David Veredas
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The stochastic conditional duration model: a latent variable model for the analysis of financial durations
L Bauwens, D Veredas
Journal of econometrics 119 (2), 381-412, 2004
A comparison of financial duration models via density forecasts
L Bauwens, P Giot, J Grammig, D Veredas
International Journal of Forecasting 20 (4), 589-609, 2004
Temporal aggregation of univariate and multivariate time series models: a survey
A Silvestrini, D Veredas
Journal of Economic Surveys 22 (3), 458-497, 2008
Estimation of stable distributions by indirect inference
R Garcia, E Renault, D Veredas
Journal of Econometrics 161 (2), 325-337, 2011
How much does infrastructure matter to growth in Sub-Saharan Africa
A Estache, B Speciale, D Veredas
unpublished, World Bank (June 2005), 2005
The method of simulated quantiles
Y Dominicy, D Veredas
Journal of Econometrics 172 (2), 235-247, 2013
How relevant is infrastructure to growth in East Asia?
K Seethepalli, MC Bramati, D Veredas
The World Bank, 2008
What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
R Pascual, D Veredas
Quantitative Finance 9 (5), 527-545, 2009
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
N Hautsch, D Hess, D Veredas
Journal of Banking & Finance 35 (10), 2733-2746, 2011
Does the open limit order book matter in explaining informational volatility?
R Pascual, D Veredas
Journal of Financial Econometrics 8 (1), 57-87, 2010
Price discovery in fragmented markets
F De Jong, PC Schotman
Journal of Financial Econometrics 8 (1), 1-28, 2010
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
M Barigozzi, C Brownlees, GM Gallo, D Veredas
Journal of econometrics 182 (2), 364-384, 2014
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach.
D Veredas, JM Rodríguez Poo, A Espasa
Ranking systemically important financial institutions
M Dungey, M Luciani, D Veredas
Tinbergen Institute Discussion Paper, 2012
Market liquidity as dynamic factors
M Hallin, C Mathias, H Pirotte, D Veredas
Journal of econometrics 163 (1), 42-50, 2011
Macroeconomic surprises and short-term behaviour in bond futures
D Veredas
High Frequency Financial Econometrics, 269-292, 2008
Estimating and forecasting large panels of volatilities with approximate dynamic factor models
M Luciani, D Veredas
Journal of Forecasting 34 (3), 163-176, 2015
Indirect estimation of elliptical stable distributions
MJ Lombardi, D Veredas
Computational statistics & data analysis 53 (6), 2309-2324, 2009
Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets
T Lux, M Marchesi
Journal of Economic Behavior & Organization 49 (2), 143-147, 2002
The formal and informal institutional framework of capital accumulation
PG Méon, K Sekkat
Journal of Comparative Economics 43 (3), 754-771, 2015
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