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Details about Jim Edward Griffin

Workplace:University College London AND Department of Statistical Science

Access statistics for papers by Jim Edward Griffin.

Last updated 2019-04-11. Update your information in the RePEc Author Service.

Short-id: pgr328


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Working Papers

2016

  1. Bayesian Nonparametric Estimation of Ex-post Variance
    MPRA Paper, University Library of Munich, Germany Downloads

2008

  1. Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2010)

2005

  1. Bayesian Stochastic Frontier Analysis Using WinBUGS
    Econometrics, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Productivity Analysis (2007)

2002

  1. Semiparametric Bayesian Inference for Stochastic Frontier Models
    Econometrics, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2004)

Journal Articles

2018

  1. Bayesian nonparametric vector autoregressive models
    Journal of Econometrics, 2018, 203, (2), 267-282 Downloads View citations (5)
  2. Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics
    Statistical Methods & Applications, 2018, 27, (2), 207-218 Downloads

2017

  1. Compound random measures and their use in Bayesian non-parametrics
    Journal of the Royal Statistical Society Series B, 2017, 79, (2), 525-545 Downloads View citations (4)
  2. On efficient Bayesian inference for models with stochastic volatility
    Econometrics and Statistics, 2017, 3, (C), 23-33 Downloads

2015

  1. Flexible Modeling of Dependence in Volatility Processes
    Journal of Business & Economic Statistics, 2015, 33, (1), 102-113 Downloads View citations (3)

2014

  1. Time-varying sparsity in dynamic regression models
    Journal of Econometrics, 2014, 178, (2), 779-793 Downloads View citations (17)

2013

  1. A Bayesian semiparametric model for volatility with a leverage effect
    Computational Statistics & Data Analysis, 2013, 60, (C), 97-110 Downloads View citations (12)
  2. Comparing distributions by using dependent normalized random-measure mixtures
    Journal of the Royal Statistical Society Series B, 2013, 75, (3), 499-529 Downloads View citations (9)

2012

  1. Structuring shrinkage: some correlated priors for regression
    Biometrika, 2012, 99, (2), 481-487 Downloads View citations (1)

2011

  1. Bayesian clustering of distributions in stochastic frontier analysis
    Journal of Productivity Analysis, 2011, 36, (3), 275-283 Downloads
  2. Covariance measurement in the presence of non-synchronous trading and market microstructure noise
    Journal of Econometrics, 2011, 160, (1), 58-68 Downloads View citations (56)
  3. Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods
    Journal of Financial Econometrics, 2011, 9, (3), 519-549 Downloads View citations (7)
  4. Modeling overdispersion with the normalized tempered stable distribution
    Computational Statistics & Data Analysis, 2011, 55, (7), 2288-2301 Downloads View citations (3)
  5. Stick-breaking autoregressive processes
    Journal of Econometrics, 2011, 162, (2), 383-396 Downloads View citations (25)

2010

  1. Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
    Computational Statistics & Data Analysis, 2010, 54, (11), 2594-2608 Downloads View citations (6)
    See also Working Paper (2008)

2008

  1. Flexible mixture modelling of stochastic frontiers
    Journal of Productivity Analysis, 2008, 29, (1), 33-50 Downloads View citations (15)
  2. Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
    Econometric Reviews, 2008, 27, (1-3), 230-253 Downloads View citations (32)

2007

  1. Bayesian stochastic frontier analysis using WinBUGS
    Journal of Productivity Analysis, 2007, 27, (3), 163-176 Downloads View citations (78)
    See also Working Paper (2005)

2006

  1. Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
    Journal of Econometrics, 2006, 134, (2), 605-644 Downloads View citations (24)
  2. Order-Based Dependent Dirichlet Processes
    Journal of the American Statistical Association, 2006, 101, 179-194 Downloads View citations (50)

2004

  1. Semiparametric Bayesian inference for stochastic frontier models
    Journal of Econometrics, 2004, 123, (1), 121-152 Downloads View citations (54)
    See also Working Paper (2002)
 
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