1 citations · 1 across the 3 of their papers we have counts for
3 papers
econ.EM2024
Optimal Text-Based Time-Series Indices
David Ardia, Keven Bluteau
We propose an approach to construct text-based time-series indices in an optimal way--typically, indices that maximize the contemporaneous relation or the predictive performance wi…
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…
q-fin.TR2024
Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions
David Ardia, Clément Aymard, Tolga Cenesizoglu
We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate their 2010-2015 analysi…