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stat.ME2024★ 1 cited
High-Dimensional Mean-Variance Spanning Tests
David Ardia, Sébastien Laurent, Rosnel Sessinou
We introduce a new framework for the mean-variance spanning (MVS) hypothesis testing. The procedure can be applied to any test-asset dimension and only requires stationary asset re…
stat.ME2023
Linking Frequentist and Bayesian Change-Point Methods
David Ardia, Arnaud Dufays, Carlos Ordas Criado
We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian m…