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David Ardia

Associate Professor,  Department of Decision Sciences


David Ardia

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: david.ardia@hec.ca
Phone: 514 340-6103
Secretary: 514 340-6472
Fax: n/a
Office: 4.836

Personal page

Other title(s)

  • Research Professorship in Sentometrics

Education

  • PhD (Financial Econometrics), Université de Fribourg
  • MAS (Quantitative Finance), École polytechnique fédérale de Zürich et Université de Zürich
  • MSc (Financial Engineering), Université de Neuchâtel

Expertise

  • Quantitative risk management
  • Quantitative asset allocation
  • Sentometrics

This publication selection covers the last five years.


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Journal articles (19)


ALGABA, Andres, ARDIA, David, BLUTEAU, Keven, BORMS, Samuel, BOUDT, Kris; « Econometrics meets sentiment: An overview of methodology and applications », Journal of Economic Surveys, vol. 34, no 3, 2020, p. 512-547.

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris, CATANIA, Leopoldo, TROTTIER, Denis-Alexandre; « Markov-Switching GARCH Models in R: The MSGARCH Package », Journal of Statistical Software, vol. 91, no 4, 2019, p. 1-38.

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris; « Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values », International Journal of Forecasting, vol. 35, no 4, 2019, p. 1370-1386.

ARDIA, David, BOUDT, Kris, CATANIA, Leopoldo; « Generalized Autoregressive Score Models in R: The GAS Package », Journal of Statistical Software, vol. 88, no 6, 2019, p. 1-28.

ARDIA, David, BLUTEAU, Keven, RÜEDE, Maxime; « Regime changes in Bitcoin GARCH volatility dynamics », Finance Research Letters, vol. 29, 2019, p. 266-271.

ARDIA, David, BOUDT, Kris, CATANIA, Leopoldo; « Downside Risk Evaluation with the R Package GAS », The R Journal, vol. 10, no 2, 2018, p. 410-421.

ARDIA, David, BLUTEAU, Keven, HOOGERHEIDE, Lennart; « Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation », Journal of Time Series Econometrics, vol. 10, no 2, 2018, p. 716-723.

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris, CATANIA, Leopoldo; « Forecasting risk with Markov-switching GARCH models : A large-scale performance study », International Journal of Forecasting, vol. 34, no 4, 2018, p. 733-747.

ARDIA, David, BOUDT, Kris, NGUYEN, Giang; « Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation », Quantitative Finance, vol. 18, no 8, 2018, p. 1249-1259.

ARDIA, David, BOUDT, Kris; « The peer performance ratios of hedge funds », Journal of Banking & Finance, vol. 87, 2018, p. 351-368.

ARDIA, David, KOLLY, Jeremy, TROTTIER, Denis-Alexandre; « The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models », Journal of Forecasting, vol. 36, no 7, 2017, p. 808-823.

ARDIA, David, BOLLIGER, Guido, BOUDT, Kris, GAGNON-FLEURY, Jean-Philippe; « The impact of covariance misspecification in risk-based portfolios », Annals of Operations Research, vol. 254, no 1-2, 2017, p. 1-16.

ARDIA, David, GATAREK, Lukasz, HOOGERHEIDE, Lennart; « A new bootstrap test for multiple assets joint risk testing », Journal of Risk, vol. 19, no 4, 2017, p. 1-22.

ARDIA, David, BOUDT, Kris, WAUTERS , Marjan; « The economic benefits of market timing the style allocation of characteristic-based portfolios », The North American Journal of Economics and Finance, vol. 37, 2016, p. 38-62.

ARDIA, David, GUERROUAZ, Anas, REY, Jeanne; « Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling », Assurances et gestion des risques, vol. 83, no 3-4, 2016, p. 115-133.

TROTTIER, Denis-Alexandre, ARDIA, David; « Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models », Finance Research Letters, vol. 18, 2016, p. 311-316.

ARDIA, David, BOUDT, Kris, WAUTERS , Marjan; « Smart beta and CPPI performance », Finance, vol. 37, no 3, 2016, p. 31-65.

ARDIA, David, BOUDT, Kris; « Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy », Journal of Portfolio Management, vol. 41, no 4, 2015, p. 68-81.

ARDIA, David, MEUCCI, Attilio; « Stress testing in non-normal markets via entropy pooling », Risk Magazine, 2015, p. 1-5.



This award and honor selection covers the last five years.


GUIDOTTI, Emanuele, ARDIA, David
eRum 2020 COVID19 contest winner, Guidotti, Emanuele, Davis Ardia (2020). "COVID-19 Data Hub" communication présentée au European R Users Meeting, eRum, 2020

DUFAYS, Arnaud, ARDIA, David
IIF-SAS Research Award, International Institute of Forecasters, 2019

ARDIA, David
Chair Henri Vloeberghs, Vrije Universiteit Brussel, 2018

ARDIA, David
Swiss risk manager of the year, Swiss risk association, 2018

ARDIA, David
Distinction Socrate 2016, Les distinctions Socrate sont des prix remis annuellement, dans le cadre de la politique Socrate, aux enseignants s'étant davantage démarqués relativement à l'évaluation de leurs cours par leurs étudiants., FSA, Laval University, 2016


This selection of supervision activities covers the last five years.

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Supervised project supervision – MSc in Management (2)

Évaluation de modèles GARCH et de leurs combinaisons pour la prédiction de risque par la Valeur à Risque dans une étude de Simulation , by Marie Guignane Tine
January 2021

L'effet de liquidité dans l'estimation du risque de marché des placements privés , by Chloé Morin-Leclerc
September 2020


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