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Details about Pedro Galeano

Homepage:http://www.uc3m.es/portal/page/portal/dpto_estadistica/miembros/pedro_galeano_san_miguel
Workplace:Departamento de Estadistica (Department of Statistics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Pedro Galeano.

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

Short-id: pga563


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Working Papers

2015

  1. Two-sample Hotelling's T² statistics based on the functional Mahalanobis semi-distance
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2014

  1. A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
    Papers, arXiv.org Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2013) Downloads View citations (1)

    See also Journal Article in Computational Statistics & Data Analysis (2016)
  2. Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  3. Functional outlier detection with a local spatial depth
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  4. 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 Downloads

2013

  1. The Mahalanobis distance for functional data with applications to classification
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (4)

2012

  1. Modeling financial time series with the skew slash distribution
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  2. Spatial depth-based classification for functional data
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
    See also Journal Article in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2014)

2010

  1. 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 Downloads View citations (6)
    See also Journal Article in European Journal of Operational Research (2014)

2005

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

2004

  1. 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 Downloads View citations (1)
    See also Journal Article in Statistics & Probability Letters (2005)
  2. 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 Downloads View citations (1)
  3. Outlier detection in multivariate time series via projection pursuit
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  4. 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 Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2007)
  5. Variance changes detection in multivariate time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (8)

2001

  1. Multivariate analysis in vector time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (14)

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 Downloads View citations (7)
    See also Working Paper (2014)
  2. Monitoring multivariate variance changes
    Journal of Empirical Finance, 2016, 39, (PA), 54-68 Downloads View citations (4)

2015

  1. BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY
    Journal of Economic Surveys, 2015, 29, (1), 76-96 Downloads View citations (9)

2014

  1. 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 Downloads View citations (10)
    See also Working Paper (2010)
  2. Multiple break detection in the correlation structure of random variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 262-282 Downloads View citations (22)
  3. 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 Downloads View citations (9)
    See also Working Paper (2012)

2012

  1. 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 Downloads

2010

  1. Measures of influence for the functional linear model with scalar response
    Journal of Multivariate Analysis, 2010, 101, (2), 327-339 Downloads View citations (3)
  2. Shifts in Individual Parameters of a GARCH Model
    Journal of Financial Econometrics, 2010, 8, (1), 122-153 Downloads View citations (14)
  3. 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 Downloads View citations (12)

2007

  1. A functional analysis of NOx levels: location and scale estimation and outlier detection
    Computational Statistics, 2007, 22, (3), 411-427 Downloads View citations (13)
  2. Bayesian estimation of the Gaussian mixture GARCH model
    Computational Statistics & Data Analysis, 2007, 51, (5), 2636-2652 Downloads View citations (22)
    See also Working Paper (2005)
  3. On the connection between model selection criteria and quadratic discrimination in ARMA time series models
    Statistics & Probability Letters, 2007, 77, (9), 896-900 Downloads
  4. 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 Downloads View citations (4)
    See also Working Paper (2004)

2006

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

2005

  1. A note on prediction and interpolation errors in time series
    Statistics & Probability Letters, 2005, 73, (1), 71-78 Downloads
    See also Working Paper (2004)
 
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