User profiles for David Ardia

David Ardia

- Verified email at hec.ca - Cited by 3619

David Ardia

- Verified email at email.unc.edu - Cited by 816

[HTML][HTML] Regime changes in Bitcoin GARCH volatility dynamics

D Ardia, K Bluteau, M Rüede - Finance Research Letters, 2019 - Elsevier
We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log–returns
using Markov–switching GARCH (MSGARCH) models. We also compare MSGARCH to …

DEoptim: An R package for global optimization by differential evolution

K Mullen, D Ardia, DL Gil, D Windover… - Journal of Statistical …, 2011 - papers.ssrn.com
This article describes the R package DEoptim, which implements the Differential Evolution
algorithm for global optimization of a real-valued function of a real-valued parameter vector. …

[HTML][HTML] Forecasting risk with Markov-switching GARCH models: A large-scale performance study

D Ardia, K Bluteau, K Boudt, L Catania - International Journal of …, 2018 - Elsevier
We perform a large-scale empirical study in order to compare the forecasting performances
of single-regime and Markov-switching GARCH ( MSGARCH ) models from a risk …

[BOOK][B] Financial Risk Management with Bayesian Estimation of GARCH Models Theory and Applications

D Ardia - 2008 - Springer
This book presents in detail methodologies for the Bayesian estimation of singleregime and
regime-switching GARCH models. These models are widespread and essential tools in …

[HTML][HTML] Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values

D Ardia, K Bluteau, K Boudt - International Journal of Forecasting, 2019 - Elsevier
The modern calculation of textual sentiment involves a myriad of choices as to the actual
calibration. We introduce a general sentiment engineering framework that optimizes the design …

Markov-switching GARCH models in R: The MSGARCH package

D Ardia, K Bluteau, K Boudt, L Catania… - Journal of Statistical …, 2019 - papers.ssrn.com
We describe the package MSGARCH, which implements Markov-switching GARCH models
in R with efficient C++ object-oriented programming. Markov-switching GARCH models …

Differential evolution with DEoptim: an application to non-convex portfolio optimization

D Ardia, K Boudt, P Carl, K Mullen, BG Peterson - The R Journal, 2011 - papers.ssrn.com
The R package DEoptim implements the differential evolution algorithm. This algorithm is an
evolutionary technique similar to genetic algorithms that is useful for the solution of global …

[PDF][PDF] COVID-19 data hub

E Guidotti, D Ardia - Journal of Open Source Software, 2020 - joss.theoj.org
… Emanuele Guidotti1 and David Ardia2 … Guidotti and Ardia, (2020). COVID-19 Data Hub.
Journal of Open Source Software, 5(51), 2376. … Guidotti and Ardia, (2020). COVID-19 …

Econometrics meets sentiment: An overview of methodology and applications

A Algaba, D Ardia, K Bluteau, S Borms… - Journal of Economic …, 2020 - Wiley Online Library
The advent of massive amounts of textual, audio, and visual data has spurred the development
of econometric methodology to transform qualitative sentiment data into quantitative …

Climate change concerns and the performance of green vs. brown stocks

D Ardia, K Bluteau, K Boudt… - Management …, 2023 - pubsonline.informs.org
We empirically test the prediction of Pástor et al. (2021) that green firms outperform brown
firms when concerns about climate change increase unexpectedly, using data for S&P 500 …