David Veredas

1.8k total citations
63 papers, 1.0k citations indexed

About

David Veredas is a scholar working on Finance, Economics and Econometrics and Statistics and Probability. According to data from OpenAlex, David Veredas has authored 63 papers receiving a total of 1.0k indexed citations (citations by other indexed papers that have themselves been cited), including 46 papers in Finance, 37 papers in Economics and Econometrics and 16 papers in Statistics and Probability. Recurrent topics in David Veredas's work include Financial Risk and Volatility Modeling (32 papers), Market Dynamics and Volatility (17 papers) and Monetary Policy and Economic Impact (15 papers). David Veredas is often cited by papers focused on Financial Risk and Volatility Modeling (32 papers), Market Dynamics and Volatility (17 papers) and Monetary Policy and Economic Impact (15 papers). David Veredas collaborates with scholars based in Belgium, United States and France. David Veredas's co-authors include Luc Bauwens, Andrea Silvestrini, Matteo Luciani, Yves Dominicy, Roberto Pascual, Matteo Barigozzi, Mardi Dungey, Siegfried Hörmann, Dieter Hess and Nikolaus Hautsch and has published in prestigious journals such as PLoS ONE, Journal of Econometrics and Entrepreneurship Theory and Practice.

In The Last Decade

David Veredas

55 papers receiving 978 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
David Veredas Belgium	17	671	608	285	128	113	63	1.0k
Javier Perote Spain	21	644 1.0×	495 0.8×	173 0.6×	166 1.3×	35 0.3×	81	1.1k
Śılvia Gonçalves Canada	20	1000 1.5×	801 1.3×	745 2.6×	121 0.9×	331 2.9×	48	1.7k
Nikolaus Hautsch Austria	22	1.1k 1.7×	1.5k 2.4×	371 1.3×	181 1.4×	127 1.1×	100	1.8k
Jialin Yu United States	11	502 0.7×	820 1.3×	158 0.6×	325 2.5×	48 0.4×	26	951
Yiu‐Kuen Tse Singapore	13	1.1k 1.6×	1.1k 1.7×	429 1.5×	163 1.3×	92 0.8×	32	1.4k
Michael B. Gordy United States	18	714 1.1×	1.6k 2.6×	193 0.7×	527 4.1×	96 0.8×	45	1.9k
Paul Kupiec United States	17	637 0.9×	966 1.6×	212 0.7×	243 1.9×	32 0.3×	77	1.1k
Michael J. Stutzer United States	17	908 1.4×	1.0k 1.6×	336 1.2×	188 1.5×	216 1.9×	49	1.7k
Andrea Silvestrini Italy	17	1.0k 1.6×	454 0.7×	491 1.7×	135 1.1×	16 0.1×	40	1.3k
Sung K. Ahn United States	18	770 1.1×	501 0.8×	774 2.7×	47 0.4×	193 1.7×	51	1.2k

Countries citing papers authored by David Veredas

Since Specialization

Citations

This map shows the geographic impact of David Veredas's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by David Veredas with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites David Veredas more than expected).

Fields of papers citing papers by David Veredas

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by David Veredas. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by David Veredas. The network helps show where David Veredas may publish in the future.

Co-authorship network of co-authors of David Veredas

This figure shows the co-authorship network connecting the top 25 collaborators of David Veredas. A scholar is included among the top collaborators of David Veredas based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with David Veredas. David Veredas is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Gnabo, Jean‐Yves, et al.. (2023). Common short selling and excess comovement: Evidence from a sample of LSE stocks. Journal of Financial Markets. 65. 100833–100833. 1 indexed citations

Ley, Christophe, et al.. (2023). TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements. PLoS ONE. 18(1). e0278599–e0278599.

Dominicy, Yves, et al.. (2023). Marginal Quantiles for Stationary Processes. SSRN Electronic Journal.

Veredas, David, et al.. (2015). Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. Journal of Financial Econometrics. 15(1). 106–138. 2 indexed citations

Dungey, Mardi, et al.. (2015). Surfing Through the GFC: Systemic Risk in Australia. SSRN Electronic Journal. 4 indexed citations

Hallin, Marc, et al.. (2013). R-estimation in linear models with stable errors. Journal of Econometrics. 172(2).

Hallin, Marc, et al.. (2012). One-step R-estimation in linear models with stable errors. Journal of Econometrics. 172(2). 195–204. 11 indexed citations

Dominicy, Yves & David Veredas. (2012). The method of simulated quantiles. Journal of Econometrics. 172(2). 235–247. 43 indexed citations

Veredas, David & Lorenzo Ricci. (2012). TailCoR. SSRN Electronic Journal. 2 indexed citations

10.

Hallin, Marc, et al.. (2011). Rank-based testing in linear models with stable errors. Journal of nonparametric statistics. 23(2). 305–320. 7 indexed citations

11.

Veredas, David, et al.. (2011). A simple two-component model for the distribution of intraday returns. European Journal of Finance. 18(9). 775–797. 13 indexed citations

12.

Hallin, Marc, et al.. (2010). Dynamic Portfolio Optimization Using Generalized Dynamic Conditional Heteroskedastic Factor Models. JOURNAL OF THE JAPAN STATISTICAL SOCIETY. 40(1). 145–166.

13.

Hallin, Marc, et al.. (2009). Market Liquidity as Dynamic Factors. SSRN Electronic Journal.

14.

García, René, Éric Renault, & David Veredas. (2009). Estimation of Stable Distributions by Indirect Inference. SSRN Electronic Journal. 10 indexed citations

15.

Veredas, David, et al.. (2008). How Relevant is Infrastructure to Growth in East Asia. SSRN Electronic Journal. 2 indexed citations

16.

Pohlmeier, Winfried, Luc Bauwens, & David Veredas. (2007). High frequency financial econometrics : recent developments. RePEc: Research Papers in Economics. 30 indexed citations

17.

Lombardi, M. & David Veredas. (2007). Indirect Estimation of Elliptical Stable Distributions. SSRN Electronic Journal. 3 indexed citations

18.

Bauwens, Luc, Joachim Grammig, David Veredas, & Pierre Giot. (2005). A Comparison of Financial Duration Models via Density Forecast. SSRN Electronic Journal. 15 indexed citations

19.

Veredas, David. (2005). Macroeconomic surprises and short-term behaviour in bond futures. Empirical Economics. 30(4). 843–866. 16 indexed citations

20.

Pascual, Roberto & David Veredas. (2003). What pieces of limit order book information do are informative? An empirical analysis of a pure order-driven market. The Faculty Digital Archive (New York University). 7 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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