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Latest developments in heavy-tailed distributions

Veredas, David; Paolella, Marc; Renault, Eric; … - Solvay Brussels School of Economics and Management, … - 2013

Persistent link: https://www.econbiz.de/10011011519

Estimation of stable distributions with indirect inference

Veredas, David; Garcia, Rene; Renault, Eric - Solvay Brussels School of Economics and Management, … - 2011

This article deals with the estimation of the parameters of an α-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the α-stable distribution, with...

Persistent link: https://www.econbiz.de/10011194279

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

Veredas, David; Bauwens, Luc - Solvay Brussels School of Economics and Management, … - 2004

Persistent link: https://www.econbiz.de/10011011416

R-estimation in linear models with stable errors

Hallin, Marc; Veredas, David; Swan, Yves-Caoimhin; … - Solvay Brussels School of Economics and Management, … - 2013

Persistent link: https://www.econbiz.de/10011011426

Using intra annual information to forecast the annual state deficit. The case of France

Veredas, David; Moulin, Laurent; Sala, Matteo; … - Solvay Brussels School of Economics and Management, … - 2008

Persistent link: https://www.econbiz.de/10011011444

Macro surprises and short-term behavior in bond futures

Veredas, David - Solvay Brussels School of Economics and Management, … - 2005

Persistent link: https://www.econbiz.de/10011011568

Does the open limit order book matter in explaining long run volatility?

Veredas, David; Pascual, Roberto - Solvay Brussels School of Economics and Management, … - 2010

Persistent link: https://www.econbiz.de/10011011619

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

Veredas, David; Silvestrini, Andrea - Solvay Brussels School of Economics and Management, … - 2008

Persistent link: https://www.econbiz.de/10011011638

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

Veredas, David; Hautsch, Nikolaus; Hess, Dieter - Solvay Brussels School of Economics and Management, … - 2011

Persistent link: https://www.econbiz.de/10011011703

On sample marginal quantiles for stationary processes

Veredas, David; Dominicy, Yves; Hörmann, Siegfried; … - Solvay Brussels School of Economics and Management, … - 2013

Persistent link: https://www.econbiz.de/10011011722