David Veredas

New Websites for my courses of the 1st semester Applied Econometrics (Several Masters in Economics) Graduate Econometrics I (Master in Quantitative Economics) Presentation A presentation about the financial crisis and the reforms in the financial systems worldwide: September 15 2008: bye bye Mr. Reckless, g day Mr. Prudent. A story of risky times and how it can be avoided Conference One-day Conference on Asset Pricing, Risk Premium and Systemic Risk. March 4 2011. Brussels, Belgium. Website forthcoming. Courses for practitioners Estimation of fat-tailed and skewed asset return distributions. Read summary and contact me if you would like that I teach this course in your institution Quantitative financial risk. Read summary and contact me if you would like that I teach this course in your institution Modeling and forecasting time series. Read summary and contact me if you would like that I teach this course in your institution Forthcoming publications (selection) A simple two-component model for the distribution of intraday returns (with Laura Coroneo). Forthcoming in The European Journal of Finance. Read abstract & download. Download the web appendix Market liquidity as dynamic factors (with Marc Hallin, Charles Mathias and Hughes Pirotte). Forthcoming in the Journal of Econometrics. Read abstract & download Estimation of stable distributions with indirect inference (with Eric Renault and Rene Garcia). Forthcoming in the Journal of Econometrics. Read abstract & download Recent working papers (selection) Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets (with Matteo Barigozzi, Christian Bronwlees and Giampiero Gallo). ECARES DP 2010/19. Read abstract & download Quantile-based inference for elliptical distributions (with Yves Dominicy and Hiroaki Ogata). ECARES DP 2010/29. Read abstract & downloadhttp://www.ecares.org/ecare/personal/veredas$/courses/appliedetrics/Applied_Econometrics/Welcome.htmlhttp://www.ecares.org/ecare/personal/veredas$/courses/gradetrics/index.htmlHome_files/G%20day%20Mr%20Prudent%20SHORT.pdfhttp://www.ecares.org/ecare/personal/veredas$/Prof.%20David%20Veredas%20-%20A%20Course%20on%20Estimation%20of%20fat-tailed%20and%20skewed%20asset%20return%20distributions.pdfContact.htmlhttp://www.ecares.org/ecare/personal/veredas$/Prof.%20David%20Veredas%20-%20A%20course%20on%20Quantitative%20Financial%20Risk.pdfContact.htmlhttp://www.ecares.org/ecare/personal/veredas$/Prof.%20David%20Veredas%20-%20A%20course%20in%20Modeling%20and%20Forecasting%20Time%20Series.pdfContact.htmlhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=945084http://papers.ssrn.com/sol3/papers.cfm?abstract_id=945084http://www.ecares.org/ecare/personal/veredas$/Web%20appendix%20for%20A%20Simple%20two-componet%20Model%20for%20Intraday%20Returns%20Distribution%20by%20Coroneo%20and%20Veredas.pdfhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1336223http://papers.ssrn.com/sol3/papers.cfm?abstract_id=795366http://ssrn.com/abstract=1618565http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1653701shapeimage_1_link_0shapeimage_1_link_1shapeimage_1_link_2shapeimage_1_link_3shapeimage_1_link_4shapeimage_1_link_5shapeimage_1_link_6shapeimage_1_link_7shapeimage_1_link_8shapeimage_1_link_9shapeimage_1_link_10shapeimage_1_link_11shapeimage_1_link_12shapeimage_1_link_13shapeimage_1_link_14shapeimage_1_link_15

Associate Professor in Quantitative Finance


ECARES

Solvay Brussels School of Economics and Management

Université libre de Bruxelles