54 citations · 82 across the 9 of their papers we have counts for
9 papers
Dynamic modeling of mean-reverting spreads for statistical arbitrage
Kostas Triantafyllopoulos, Giovanni Montana
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gau…
A note on state space representations of locally stationary wavelet time series
K. Triantafyllopoulos, G. P. Nason
In this note we show that the locally stationary wavelet process can be decomposed into a sum of signals, each of which following a moving average process with time-varying paramet…
Missing observation analysis for matrix-variate time series data
K. Triantafyllopoulos
Bayesian inference is developed for matrix-variate dynamic linear models (MV-DLMs), in order to allow missing observation analysis, of any sub-vector or sub-matrix of the observati…
Forecasting with time-varying vector autoregressive models
K. Triantafyllopoulos
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form th…
Multivariate stochastic volatility using state space models
K. Triantafyllopoulos
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inver…
Multivariate stochastic volatility with Bayesian dynamic linear models
K. Triantafyllopoulos
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic lin…