54 citations · 82 across the 9 of their papers we have counts for
6 papers · 1 filter
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…
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…
Flexible least squares for temporal data mining and statistical arbitrage
Giovanni Montana, Kostas Triantafyllopoulos, Theodoros Tsagaris
A number of recent emerging applications call for studying data streams, potentially infinite flows of information updated in real-time. When multiple co-evolving data streams are…
Fast estimation of multivariate stochastic volatility
Kostas Triantafyllopoulos, Giovanni Montana
In this paper we develop a Bayesian procedure for estimating multivariate stochastic volatility (MSV) using state space models. A multiplicative model based on inverted Wishart and…