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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)

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 (23)


ARDIA, David, BOUDT, Kris, HARTMANN, Stefan, NGUYEN, Giang; « Properties of the Margrabe Best-of-two strategy to tactical asset allocation », International Review of Financial Analysis, vol. 81, 2022, p. 1-15.

ARDIA, David, BLUTEAU, Keven, TRAN, Thien Duy; « How easy is it for investment managers to deploy their talent in green and brown stocks? », Finance Research Letters, vol. 48, 2022, p. 1-7.

ARDIA, David, BLUTEAU, Keven, KASSEM, Alaa; « A century of Economic Policy Uncertainty through the French–Canadian lens », Economics Letters, vol. 205, 2021, p. 1-4.

ARDIA, David, BLUTEAU, Keven, BORMS, Samuel, BOUDT, Kris; « The R Package sentometrics to Compute, Aggregate, and Predict with Textual Sentiment », Journal of Statistical Software, vol. 99, no 2, 2021, p. 1-40.

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

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, BOUDT, Kris, GAGNON-FLEURY, Jean-Philippe; « RiskPortfolios: Computation of Risk-Based Portfolios in R », Journal of Open Source Software, vol. 2, no 10, 2017, p. 1-1.

ARDIA, David, BLUTEAU, Keven; « nse: Computation of Numerical Standard Errors in R », Journal of Open Source Software, vol. 2, no 10, 2017, p. 1-2.

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, 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, 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 / Insurance and Risk Management, 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, 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.



This award and honor selection covers the last five years.


ARDIA, David, BLUTEAU, Keven, BOUDT, Kris
Best Paper Award 2018-2019 - "Ardia D., Bluteau K., Boudt K. (2019) Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values", Every two years the IJF editors select the best paper to have been published in the International Journal of Forecasting within the previous two-year period. The Best Paper Award consists of US$1,000 and an engraved plaque., International Institute of Forecasters, 2021

GUIDOTTI, Emanuele, ARDIA, David
eRum 2020 COVID19 contest winner, Guidotti, Emanuele, David 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


This selection of supervision activities covers the last five years.

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Master's thesis direction – MSc in Management (1)

Application of Textual Sentiment Scores in Value-at-Risk models , by Jaime Casigay
March 2022

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Supervised project supervision – MSc in Management (18)

Outil d'aide à la recherche d'articles d'actualité pour les filiales d'Investissement Québec , by Zakaria Rayadh
March 2022

Indice d'incertitude pour les crypto-monnaies sur Twitter , by Quentin Dutoit
March 2022

Analyse par facteurs de risque de la VaR , by Etienne Ménard-Bédard
March 2022

Modélisation de données de revenus fixes pour un modèle de risque de crédit , by Earvin Hemou
January 2022

Systematic Trading Strategy using ML techniques applied to the Wholesale Electricity Market , by Kliti Qako
January 2022

Gestion et quantification des risques climatiques pour les institutions financières canadiennes , by Emmie Grégoire-Salmon
November 2021

Modélisation de différents type de swaps , by Alexis Heurtaux
September 2021

Topic Modeling in Academic Finance , by Mohammad Abbas Firoz Meghani
September 2021

Integration of a textual index in the context of portfolio management , by Mingliang Wei
September 2021

The Use of Change-point Methods on Textual Sentiment Data , by Stanislav Davletgareyev
September 2021

GFS Trading Costs Model , by Philippe Gadbois
May 2021

Outside View , by Pascale Tessier-Rhéaume
May 2021

The peer performance adjusted for luck of Green firms and Brown firms , by Thien Duy Tran
May 2021

Performance des modèles GARCH, GJR-GARCH et STGARCH pour la prévision de risque du Bitcoin , by Denis Genest
March 2021

Construction d'un indice d'incertitude en matière de politique économique pour le Québec , by Alaa Kassem
March 2021

In codirection with : SCHULZ, Juliana
Framework for Measuring the Impact of Online News or Posts on Entity Reputation Dimensions , by Lea El Hélou
March 2021

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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