University of Neuchâtel
David Ardia is Professor of Finance at the University of Neuchâtel, Switzerland, and Visiting Professor of Finance at Laval University, Québec City, Canada. Previously, he was Senior Analyst at Aeris Capital AG and Head of Research at Tolomeo Capital AG, two Swiss-based asset managers. In 2008 he received the Chorafas Foundation Award for his book Financial Risk Management with Bayesian Estimation of GARCH Models, published by Springer. He is the author of several scientific articles and statistical packages. He holds an MSc in Applied Mathematics, an MAS in Finance, and a PhD in Bayesian Econometrics.
In this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.