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

Working Papers

2021

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

2015

2. 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)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2015)
   Post-Print, HAL (2015)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) View citations (4)

2014

3. Arbitrage-free prediction of the implied volatility smile
   Papers, arXiv.org View citations (1)
4. Communication impacting financial markets
   Papers, arXiv.org View citations (17)
   Also in 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)
   Post-Print, HAL (2014) View citations (5)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) View citations (17)

2010

5. 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 Papers, arXiv.org (2007) View citations (2)
   MPRA Paper, University Library of Munich, Germany (2007) View citations (2)

2007

6. 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

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

2020

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

2019

3. 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)
4. Efficient Sequential Monte Carlo Algorithms for Integrated Population Models
   Journal of Agricultural, Biological and Environmental Statistics, 2019, 24, (2), 204-224
5. Importance sampling from posterior distributions using copula-like approximations
   Journal of Econometrics, 2019, 210, (1), 45-57 View citations (1)
6. Sovereign risk zones in Europe during and after the debt crisis
   Quantitative Finance, 2019, 19, (6), 961-980 View citations (7)

2012

7. Contagion determination via copula and volatility threshold models
   Quantitative Finance, 2012, 12, (2), 295-310 View citations (11)
8. 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

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

2008

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

2007

11. Flexible Threshold Models for Modelling Interest Rate Volatility
    Econometric Reviews, 2007, 26, (2-4), 419-437 View citations (1)
12. 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

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

2005

14. 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

15. 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)
16. Quantification of automobile insurance liability: a Bayesian failure time approach
    Insurance: Mathematics and Economics, 2004, 34, (1), 1-21 View citations (1)

2003

17. A full-factor multivariate GARCH model
    Econometrics Journal, 2003, 6, (2), 312-334 View citations (78)
18. 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)
19. Discussion on the paper by Brooks, Giudici and Roberts
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 39-55

2002

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

2001

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

2000

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

1993

25. 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)