Details about Pedro Galeano

Access statistics for papers by Pedro Galeano.

Last updated 2017-03-27. Update your information in the RePEc Author Service.

Short-id: pga563

Working Papers

2014

1. A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
   Papers, arXiv.org View citations (2)
   See also Journal Article A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection, Computational Statistics & Data Analysis, Elsevier (2016) View citations (9) (2016)
2. Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2010

3. A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (7)
   See also Journal Article A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation, European Journal of Operational Research, Elsevier (2014) View citations (16) (2014)

2005

4. Bayesian estimation of the gaussian mixture garch model
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
   See also Journal Article Bayesian estimation of the Gaussian mixture GARCH model, Computational Statistics & Data Analysis, Elsevier (2007) View citations (29) (2007)

2004

5. A note on prediction and interpolation errors in time series
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
   See also Journal Article A note on prediction and interpolation errors in time series, Statistics & Probability Letters, Elsevier (2005) (2005)
6. Model selection criteria and quadratic discrimination in ARMA and SETAR time series models
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
7. Outlier detection in multivariate time series via projection pursuit
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
8. Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
   See also Journal Article The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process, Computational Statistics & Data Analysis, Elsevier (2007) View citations (4) (2007)
9. Variance changes detection in multivariate time series
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (8)

2001

10. Multivariate analysis in vector time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (16)

Journal Articles

2016

1. A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
   Computational Statistics & Data Analysis, 2016, 100, (C), 814-829 View citations (9)
   See also Working Paper A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection, Papers (2014) View citations (2) (2014)
2. Monitoring multivariate variance changes
   Journal of Empirical Finance, 2016, 39, (PA), 54-68 View citations (6)

2015

3. BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY
   Journal of Economic Surveys, 2015, 29, (1), 76-96 View citations (15)

2014

4. A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
   European Journal of Operational Research, 2014, 232, (2), 350-358 View citations (16)
   See also Working Paper A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation, DES - Working Papers. Statistics and Econometrics. WS (2010) View citations (7) (2010)
5. Multiple break detection in the correlation structure of random variables
   Computational Statistics & Data Analysis, 2014, 76, (C), 262-282 View citations (28)
6. Spatial depth-based classification for functional data
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2014, 23, (4), 725-750 View citations (12)

2012

7. Comments on: Some recent theory for autoregressive count time series
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2012, 21, (3), 455-458

2010

8. Measures of influence for the functional linear model with scalar response
   Journal of Multivariate Analysis, 2010, 101, (2), 327-339 View citations (3)
9. Shifts in Individual Parameters of a GARCH Model
   Journal of Financial Econometrics, 2010, 8, (1), 122-153 View citations (16)
10. The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection
    Journal of Business & Economic Statistics, 2010, 28, (4), 559-571 View citations (15)

2007

11. A functional analysis of NOx levels: location and scale estimation and outlier detection
    Computational Statistics, 2007, 22, (3), 411-427 View citations (16)
12. Bayesian estimation of the Gaussian mixture GARCH model
    Computational Statistics & Data Analysis, 2007, 51, (5), 2636-2652 View citations (29)
    See also Working Paper Bayesian estimation of the gaussian mixture garch model, DES - Working Papers. Statistics and Econometrics. WS (2005) View citations (3) (2005)
13. On the connection between model selection criteria and quadratic discrimination in ARMA time series models
    Statistics & Probability Letters, 2007, 77, (9), 896-900
14. The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process
    Computational Statistics & Data Analysis, 2007, 51, (12), 6151-6165 View citations (4)
    See also Working Paper Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process, DES - Working Papers. Statistics and Econometrics. WS (2004) (2004)

2006

15. Outlier Detection in Multivariate Time Series by Projection Pursuit
    Journal of the American Statistical Association, 2006, 101, 654-669 View citations (22)

2005

16. A note on prediction and interpolation errors in time series
    Statistics & Probability Letters, 2005, 73, (1), 71-78
    See also Working Paper A note on prediction and interpolation errors in time series, DES - Working Papers. Statistics and Econometrics. WS (2004) View citations (1) (2004)