David Veredas

What’s new? Quants and financial professionals Estimation of fat-tailed and skewed asset return distributions. Contact me if you would like that I teach this course in your institution Quantitative financial risk. Contact me if you would like that I teach this course in your institution Modeling and forecasting time series. Contact me if you would like that I teach this course in your institution Scholars  Click Paper The Method of Simulated Quantiles (with Yves Dominicy). ECARES DP 2010/09. Read abstract & download. Article Estimation of stable distributions with indirect inference (with Eric Renault and Rene Garcia). Forthcoming in Journal of Econometrics. Read abstract & download the last version. Revised A simple two-component model for the distribution of intraday returns (with Laura Coroneo). Formely entiled "On the conditional probability law of intraday returns" and "Intraday seasonality of returns distribution: A Quantile Regression approach and intraday VaR" (CORE DP 2006/77). Read abstract & download. Download the web appendix. http://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$/Prof.%20David%20Veredas%20-%20A%20course%20in%20Modeling%20and%20Forecasting%20Time%20Series.pdfContact.htmlhttp://heavytails.ulb.ac.behttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1561185http://papers.ssrn.com/sol3/papers.cfm?abstract_id=795366http://papers.ssrn.com/sol3/papers.cfm?abstract_id=795366http://papers.ssrn.com/sol3/papers.cfm?abstract_id=945084http://www.ecares.org/ecare/personal/veredas$/Web%20appendix%20for%20A%20Simple%20two-componet%20Model%20for%20Intraday%20Returns%20Distribution%20by%20Coroneo%20and%20Veredas.pdfshapeimage_2_link_0shapeimage_2_link_1shapeimage_2_link_2shapeimage_2_link_3shapeimage_2_link_4shapeimage_2_link_5shapeimage_2_link_6shapeimage_2_link_7shapeimage_2_link_8shapeimage_2_link_9shapeimage_2_link_10shapeimage_2_link_11

Associate Professor in Quantitative Finance


ECARES

Solvay Brussels School of Economics and Management

Université libre de Bruxelles