Details about Kostas Triantafyllopoulos

Access statistics for papers by Kostas Triantafyllopoulos.

Last updated 2022-05-09. Update your information in the RePEc Author Service.

Short-id: ptr51

Working Papers

2013

1. Multivariate stochastic volatility modelling using Wishart autoregressive processes
   Papers, arXiv.org
   See also Journal Article Multi‐variate stochastic volatility modelling using Wishart autoregressive processes, Journal of Time Series Analysis, Wiley Blackwell (2012) View citations (9) (2012)

2009

2. Dynamic modeling of mean-reverting spreads for statistical arbitrage
   Papers, arXiv.org View citations (6)
   See also Journal Article Dynamic modeling of mean-reverting spreads for statistical arbitrage, Computational Management Science, Springer (2011) View citations (17) (2011)

2008

3. Forecasting with time-varying vector autoregressive models
   Papers, arXiv.org
4. Multivariate stochastic volatility using state space models
   Papers, arXiv.org
5. Multivariate stochastic volatility with Bayesian dynamic linear models
   Papers, arXiv.org View citations (5)

2007

6. Fast estimation of multivariate stochastic volatility
   Papers, arXiv.org
7. Flexible least squares for temporal data mining and statistical arbitrage
   Papers, arXiv.org View citations (14)

Journal Articles

2020

1. Dynamic Non-parametric Monitoring of Air-Pollution
   Methodology and Computing in Applied Probability, 2020, 22, (4), 1457-1479 View citations (1)

2019

2. Generalized Linear Models for Flexible Parametric Modeling of the Hazard Function
   Medical Decision Making, 2019, 39, (7), 867-878 View citations (2)

2012

3. Multi‐variate stochastic volatility modelling using Wishart autoregressive processes
   Journal of Time Series Analysis, 2012, 33, (1), 48-60 View citations (9)
   See also Working Paper Multivariate stochastic volatility modelling using Wishart autoregressive processes, Papers (2013) (2013)

2011

4. Dynamic modeling of mean-reverting spreads for statistical arbitrage
   Computational Management Science, 2011, 8, (1), 23-49 View citations (17)
   See also Working Paper Dynamic modeling of mean-reverting spreads for statistical arbitrage, Papers (2009) View citations (6) (2009)
5. Real‐time covariance estimation for the local level model
   Journal of Time Series Analysis, 2011, 32, (2), 93-107
6. Time-varying vector autoregressive models with stochastic volatility
   Journal of Applied Statistics, 2011, 38, (2), 369-382 View citations (4)

2009

7. A note on state space representations of locally stationary wavelet time series
   Statistics & Probability Letters, 2009, 79, (1), 50-54 View citations (1)
8. Inference of Dynamic Generalized Linear Models: On‐Line Computation and Appraisal
   International Statistical Review, 2009, 77, (3), 430-450 View citations (4)

2008

9. Missing observation analysis for matrix-variate time series data
   Statistics & Probability Letters, 2008, 78, (16), 2647-2653 View citations (2)

2007

10. A Bayesian analysis of moving average processes with time-varying parameters
    Computational Statistics & Data Analysis, 2007, 52, (2), 1025-1046 View citations (3)
11. Covariance estimation for multivariate conditionally Gaussian dynamic linear models
    Journal of Forecasting, 2007, 26, (8), 551-569 View citations (5)
12. Feedback quality adjustment with Bayesian state‐space models
    Applied Stochastic Models in Business and Industry, 2007, 23, (2), 145-156 View citations (3)

2006

13. Decomposition of time series models in state-space form
    Computational Statistics & Data Analysis, 2006, 50, (9), 2232-2246 View citations (9)
14. Multivariate discount weighted regression and local level models
    Computational Statistics & Data Analysis, 2006, 50, (12), 3702-3720 View citations (3)

2002

15. Multivariate Bayesian Regression Applied to the Problem of Network Security
    Journal of Forecasting, 2002, 21, (8), 579-94 View citations (5)