Details about Petros Dellaportas
Access statistics for papers by Petros Dellaportas.
Last updated 2021-09-22. Update your information in the RePEc Author Service.
Short-id: pde1116
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Working Papers
2021
- Bayesian prediction of jumps in large panels of time series data
Papers, arXiv.org
2015
- A Socio-Finance Model: Inference and empirical application
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL 
Also in Working Papers, HAL (2014) View citations (4) Post-Print, HAL (2015)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) 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)
2014
- Arbitrage-free prediction of the implied volatility smile
Papers, arXiv.org View citations (1)
- Communication impacting financial markets
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (17)
Also in Post-Print, HAL (2014) 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) View citations (17) Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) View citations (17) Post-Print, HAL (2014) View citations (17) Papers, arXiv.org (2014) View citations (17)
2010
- Inference for stochastic volatility models using time change transformations
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (2) Papers, arXiv.org (2007) View citations (2)
2007
- Likelihood-based inference for correlated diffusions
Papers, arXiv.org View citations (4)
Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (2)
Journal Articles
2021
- Sample size determination for risk‐based tax auditing
Journal of the Royal Statistical Society Series A, 2021, 184, (2), 479-493
2020
- Interview with Professor Adrian FM Smith
International Statistical Review, 2020, 88, (2), 265-279
2019
- Bayesian forecasting of mortality rates by using latent Gaussian models
Journal of the Royal Statistical Society Series A, 2019, 182, (2), 689-711 View citations (3)
- Efficient Sequential Monte Carlo Algorithms for Integrated Population Models
Journal of Agricultural, Biological and Environmental Statistics, 2019, 24, (2), 204-224
- Importance sampling from posterior distributions using copula-like approximations
Journal of Econometrics, 2019, 210, (1), 45-57 View citations (1)
- Sovereign risk zones in Europe during and after the debt crisis
Quantitative Finance, 2019, 19, (6), 961-980 View citations (7)
2012
- Contagion determination via copula and volatility threshold models
Quantitative Finance, 2012, 12, (2), 295-310 View citations (11)
- 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 View citations (3)
2011
- A novel reversible jump algorithm for generalized linear models
Biometrika, 2011, 98, (1), 231-236 View citations (2)
2008
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
Computational Statistics & Data Analysis, 2008, 52, (3), 1549-1571 View citations (11)
2007
- Flexible Threshold Models for Modelling Interest Rate Volatility
Econometric Reviews, 2007, 26, (2-4), 419-437 View citations (1)
- 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
- Bayesian model selection for partially observed diffusion models
Biometrika, 2006, 93, (4), 809-825 View citations (1)
2005
- Model determination for categorical data with factor level merging
Journal of the Royal Statistical Society Series B, 2005, 67, (2), 269-283 View citations (2)
2004
- Bayesian inference for non‐Gaussian Ornstein–Uhlenbeck stochastic volatility processes
Journal of the Royal Statistical Society Series B, 2004, 66, (2), 369-393 View citations (45)
- Quantification of automobile insurance liability: a Bayesian failure time approach
Insurance: Mathematics and Economics, 2004, 34, (1), 1-21 View citations (1)
2003
- A full-factor multivariate GARCH model
Econometrics Journal, 2003, 6, (2), 312-334 View citations (78)
- 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 View citations (2)
- Discussion on the paper by Brooks, Giudici and Roberts
Journal of the Royal Statistical Society Series B, 2003, 65, (1), 39-55
2002
- Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
North American Actuarial Journal, 2002, 6, (1), 113-125 View citations (16)
2001
- A Simulation Approach to Nonparametric Empirical Bayes Analysis
International Statistical Review, 2001, 69, (1), 63-79 View citations (1)
- An application of three bivariate time‐varying volatility models
Applied Stochastic Models in Business and Industry, 2001, 17, (1), 121-133
- Bayesian analysis of mortality data
Journal of the Royal Statistical Society Series A, 2001, 164, (2), 275-291 View citations (14)
2000
- Full Bayesian Inference for GARCH and EGARCH Models
Journal of Business & Economic Statistics, 2000, 18, (2), 187-98 View citations (62)
1993
- 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 View citations (14)
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