Browsing All of EconStor by Author Ardia, David
Showing results 1 to 9 of 9
Year of Publication | Title | Author(s) |
2008 | Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation | Ardia, David; Hoogerheide, Lennart F.; van Dijk, Herman K. |
2009 | To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods | Ardia, David; Hoogerheide, Lennart; van Dijk, Herman K. |
2010 | Efficient Bayesian Estimation and Combination of GARCH-Type Models | Ardia, David; Hoogerheide, Lennart F. |
2010 | Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations | Ardia, David; Hoogerheide, Lennart F. |
2010 | A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods | Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K. |
2013 | GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts | Ardia, David; Hoogerheide, Lennart |
2014 | A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis | Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. |
2016 | Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices | Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; van Dijk, Herman K. |
2020 | Climate change concerns and the performance of green versus brown stocks | Ardia, David; Bluteau, Keven; Boudt, Kris; Inghelbrecht, Koen |