Browse by Authors

June 2002

Ardia, David (2002): Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence.

11 September 2009

Keel, Simon and Ardia, David (2009): Generalized Marginal Risk.

20 September 2009

Ardia, David and Hoogerheide, Lennart F. (2009): Bayesian estimation of the GARCH(1,1) model with Student-t innovations. Published in: The R Journal , Vol. 2, No. 2 (31 December 2010): pp. 41-47.

21 December 2009

Mullen, Katharine M. and Ardia, David and Gil, David L. and Windover, Donald and Cline, James (2009): DEoptim: An R Package for Global Optimization by Differential Evolution.

8 February 2010

Ardia, David and Hoogerheide, Lennart F. (2010): Efficient Bayesian estimation and combination of GARCH-type models. Published in: Rethinking Risk Measurement and Reporting: Examples and Applications from Finance, Riskbooks , Vol. Volume, (October 2010)

15 April 2010

Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine M. and Peterson, Brian (2010): Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization.

16 October 2010

Ardia, David and Ospina, Juan and Giraldo, Giraldo (2010): Jump-Diffusion Calibration using Differential Evolution.

17 January 2011

Ardia, David and Lennart, Hoogerheide and Nienke, Corré (2011): Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?

20 December 2023

Ardia, David and Dufays, Arnaud and Ordás Criado, Carlos (2023): Linking Frequentist and Bayesian Change-Point Methods.