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Details about Kostas Triantafyllopoulos

E-mail:
Homepage:http://ktriantafyllopoulos.staff.shef.ac.uk/
Workplace:Department of Probability and Statistics, University of Sheffield

Access statistics for papers by Kostas Triantafyllopoulos.

Last updated 2019-04-07. Update your information in the RePEc Author Service.

Short-id: ptr51


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Working Papers

2013

  1. Multivariate stochastic volatility modelling using Wishart autoregressive processes
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Time Series Analysis (2012)

2009

  1. Dynamic modeling of mean-reverting spreads for statistical arbitrage
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Computational Management Science (2011)

2008

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

2007

  1. Fast estimation of multivariate stochastic volatility
    Papers, arXiv.org Downloads
  2. Flexible least squares for temporal data mining and statistical arbitrage
    Papers, arXiv.org Downloads View citations (11)

Journal Articles

2012

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

2011

  1. Dynamic modeling of mean-reverting spreads for statistical arbitrage
    Computational Management Science, 2011, 8, (1), 23-49 Downloads View citations (10)
    See also Working Paper (2009)
  2. Real‐time covariance estimation for the local level model
    Journal of Time Series Analysis, 2011, 32, (2), 93-107
  3. Time-varying vector autoregressive models with stochastic volatility
    Journal of Applied Statistics, 2011, 38, (2), 369-382 Downloads View citations (2)

2009

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

2008

  1. Missing observation analysis for matrix-variate time series data
    Statistics & Probability Letters, 2008, 78, (16), 2647-2653 Downloads View citations (1)

2007

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

2006

  1. Decomposition of time series models in state-space form
    Computational Statistics & Data Analysis, 2006, 50, (9), 2232-2246 Downloads View citations (6)
  2. Multivariate discount weighted regression and local level models
    Computational Statistics & Data Analysis, 2006, 50, (12), 3702-3720 Downloads View citations (3)

2002

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