David Veredas


David Veredas is the professor of financial markets at Vlerick Business School. He teaches an array of finance-related courses (options, financial institutions and instruments, and statistics among others) at the Masters and the Executive MBA.

Broadly speaking, his research is financial risk -namely volatility, tail and systemic risks- and vast dimensional and complex financial systems. He publishes regularly in international peer-review journals on these topics. He teaches (or he has taught) courses at the University of Paris IX Dauphine, Cass Business School (London), the Duisenberg School of Finance (Amsterdam), the Swiss Banking Institute (Zurich), and the New Economic School (Moscow) among others. Moreover he has trained (or he trains) 12 PhD students and 6 post-docs so far. David holds a BA in Economics, a BA in Statistics from University Carlos III de Madrid, a MA and a PhD in Economics from the Université Catholique de Louvain.


Job Title : Professor of Financial Markets

Management Domain
Financial Services Management
Accounting & Finance

Teaching in
Masters in Financial Management
Masters in Marketing Management

Expert in
Financial Markets
Risk Management
Quantitative Finance


Articles in refereed journals with impact

  • Fabozzi F. Fallahgoul H. Veredas D.  forthcoming. Quantile-Based Inference for Tempered Stable Distributions. Computational Economics,

  • Dungey M. Luciani M. Matei M. Veredas D.  2017. Surfing through the GFC: Systemic Risk in Australia. Economic Record, 93(300): 1-19.

  • Dominicy Y. Ilmonen P. Veredas D.  2017. Multivariate Hill Estimators. International Statistical Review, 85(1): 108-142.

  • Vander Elst H. Veredas D.  2016. Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. Journal of Financial Econometrics, 15(1): 106-138.

  • Veredas D. Luciani M.  2015. Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models. Journal of Forecasting, 34(3): 163-176.

  • Barigozzi M. Brownlees C. Gallo G. Veredas D.  2014. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. Journal of Econometrics, 182(2): 364-384.

  • Hallin M. Swan Y. Verdebout T. Veredas D.  2013. One-step R-estimation in linear models with stable errors. Journal of Econometrics, 172(2): 195-204.

  • Dominicy Y. Hörmann S. Ogata H. Veredas D.  2013. On sample marginal quantiles for stationary processes. Statistics & Probability Letters, 83(1): 28-36.

  • Dominicy Y. Ogata H. Veredas D.  2013. Inference for vast dimensional elliptical distributions. Computational Statistics, 28(4): 1853-1880.

  • Dominicy Y. Veredas D.  2013. The method of simulated quantiles. Journal of Econometrics, 172(2): 235-247.

  • Lambert P. Laurent S. Veredas D.  2012. Testing conditional asymmetry. A residual-based approach. Journal of Economic Dynamics and Control, 36(8): 1229-1247.

  • Coroneo L. Veredas D.  2012. A simple two-component model for the distribution of intraday returns. The European Journal of Finance, 18(9): 775-797.

  • Garcia R. Renault E. Veredas D.  2011. Estimation of stable distributions with indirect inference. Journal of Econometrics, 161(3): 325-337.

  • Hallin M. Swan Y. Verdebout T. Veredas D.  2011. Rank based testing in linear models with stable errors. Journal of Nonparametric Statistics, 23(2): 305-320.

  • Hallin M. Mathias C. Pirotte H. Veredas D.  2011. Market liquidity as dynamic factors. Journal of Econometrics, 163(1): 42-50.

  • Hautsch N. Hess D. Veredas D.  2011. The impact of macroeconomic news on quote adjustments, noise and informational volatility. Journal of Banking and Finance, 35(10): 2733-2746.

  • Pascual R. Veredas D.  2010. Does the open limit order book matter in explaining informational volatility?. Journal of Financial Econometrics, 8(1): 57-57.

  • Pascual R. Veredas D.  2009. What pieces of limit order book information matter in explaining the behavior of patient and impatient traders?. Quantitative Finance, 5: 527-545.

  • Lombardi M. Veredas D.  2009. Indirect estimation of elliptical stable distributions. Computational Statistics and Data Analysis, 53(6): 2309-2324.

  • Silvestrini A. Moulin L. Salto M. Veredas D.  2008. How to monitor and forecast annual public deficit every month. Empirical Economics, 34(3): 493-524.

  • Veredas D.  2005. Macroeconomic surprises and short-term behaviour in bond futures. Empirical Economics, 30(4): 843-866.

  • Bauwens L. Giot P. Grammig J. Veredas D.  2004. A comparison of financial duration models via density forecast. International Journal of Forecasting, 20(4): 589-609.

  • Bauwens L. Veredas D.  2004. The stochastic conditional duration model: a latent variable model for the analysis of financial durations. Journal of Econometrics, 119(2): 381-412.

Articles in other (un)refereed journals

  • Shiraishi H. Ogata H. Amano T. Valentin P. Veredas D. Taniguchi M.  2012. Optimal portfolios with end-of-period target. Advances in Decision Sciences, : 1-14.

  • Shiohama T. Hallin M. Taniguchi M. Veredas D.  2010. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models. Journal of the Japanese Statistical Society, 40: 145-166.

  • Veredas D. Petkovic A.  2010. Aggregation of linear models for panel data. Journal of the Japanese Statistical Society, 40: 63-95.

Book Chapters

  • Veredas D.  2008. Macroeconomic surprises and short-term behaviour. In: Bauwens L. Pohlmeier W. Veredas D. Eds. High frequency financial econometrics: recent developments

  • Rodriguez-Poo J. Veredas D. Espasa A.  2008. Semiparametric estimation for financial durations. In: Bauwens L. Pohlmeier W. Veredas D. Eds. High frequency financial econometrics: recent developments


  • Bauwens L. Pohlmeier W. Veredas D.  2008. High frequency financial econometrics: recent developments.