Research Explorer

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Researcher

David Veredas

Awards & Distinctions

34 Results

2023

Common short selling and excess comovement: Evidence from a sample of LSE stocks*

Marco Valerio GeraciJean-Yves GnaboDavid Veredas

U Journal Article in JOURNAL OF FINANCIAL MARKETS

TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements

Sladana BabicChristophe LeyLorenzo RicciDavid Veredas

U Journal Article in PLOS ONE

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 VeredasShaker Zahra

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

Yves DominicyMatias HeikkiläPauliina IlmonenDavid Veredas

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

Hasan A. FallahgoulDavid VeredasFrank J. Fabozzi

A1 Journal Article in COMPUTATIONAL ECONOMICS

2018

Short selling in extreme events

Marco Valerio GeraciTomas GarbaravičiusDavid Veredas

A1 Journal Article in JOURNAL OF FINANCIAL STABILITY

Systemic risk in the US : interconnectedness as a circuit breaker

Mardi DungeyMatteo LucianiDavid Veredas

A1 Journal Article in ECONOMIC MODELLING

2017

Multivariate hill estimators

Yves DominicyPauliina IlmonenDavid Veredas

A1 Journal Article in INTERNATIONAL STATISTICAL REVIEW

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

Harry Vander ElstDavid Veredas

A1 Journal Article in JOURNAL OF FINANCIAL ECONOMETRICS

Surfing through the GFC : systemic risk in Australia

Mardi DungeyMarius MateiMatteo LucianiDavid Veredas

A1 Journal Article in ECONOMIC RECORD

2015

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

Matteo LucianiDavid Veredas

A1 Journal Article in JOURNAL OF FORECASTING

2014

Disentangling systematic and idiosyncratic dynamics in panels of volatility measures

Matteo BarigozziChristian BrownleesGiampiero M. GalloDavid Veredas

A1 Journal Article in JOURNAL OF ECONOMETRICS

2013

Inference for vast dimensional elliptical distributions

Yves DominicyHiroaki OgataDavid Veredas

A1 Journal Article in COMPUTATIONAL STATISTICS

On sample marginal quantiles for stationary processes

Yves DominicySiegfried HörmannHiroaki OgataDavid Veredas

A1 Journal Article in STATISTICS & PROBABILITY LETTERS

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

Marc HallinYvik SwanThomas VerdeboutDavid Veredas

A1 Journal Article in JOURNAL OF ECONOMETRICS

The method of simulated quantiles

Yves DominicyDavid Veredas

A1 Journal Article in JOURNAL OF ECONOMETRICS

2012

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

Laura CoroneoDavid Veredas

A1 Journal Article in EUROPEAN JOURNAL OF FINANCE

Optimal portfolios with end-of-period target

Hiroshi ShiraishiHiroaki OgataTomoyuki AmanoValentin PatileaDavid VeredasMasanobu Taniguchi

A2 Journal Article in ADVANCES IN DECISION SCIENCES

Testing conditional asymmetry : a residual-based approach

Philippe LambertSébastien LaurentDavid Veredas

A1 Journal Article in JOURNAL OF ECONOMIC DYNAMICS & CONTROL

2011

Estimation of stable distributions by indirect inference

René GarciaEric RenaultDavid Veredas

A1 Journal Article in JOURNAL OF ECONOMETRICS

Market liquidity as dynamic factors

Marc HallinCharles MathiasHugues PirotteDavid Veredas

A1 Journal Article in JOURNAL OF ECONOMETRICS

Rank-based testing in linear models with stable errors

Marc HallinYvik SwanThomas VerdeboutDavid Veredas

A1 Journal Article in JOURNAL OF NONPARAMETRIC STATISTICS

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

Nikolaus HautschDieter HessDavid Veredas

A1 Journal Article in JOURNAL OF BANKING & FINANCE

2010

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

R. PascualDavid Veredas

A1 Journal Article in JOURNAL OF FINANCIAL ECONOMETRICS

2009

Indirect estimation of elliptical stable distributions

Marco J. LombardiDavid Veredas

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?

Roberto PascualDavid Veredas

A1 Journal Article in QUANTITATIVE FINANCE

2008

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

Andrea SilvestriniMatteo SaltoLaurent MoulinDavid Veredas

A1 Journal Article in EMPIRICAL ECONOMICS

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

Andrea SilvestriniDavid Veredas

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

Luc BauwensPierre GiotJoachim GrammigDavid Veredas

A1 Journal Article in INTERNATIONAL JOURNAL OF FORECASTING

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

Luc BauwensDavid Veredas

A1 Journal Article in JOURNAL OF ECONOMETRICS