Research Explorer

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Researcher

David Veredas

32 Results

2022

Essays in financial innovation and sustainability

Dimitrios KolokasDavid Veredas

Venture capital, credit, and fintech start-up formation : a cross-country study

Dimitrios KolokasTom VanackerDavid Veredas

A1 Journal Article in ENTREPRENEURSHIP THEORY AND PRACTICE

2021

Advances in flexible models and efficient statistical procedures for heavy-tailed and asymmetric data

Slađana BabićChristophe LeyDavid Veredas

2020

Flexible multivariate Hill estimators

A1 Journal Article in JOURNAL OF ECONOMETRICS

2019

Comparison and classification of flexible distributions for multivariate skew and heavy-tailed data

Slađana BabićChristophe LeyDavid Veredas

A1 Journal Article in SYMMETRY-BASEL

Quantile-based inference for tempered stable distributions

A1 Journal Article in COMPUTATIONAL ECONOMICS

2018

Short selling in extreme events

A1 Journal Article in JOURNAL OF FINANCIAL STABILITY

Systemic risk in the US : interconnectedness as a circuit breaker

A1 Journal Article in ECONOMIC MODELLING

2017

Multivariate hill estimators

A1 Journal Article in INTERNATIONAL STATISTICAL REVIEW

Smoothing it out : empirical and simulation results for disentangled realized covariances

A1 Journal Article in JOURNAL OF FINANCIAL ECONOMETRICS

Surfing through the GFC : systemic risk in Australia

A1 Journal Article in ECONOMIC RECORD

2015

Estimating and forecasting large panels of volatilities with approximate dynamic factor models

A1 Journal Article in JOURNAL OF FORECASTING

2014

Disentangling systematic and idiosyncratic dynamics in panels of volatility measures

A1 Journal Article in JOURNAL OF ECONOMETRICS

2013

Inference for vast dimensional elliptical distributions

A1 Journal Article in COMPUTATIONAL STATISTICS

On sample marginal quantiles for stationary processes

A1 Journal Article in STATISTICS & PROBABILITY LETTERS

One-step R-estimation in linear models with stable errors

A1 Journal Article in JOURNAL OF ECONOMETRICS

The method of simulated quantiles

A1 Journal Article in JOURNAL OF ECONOMETRICS

2012

A simple two-component model for the distribution of intraday returns

A1 Journal Article in EUROPEAN JOURNAL OF FINANCE

Optimal portfolios with end-of-period target

A2 Journal Article in ADVANCES IN DECISION SCIENCES

Testing conditional asymmetry : a residual-based approach

A1 Journal Article in JOURNAL OF ECONOMIC DYNAMICS & CONTROL

2011

Estimation of stable distributions by indirect inference

A1 Journal Article in JOURNAL OF ECONOMETRICS

Market liquidity as dynamic factors

A1 Journal Article in JOURNAL OF ECONOMETRICS

Rank-based testing in linear models with stable errors

A1 Journal Article in JOURNAL OF NONPARAMETRIC STATISTICS

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

A1 Journal Article in JOURNAL OF BANKING & FINANCE

2010

Does the open limit order book matter in explaining informational volatility?

A1 Journal Article in JOURNAL OF FINANCIAL ECONOMETRICS

2009

Indirect estimation of elliptical stable distributions

A1 Journal Article in COMPUTATIONAL STATISTICS & DATA ANALYSIS

What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

A1 Journal Article in QUANTITATIVE FINANCE

2008

Monitoring and forecasting annual public deficit every month : the case of France

A1 Journal Article in EMPIRICAL ECONOMICS

Temporal aggregation of univariate and multivariate time series models : a survey

A1 Journal Article in JOURNAL OF ECONOMIC SURVEYS

2006

Macroeconomic surprises and short-term behaviour in bond futures

A1 Journal Article in EMPIRICAL ECONOMICS

2004

A comparison of financial duration models via density forecasts

A1 Journal Article in INTERNATIONAL JOURNAL OF FORECASTING

The stochastic conditional duration model : a latent variable model for the analysis of financial durations

A1 Journal Article in JOURNAL OF ECONOMETRICS