Le contenu

David Ardia

Assistant 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

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.


+

Journal articles (19)


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, 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, 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, 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, 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, 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, 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, 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, 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, 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.

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

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; « 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, BOUDT, Kris; « Testing equality of modified Sharpe ratios », Finance Research Letters, vol. 13, 2015, p. 97-104.

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

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.



This award and honor selection covers the last five years.


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

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

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

ARDIA, David
Distinction Socrate 2015-2016, FSA, Laval University, 2015

ARDIA, David
Distinction Socrate 2014-2015, FSA, Laval University, 2014

ARDIA, David, HOOGERHEIDE, Lennart, KOLLY, Jeremy
SAS/IIF research award, International institute of forecasters, 2014


This selection of supervision activities covers the last five years.

Winter 2020

MATH 80614A
Numerical Methods in Quantitative Finance

Fall 2019

MATH 80626
Méthodes statistiques en ingénierie financière
MATH 20602
Modèles probabilistes et stochastiques de la gestion

hec.ca > Faculty