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David VEREDAS
David VEREDAS
Address: ECARES CP114/04
Université libre de Bruxelles
Avenue Roosevelt 50
B1050 Brussels, Belgium
Phone #: +32(0)26504218
Fax #: +32(0)26504475
Office: S 11.210
Website: www.ecares.org/veredas.html
Email: This e-mail address is being protected from spam bots, you need JavaScript enabled to view it
 

Additional Info

Main Field: Financial Econometrics
Second Field: Financial Economics
Third Field: Time Series Analysis
Profile:

I am Professor of Quantitative Finance at the Solvay Brussels School of Economics and Management of the Université libre de Bruxelles (Free University of Brussels or ULB). In 2004 I became ECARES fellow, in 2007 I was a founding member of the Society for Financial Econometrics (SoFiE), since September 2010 I direct the Quantitative Finance group of the School, in 2012 I have been appointed Honorary Visiting Professor at Cass Business School (London), and the same year I became co-director of the ECARES Doctoral School.

My research is, broadly, in quantitative finance. Namely, volatility, tail risk, systemic risk and vast dimensional financial systems. I have published numerous articles in international peer-review journals on these topics, including top-field outlets, co-edited one book, and presented my research more than 130 times over four continents. I also write regularly opinion pieces in general public newspapers.

Training wise, I teach (or I have taught) courses of quantitative risk management and financial econometrics in, among others, the University of Paris IX Dauphine (Paris), Cass Business School (London), the Duisenberg School of Finance (Amsterdam), the Swiss Banking Institute (Zurich), and the New Economic School (Moscow). Moreover I have trained 9 PhD students and 3 post-docs so far.

I hold a BA in Economics and a BA in Statistics from University Carlos III de Madrid, and a MA and a PhD in Economics from the Université catholique de Louvain (CORE). Prior to joining ECARES, I was a post-doctoral fellow at CIRANO, Montreal, and a Marie Curie post-doctoral fellow at CentER, Tilburg. In the spring terms of 2010 and 2012 I visited Stern School of Business -hosted at the Volatility Institute- of New York University, and the research department of the Banco de España in Madrid respectively.

 

Selected Works:

BOOK

Bauwens, Luc; Pohlmeier, Winfried; Veredas, David (Eds.)
Springer, 2007
 
 
ARTICLES IN QUANTITATIVE FINANCE AND VOLATILTIY (selected publications)
  1. Market Liquidity as Dynamic Factors (with Marc Hallin, Charles Mathias and Hughes Pirotte).  Journal of Econometrics 163(1)42-50, 2011
  2. A simple two-component model for the distribution of intraday returns (with Laura Coroneo). The European Journal of Finance 18(9), 775-797, 2012
  3. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets (with Matteo Barigozzi, Christian T. Brownlees, and Giampiero M. Gallo). ECARES DP 2010/19.
  4. Does the open limit order book matter in explaining long run volatility? (with Roberto Pascual). Journal of Financial Econometrics 8(1), 57-87, 2010.
  5. What pieces of limit order book information matter in explaining the behavior of aggressive and patient traders? (with Roberto Pascual). Quantitative Finance 9, 527-545, 2009.
  6. The Stochastic Conditional Duration Model: A latent factor model for the analysis of financial durations (with Luc Bauwens). Journal of Econometrics 119/2, 381-412, 2004.
ARTICLES IN ECONOMETRICS (selected publications)
  1. One-step R-estimation in linear models with stable errors ( with Marc Hallin, Yvik Swan and Thomas Verdebout ). Journal of Econometrics 172(2) 195-204, 2013
  2. Estimation of stable distributions by indirect inference (with Rene Garcia and Eric Renault). Journal of Econometrics 161, 325-337, 2011.
  3. Rank based testing in linear models with stable errors (with Marc Hallin, Yvik Swan and Thomas Verdebout ). Journal of Nonparametric Statistics 23, 305-320, 2011.
  4.  Aggregation of Linear Models for Panel Data (with Alex Petkovic). Journal of Japanese Statistical Society 40, 63-95, 2010.
  5. The Method of Simulated Quantiles (with Yves Dominicy). Journal of Econometrics 172(2) 235-247, 2013
  6. Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey (with Andrea Silvestrini). Journal of Economic Surveys, 22/3, 458-497, 2008.
Teaching:
SCHOLAR
  1. Graduate Econometrics I (ECON-D-428).
  2. Applied Econometrics (ECON-D-407).
  3. Quantitative Financial Risk (ECON-D417).
  4. Topics in Advanced Econometrics (ECON-D-516).
  5. Econometrics section of the Mathcamp
 
PRACTITIONERS
  1. A course on Quantitative Financial Risk. Contact me if you would like that I teach this course in your institution.
  2. A Course on estimation of fat-tailed and skewed asset return distributions. Contact me if you would like that I teach this course in your institution.
  3. A Course on Modeling and Forecasting Time Series. Contact me if you would like that I teach this course in your institution.

CV and other Files




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