Details about Kostas Triantafyllopoulos

Access statistics for papers by Kostas Triantafyllopoulos.

Last updated 2012-06-16. Update your information in the RePEc Author Service.

Short-id: ptr51

Working Papers

2009

1. Dynamic modeling of mean-reverting spreads for statistical arbitrage
   Papers, arXiv.org View citations (1)
   See also Journal Article in Computational Management Science (2011)

2008

2. Forecasting with time-varying vector autoregressive models
   Papers, arXiv.org
3. Multivariate stochastic volatility using state space models
   Papers, arXiv.org
4. Multivariate stochastic volatility with Bayesian dynamic linear models
   Papers, arXiv.org

2007

5. Fast estimation of multivariate stochastic volatility
   Papers, arXiv.org
6. Flexible least squares for temporal data mining and statistical arbitrage
   Papers, arXiv.org View citations (5)

Journal Articles

2012

1. Multi‐variate stochastic volatility modelling using Wishart autoregressive processes
   Journal of Time Series Analysis, 2012, 33, (1), 48-60

2011

2. Dynamic modeling of mean-reverting spreads for statistical arbitrage
   Computational Management Science, 2011, 8, (1), 23-49 View citations (1)
   See also Working Paper (2009)
3. Real‐time covariance estimation for the local level model
   Journal of Time Series Analysis, 2011, 32, (2), 93-107
4. Time-varying vector autoregressive models with stochastic volatility
   Journal of Applied Statistics, 2011, 38, (2), 369-382

2009

5. A note on state space representations of locally stationary wavelet time series
   Statistics & Probability Letters, 2009, 79, (1), 50-54
6. Inference of Dynamic Generalized Linear Models: On-Line Computation and Appraisal
   International Statistical Review, 2009, 77, (3), 430-450

2008

7. Missing observation analysis for matrix-variate time series data
   Statistics & Probability Letters, 2008, 78, (16), 2647-2653

2007

8. A Bayesian analysis of moving average processes with time-varying parameters
   Computational Statistics & Data Analysis, 2007, 52, (2), 1025-1046 View citations (1)
9. Covariance estimation for multivariate conditionally Gaussian dynamic linear models
   Journal of Forecasting, 2007, 26, (8), 551-569 View citations (1)

2006

10. Decomposition of time series models in state-space form
    Computational Statistics & Data Analysis, 2006, 50, (9), 2232-2246 View citations (3)
11. Multivariate discount weighted regression and local level models
    Computational Statistics & Data Analysis, 2006, 50, (12), 3702-3720 View citations (1)

2002

12. Multivariate Bayesian Regression Applied to the Problem of Network Security
    Journal of Forecasting, 2002, 21, (8), 579-94 View citations (3)