. CORONEO, Laura & VEREDAS, David, 2006. "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE 2006077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  34. GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," LIDAM Discussion Papers CORE 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  35. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," LIDAM Discussion Papers CORE 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Luc Bauwens & David Veredas & Winfried Pohlmeier, 2005. "High frequency finance," ULB Institutional Repository 2013/136220, ULB -- Universite Libre de Bruxelles.
  37. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," LIDAM Discussion Papers CORE 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  38. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," LIDAM Discussion Papers CORE 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  39. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," LIDAM Discussion Papers CORE 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  40. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," LIDAM Discussion Papers CORE 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  41. VEREDAS, David & RODRIGUEZ-POO, Juan & ESPASA, Antoni, 2002. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," LIDAM Discussion Papers CORE 2002023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  42. DURENARD, Eugene & VEREDAS, David, 2002. "Macro surprises and short-term behaviour in bond futures," LIDAM Discussion Papers CORE 2002037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  43. BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2000. "A comparison of financial duration models via density forecasts," LIDAM Discussion Papers CORE 2000060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  44. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," LIDAM Discussion Papers CORE 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    repec:hum:wpaper:sfb649dp2010-005 is not listed on IDEAS

Articles

  1. Dominicy, Yves & Hörmann, Siegfried & Ogata, Hiroaki & Veredas, David, 2013. "On sample marginal quantiles for stationary processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 28-36.
  2. Laura Coroneo & David Veredas, 2012. "A simple two-component model for the distribution of intraday returns," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 775-797, October.
  3. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
  4. Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
  5. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
  6. Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
  7. Roberto Pascual & David Veredas, 2010. "Does the Open Limit Order Book Matter in Explaining Informational Volatility?," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 57-87, Winter.
  8. Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
  9. Roberto Pascual & David Veredas, 2009. "What pieces of limit order book information matter in explaining order choice by patient and impatient traders?," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 527-545.
  10. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June.
  11. David Veredas, 2006. "Macroeconomic surprises and short-term behaviour in bond futures," Empirical Economics, Springer, vol. 30(4), pages 843-866, January.
  12. Luc Bauwens & Winfried Pohlmeier & David Veredas, 2006. "Editor’s introduction," Empirical Economics, Springer, vol. 30(4), pages 791-794, January.
  13. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
  14. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.

Software components

  1. Yves Dominicy & Hiroaki Ogata & David Veredas, 2012. "FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"," HSC Software ZIP12001, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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  2. Betweenness measure in co-authorship network
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2008-11-18 2010-08-14 2012-08-23 2012-09-22 2014-09-05. Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2008-11-18 2012-08-23 2012-08-23 2012-09-22
  3. NEP-RMG: Risk Management (4) 2010-08-14 2012-08-23 2012-09-22 2016-09-11
  4. NEP-DEV: Development (1) 2008-09-13
  5. NEP-FMK: Financial Markets (1) 2016-09-11
  6. NEP-MST: Market Microstructure (1) 2011-04-23
  7. NEP-SEA: South East Asia (1) 2008-09-13

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