David Veredas

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Multivariate Hill Estimators International Statistical Review	2023-11-10	Paper
scientific article; zbMATH DE number 7307119 (Why is no real title available?)	2021-02-06	Paper
Flexible multivariate Hill estimators Journal of Econometrics	2020-06-18	Paper
Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models Journal of Forecasting	2018-10-12	Paper
The method of simulated quantiles Journal of Econometrics	2017-05-12	Paper
One-step R-estimation in linear models with stable errors Journal of Econometrics	2017-05-12	Paper
Testing conditional asymmetry: a residual-based approach Journal of Economic Dynamics and Control	2016-09-28	Paper
Market liquidity as dynamic factors Journal of Econometrics	2016-08-12	Paper
Estimation of stable distributions by indirect inference Journal of Econometrics	2016-08-10	Paper
Inference for vast dimensional elliptical distributions Computational Statistics	2015-02-27	Paper
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures Journal of Econometrics	2014-08-06	Paper
The stochastic conditional duration model: a latent variable model for the analysis of financial durations Journal of Econometrics	2014-03-07	Paper
On sample marginal quantiles for stationary processes Statistics & Probability Letters	2013-01-25	Paper
Optimal portfolios with end-of-period target Advances in Decision Sciences	2012-03-14	Paper
Rank-based testing in linear models with stable errors Journal of Nonparametric Statistics	2011-07-22	Paper
Indirect estimation of elliptical stable distributions Computational Statistics and Data Analysis	2010-03-30	Paper

Research outcomes over time

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