EconPapers    
Economics at your fingertips  
 

Details about Petros Dellaportas

Homepage:http://www.homepages.ucl.ac.uk/~ucakpde/
Workplace:University College London, Department of Statistical Science

Access statistics for papers by Petros Dellaportas.

Last updated 2021-09-22. Update your information in the RePEc Author Service.

Short-id: pde1116


Jump to Journal Articles

Working Papers

2021

  1. Bayesian prediction of jumps in large panels of time series data
    Papers, arXiv.org Downloads

2015

  1. A Socio-Finance Model: Inference and empirical application
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Working Papers, HAL (2014) Downloads View citations (4)
    Post-Print, HAL (2015) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads View citations (4)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2015) Downloads

2014

  1. Arbitrage-free prediction of the implied volatility smile
    Papers, arXiv.org Downloads View citations (1)
  2. Communication impacting financial markets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (17)
    Also in Post-Print, HAL (2014) Downloads View citations (5)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) Downloads View citations (17)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads View citations (17)
    Post-Print, HAL (2014) Downloads View citations (17)
    Papers, arXiv.org (2014) Downloads View citations (17)

2010

  1. Inference for stochastic volatility models using time change transformations
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (2)
    Papers, arXiv.org (2007) Downloads View citations (2)

2007

  1. Likelihood-based inference for correlated diffusions
    Papers, arXiv.org Downloads View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (2)

Journal Articles

2021

  1. Sample size determination for risk‐based tax auditing
    Journal of the Royal Statistical Society Series A, 2021, 184, (2), 479-493 Downloads

2020

  1. Interview with Professor Adrian FM Smith
    International Statistical Review, 2020, 88, (2), 265-279 Downloads

2019

  1. Bayesian forecasting of mortality rates by using latent Gaussian models
    Journal of the Royal Statistical Society Series A, 2019, 182, (2), 689-711 Downloads View citations (3)
  2. Efficient Sequential Monte Carlo Algorithms for Integrated Population Models
    Journal of Agricultural, Biological and Environmental Statistics, 2019, 24, (2), 204-224 Downloads
  3. Importance sampling from posterior distributions using copula-like approximations
    Journal of Econometrics, 2019, 210, (1), 45-57 Downloads View citations (1)
  4. Sovereign risk zones in Europe during and after the debt crisis
    Quantitative Finance, 2019, 19, (6), 961-980 Downloads View citations (7)

2012

  1. Contagion determination via copula and volatility threshold models
    Quantitative Finance, 2012, 12, (2), 295-310 Downloads View citations (11)
  2. Control variates for estimation based on reversible Markov chain Monte Carlo samplers
    Journal of the Royal Statistical Society Series B, 2012, 74, (1), 133-161 Downloads View citations (3)

2011

  1. A novel reversible jump algorithm for generalized linear models
    Biometrika, 2011, 98, (1), 231-236 Downloads View citations (2)

2008

  1. Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
    Computational Statistics & Data Analysis, 2008, 52, (3), 1549-1571 Downloads View citations (11)

2007

  1. Flexible Threshold Models for Modelling Interest Rate Volatility
    Econometric Reviews, 2007, 26, (2-4), 419-437 Downloads View citations (1)
  2. Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
    Econometrics Journal, 2007, 10, (3), 503-520 View citations (13)

2006

  1. Bayesian model selection for partially observed diffusion models
    Biometrika, 2006, 93, (4), 809-825 Downloads View citations (1)

2005

  1. Model determination for categorical data with factor level merging
    Journal of the Royal Statistical Society Series B, 2005, 67, (2), 269-283 Downloads View citations (2)

2004

  1. Bayesian inference for non‐Gaussian Ornstein–Uhlenbeck stochastic volatility processes
    Journal of the Royal Statistical Society Series B, 2004, 66, (2), 369-393 Downloads View citations (45)
  2. Quantification of automobile insurance liability: a Bayesian failure time approach
    Insurance: Mathematics and Economics, 2004, 34, (1), 1-21 Downloads View citations (1)

2003

  1. A full-factor multivariate GARCH model
    Econometrics Journal, 2003, 6, (2), 312-334 View citations (78)
  2. Assessment of Athens's metro passenger behaviour via a multiranked probit model
    Journal of the Royal Statistical Society Series C, 2003, 52, (2), 185-200 Downloads View citations (2)
  3. Discussion on the paper by Brooks, Giudici and Roberts
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 39-55 Downloads

2002

  1. Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
    North American Actuarial Journal, 2002, 6, (1), 113-125 Downloads View citations (16)

2001

  1. A Simulation Approach to Nonparametric Empirical Bayes Analysis
    International Statistical Review, 2001, 69, (1), 63-79 Downloads View citations (1)
  2. An application of three bivariate time‐varying volatility models
    Applied Stochastic Models in Business and Industry, 2001, 17, (1), 121-133 Downloads
  3. Bayesian analysis of mortality data
    Journal of the Royal Statistical Society Series A, 2001, 164, (2), 275-291 Downloads View citations (14)

2000

  1. Full Bayesian Inference for GARCH and EGARCH Models
    Journal of Business & Economic Statistics, 2000, 18, (2), 187-98 View citations (62)

1993

  1. Bayesian Inference for Generalized Linear and Proportional Hazards Models Via Gibbs Sampling
    Journal of the Royal Statistical Society Series C, 1993, 42, (3), 443-459 Downloads View citations (14)
 
Page updated 2025-03-31