41 citations · 51 across the 5 of their papers we have counts for
5 papers
Real-Time Detection of Local No-Arbitrage Violations
Torben G. Andersen, Viktor Todorov, Bo Zhou
This paper focuses on the task of detecting local episodes involving violation of the standard Itô semimartingale assumption for financial asset prices in real time that might indu…
Semiparametrically Optimal Cointegration Test
Bo Zhou
This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is…
Semiparametric Testing with Highly Persistent Predictors
Bas Werker, Bo Zhou
We address the issue of semiparametric efficiency in the bivariate regression problem with a highly persistent predictor, where the joint distribution of the innovations is regarde…
Spherical Hamiltonian Monte Carlo for Constrained Target Distributions
Shiwei Lan, Bo Zhou, Babak Shahbaba
We propose a new Markov Chain Monte Carlo (MCMC) method for constrained target distributions. Our method first maps the -dimensional constrained domain of parameters to the unit…
A Semiparametric Bayesian Model for Detecting Synchrony Among Multiple Neurons
Babak Shahbaba, Bo Zhou, Shiwei Lan +3
We propose a scalable semiparametric Bayesian model to capture dependencies among multiple neurons by detecting their co-firing (possibly with some lag time) patterns over time. Af…