54 citations · 130 across the 15 of their papers we have counts for
15 papers
Lomax distribution and asymptotical ML estimations based on record values for probability density function and cumulative distribution function
Saman Hosseini, Dler Hussein Kadir, Kostas Triantafyllopoulos
Here in this paper, it is tried to obtain and compare the ML estimations based on upper record values and a random sample. In continue, some theorems have been proven about the beh…
Real-time covariance estimation for the local level model
K. Triantafyllopoulos
This paper develops on-line inference for the multivariate local level model, with the focus being placed on covariance estimation of the innovations. We assess the application of…
Multivariate stochastic volatility modelling using Wishart autoregressive processes
K. Triantafyllopoulos
A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision cov…
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…