David Veredas

Economics and Econometrics · 2004–2013

A researcher in the Science corpus: 6 papers; trusts 12 researchers and is trusted by 12 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 80 citations into it; #10,203 of 23,481 by trust here, #16,151 by citations
• Finance — 67 citations into it; #4,732 of 10,518 by trust here, #6,671 by citations
• Accounting — 22 citations into it
• Statistics and Probability — 19 citations into it
• Management Science and Operations Research — 9 citations into it; #5,008 of 11,946 by trust here, #2,136 by citations
• Strategy and Management — 5 citations into it

Whom David Veredas trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Luc Bauwens
2. P. Giot
3. Helmut Ltkepohl
4. M. Carrasco
5. Joachim Grammig
6. Y. Tse
7. Clive W. J. Granger
8. Robert F. Engle
9. P. Angelini
10. Tim Bollerslev

Who trusts David Veredas overall

1. Maria Pacurar
2. Luc Bauwens
3. Nikolaos Kourentzes
4. Roel C. A. Oomen
5. Nikolaus Hautsch
6. Fotios Petropoulos

Papers from David Veredas's perspective

Ordered by how strongly the researchers David Veredas trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
2. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
3. Kendall's tau for serial dependence
4. Non-monotonic hazard functions and the autoregressive conditional duration model
5. A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
6. New Introduction to Multiple Time Series Analysis
7. Generalized autoregressive conditional heteroskedasticity
8. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
9. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
10. Conflict Theory, Economic Conditions, and Homicide

Their papers

• The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2004) — 255 citations
• Temporal aggregation of univariate and multivariate time series models: a survey (2008) — 304 citations
• The Method of Simulated Quantiles (2013) — 71 citations
• Estimation of Stable Distributions by Indirect Inference (2011) — 89 citations
• High frequency financial econometrics : recent developments (2007) — 162 citations
• The stochastic conditional duration model: a latent factor model for the analysis of financial durations (2004) — 102 citations