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Researcher
David Veredas
Profile
Projects
Publications
Activities
32
Results
2022
Essays in financial innovation and sustainability
Dimitrios Kolokas
David Veredas
Dissertation
2022
Venture capital, credit, and fintech start-up formation : a cross-country study
Dimitrios Kolokas
Tom Vanacker
David Veredas
A1
Journal Article
in
ENTREPRENEURSHIP THEORY AND PRACTICE
2022
2021
Advances in flexible models and efficient statistical procedures for heavy-tailed and asymmetric data
Slađana Babić
Christophe Ley
David Veredas
Dissertation
2021
2020
Flexible multivariate Hill estimators
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2020
2019
Comparison and classification of flexible distributions for multivariate skew and heavy-tailed data
Slađana Babić
Christophe Ley
David Veredas
A1
Journal Article
in
SYMMETRY-BASEL
2019
Quantile-based inference for tempered stable distributions
David Veredas
A1
Journal Article
in
COMPUTATIONAL ECONOMICS
2019
2018
Short selling in extreme events
David Veredas
A1
Journal Article
in
JOURNAL OF FINANCIAL STABILITY
2018
Systemic risk in the US : interconnectedness as a circuit breaker
David Veredas
A1
Journal Article
in
ECONOMIC MODELLING
2018
2017
Multivariate hill estimators
David Veredas
A1
Journal Article
in
INTERNATIONAL STATISTICAL REVIEW
2017
Smoothing it out : empirical and simulation results for disentangled realized covariances
David Veredas
A1
Journal Article
in
JOURNAL OF FINANCIAL ECONOMETRICS
2017
Surfing through the GFC : systemic risk in Australia
David Veredas
A1
Journal Article
in
ECONOMIC RECORD
2017
2015
Estimating and forecasting large panels of volatilities with approximate dynamic factor models
David Veredas
A1
Journal Article
in
JOURNAL OF FORECASTING
2015
2014
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2014
2013
Inference for vast dimensional elliptical distributions
David Veredas
A1
Journal Article
in
COMPUTATIONAL STATISTICS
2013
On sample marginal quantiles for stationary processes
David Veredas
A1
Journal Article
in
STATISTICS & PROBABILITY LETTERS
2013
One-step R-estimation in linear models with stable errors
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2013
The method of simulated quantiles
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2013
2012
A simple two-component model for the distribution of intraday returns
David Veredas
A1
Journal Article
in
EUROPEAN JOURNAL OF FINANCE
2012
Optimal portfolios with end-of-period target
David Veredas
A2
Journal Article
in
ADVANCES IN DECISION SCIENCES
2012
Testing conditional asymmetry : a residual-based approach
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
2012
2011
Estimation of stable distributions by indirect inference
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2011
Market liquidity as dynamic factors
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2011
Rank-based testing in linear models with stable errors
David Veredas
A1
Journal Article
in
JOURNAL OF NONPARAMETRIC STATISTICS
2011
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
David Veredas
A1
Journal Article
in
JOURNAL OF BANKING & FINANCE
2011
2010
Does the open limit order book matter in explaining informational volatility?
David Veredas
A1
Journal Article
in
JOURNAL OF FINANCIAL ECONOMETRICS
2010
2009
Indirect estimation of elliptical stable distributions
David Veredas
A1
Journal Article
in
COMPUTATIONAL STATISTICS & DATA ANALYSIS
2009
What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
David Veredas
A1
Journal Article
in
QUANTITATIVE FINANCE
2009
2008
Monitoring and forecasting annual public deficit every month : the case of France
David Veredas
A1
Journal Article
in
EMPIRICAL ECONOMICS
2008
Temporal aggregation of univariate and multivariate time series models : a survey
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMIC SURVEYS
2008
2006
Macroeconomic surprises and short-term behaviour in bond futures
David Veredas
A1
Journal Article
in
EMPIRICAL ECONOMICS
2006
2004
A comparison of financial duration models via density forecasts
David Veredas
A1
Journal Article
in
INTERNATIONAL JOURNAL OF FORECASTING
2004
The stochastic conditional duration model : a latent variable model for the analysis of financial durations
David Veredas
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2004