David Veredas

Ghent University — Belgium

Economics, Econometrics and Finance · Social Sciences

24h-index1.8kcitations140works0.02yr avg
OpenAlex↗Google Scholar↗Lab page↗

Accepting Students?

No reports yet. Know if this professor is taking students?

Research Topics

Financial Risk and Volatility Modeling(51), Complex Systems and Time Series Analysis(31), Monetary Policy and Economic Impact(30), Financial Markets and Investment Strategies(30), Market Dynamics and Volatility(26)

Publications140 total

Common short selling and excess comovement: Evidence from a sample of LSE stocks
Journal of Financial Markets·2023· 5 citedOpen Access
TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements
PLoS ONE·2023· 1 citedOpen Access
Marginal Quantiles for Stationary Processes
SSRN Electronic Journal·2023· 4 citedOpen Access
TailCoR
SSRN Electronic Journal·2023Open Access
TailCoR
arXiv (Cornell University)·2020Open Access
Venture Capital, Credit, and FinTech Start-Up Formation: A Cross-Country Study
Entrepreneurship Theory and Practice·2020· 68 cited
Common Short Selling and Excess Comovement
Apollo (University of Cambridge)·2020Open Access
Nonlinear financial econometrics JoE special issue introduction
Journal of Econometrics·2019· 1 cited
Flexible multivariate Hill estimators
Journal of Econometrics·2019· 3 cited
Comparison and Classification of Flexible Distributions for Multivariate Skew and Heavy-Tailed Data
Symmetry·2019· 11 citedOpen Access
A Multivariate Hill Estimator
ULB Institutional Repository·2019
Short selling in extreme events
Journal of Financial Stability·2018· 23 citedOpen Access
Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics
Journal of Econometrics·2018Open Access
Systemic risk in the US: Interconnectedness as a circuit breaker
Economic Modelling·2017· 23 citedOpen Access
Quantile-Based Inference for Tempered Stable Distributions
Computational Economics·2017· 13 cited
Short Selling and Excess Correlation
SSRN Electronic Journal·2017Open Access
Short Selling and Excess Return Correlation
SSRN Electronic Journal·2017Open Access
Surfing through the GFC: Systemic Risk in Australia
Economic Record·2016Open Access
Short Selling in the Tails
RePEc: Research Papers in Economics·2016Open Access
A simple two-component model for the distribution of intraday returns
2016· 3 cited
page 1 of 7Next →

Frequent Co-authors

Luc Bauwens(7), Matteo Luciani(6), Yves Dominicy(5), Roberto Pascual(5), Mardi Dungey(4), Marc Hallin(4), Andrea Silvestrini(3), Winfried Pohlmeier(3), Matteo Barigozzi(3), Laura Coroneo(3), Christian T. Brownlees(2), Giampiero M. Gallo(2), Siegfried Hörmann(2), Hiroaki Ogata(2), Pierre Giot(2), Joachim Grammig(2), Juan M. Rodríguez‐Póo(2), Antoni Espasa(2), Charles Mathias(2), Hugues Pirotte(2)