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The impact of macroeconomic news on quote adjustments, noise and informational volatility
Veredas, David; Hautsch, Nikolaus; Hess, Dieter - Solvay Brussels School of Economics and Management, … - 2011
Persistent link: https://www.econbiz.de/10011011703
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On sample marginal quantiles for stationary processes
Veredas, David; Dominicy, Yves; Hörmann, Siegfried; … - Solvay Brussels School of Economics and Management, … - 2013
Persistent link: https://www.econbiz.de/10011011722
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Testing conditional asymmetry. A residual based approach
Veredas, David; Lambert, Philippe; Laurent, Sébastien - Solvay Brussels School of Economics and Management, … - 2012
Persistent link: https://www.econbiz.de/10010600631
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Indirect inference of elliptical fat tailed distributions
Veredas, David; Lombardi, Marco - Solvay Brussels School of Economics and Management, … - 2009
Persistent link: https://www.econbiz.de/10010600632
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The stochastic conditional duration model: a latent factor model for the analysis of financial durations
Veredas, David - Solvay Brussels School of Economics and Management, … - 2004
Persistent link: https://www.econbiz.de/10010600634
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Aggregation of linear models for panel data
Veredas, David; Petkovic, Alexandre - Solvay Brussels School of Economics and Management, … - 2010
Persistent link: https://www.econbiz.de/10010600635
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What pieces of LOB information are informative? An empirical analysis of a pure order driven market
Veredas, David; Pascual, Roberto - Solvay Brussels School of Economics and Management, … - 2009
Persistent link: https://www.econbiz.de/10010600636
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Macro Surprises and short-term behavior in bond futures
Veredas, David - Solvay Brussels School of Economics and Management, … - 2007
Persistent link: https://www.econbiz.de/10010600869
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Seminonparametric models for financial durations
Veredas, David; Juan, Rodriguez-Poo; Espasa, Antoni - Solvay Brussels School of Economics and Management, … - 2007
Persistent link: https://www.econbiz.de/10010600870
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Econometric modeling of financial durations
Veredas, David - Solvay Brussels School of Economics and Management, … - 2002
Persistent link: https://www.econbiz.de/10010600872