Details about Jim Edward Griffin

Access statistics for papers by Jim Edward Griffin.

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

Short-id: pgr328

Working Papers

2016

1. Bayesian Nonparametric Estimation of Ex-post Variance
   MPRA Paper, University Library of Munich, Germany View citations (1)

2008

2. Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes, Computational Statistics & Data Analysis, Elsevier (2010) View citations (8) (2010)

2005

3. Bayesian Stochastic Frontier Analysis Using WinBUGS
   Econometrics, University Library of Munich, Germany View citations (1)
   See also Journal Article Bayesian stochastic frontier analysis using WinBUGS, Journal of Productivity Analysis, Springer (2007) View citations (96) (2007)

2002

4. Semiparametric Bayesian Inference for Stochastic Frontier Models
   Econometrics, University Library of Munich, Germany View citations (1)
   See also Journal Article Semiparametric Bayesian inference for stochastic frontier models, Journal of Econometrics, Elsevier (2004) View citations (59) (2004)

Journal Articles

2018

1. Bayesian nonparametric vector autoregressive models
   Journal of Econometrics, 2018, 203, (2), 267-282 View citations (20)
2. Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics
   Statistical Methods & Applications, 2018, 27, (2), 207-218

2017

3. Compound random measures and their use in Bayesian non-parametrics
   Journal of the Royal Statistical Society Series B, 2017, 79, (2), 525-545 View citations (7)
4. On efficient Bayesian inference for models with stochastic volatility
   Econometrics and Statistics, 2017, 3, (C), 23-33 View citations (1)

2015

5. Flexible Modeling of Dependence in Volatility Processes
   Journal of Business & Economic Statistics, 2015, 33, (1), 102-113 View citations (8)

2014

6. Time-varying sparsity in dynamic regression models
   Journal of Econometrics, 2014, 178, (2), 779-793 View citations (40)

2013

7. A Bayesian semiparametric model for volatility with a leverage effect
   Computational Statistics & Data Analysis, 2013, 60, (C), 97-110 View citations (19)
8. Comparing distributions by using dependent normalized random-measure mixtures
   Journal of the Royal Statistical Society Series B, 2013, 75, (3), 499-529 View citations (10)

2012

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

2011

10. Bayesian clustering of distributions in stochastic frontier analysis
    Journal of Productivity Analysis, 2011, 36, (3), 275-283 View citations (1)
11. Covariance measurement in the presence of non-synchronous trading and market microstructure noise
    Journal of Econometrics, 2011, 160, (1), 58-68 View citations (71)
12. Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods
    Journal of Financial Econometrics, 2011, 9, (3), 519-549 View citations (8)
13. Modeling overdispersion with the normalized tempered stable distribution
    Computational Statistics & Data Analysis, 2011, 55, (7), 2288-2301 View citations (3)
14. Stick-breaking autoregressive processes
    Journal of Econometrics, 2011, 162, (2), 383-396 View citations (33)

2010

15. Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
    Computational Statistics & Data Analysis, 2010, 54, (11), 2594-2608 View citations (8)
    See also Working Paper Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes, MPRA Paper (2008) View citations (1) (2008)

2008

16. Flexible mixture modelling of stochastic frontiers
    Journal of Productivity Analysis, 2008, 29, (1), 33-50 View citations (23)
17. Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
    Econometric Reviews, 2008, 27, (1-3), 230-253 View citations (42)

2007

18. Bayesian stochastic frontier analysis using WinBUGS
    Journal of Productivity Analysis, 2007, 27, (3), 163-176 View citations (96)
    See also Working Paper Bayesian Stochastic Frontier Analysis Using WinBUGS, Econometrics (2005) View citations (1) (2005)

2006

19. Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
    Journal of Econometrics, 2006, 134, (2), 605-644 View citations (30)
20. Order-Based Dependent Dirichlet Processes
    Journal of the American Statistical Association, 2006, 101, 179-194 View citations (55)

2004

21. Semiparametric Bayesian inference for stochastic frontier models
    Journal of Econometrics, 2004, 123, (1), 121-152 View citations (59)
    See also Working Paper Semiparametric Bayesian Inference for Stochastic Frontier Models, Econometrics (2002) View citations (1) (2002)