Overview
David Ardia is a financial econometrician (HEC Montréal) working on volatility modeling, Bayesian methods, portfolio and risk management, and reproducible R software for finance.
Key Contributions / Features
- MSGARCH R package (Ardia-Bluteau-Boudt-Catania-Trottier 2019): lead author of the R package implementing Markov-switching GARCH models with ML and Bayesian MCMC estimation, density forecasting, and VaR/ES risk tools. Journal of Statistical Software 91(4).
- Author/maintainer of several R packages for Bayesian estimation and financial econometrics (e.g. bayesGARCH).
Related