400 citations · 1.2k across the 67 of their papers we have counts for
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q-fin.ST2007★ 54 cited
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…
q-fin.ST2007
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…