98 citations · 196 across the 32 of their papers we have counts for
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q-fin.ST2019★ 2 cited
Bayesian prediction of jumps in large panels of time series data
Angelos Alexopoulos, Petros Dellaportas, Omiros Papaspiliopoulos
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochast…
q-fin.ST2007★ 1 cited
Likelihood-based inference for correlated diffusions
Konstantinos Kalogeropoulos, Petros Dellaportas, Gareth O. Roberts
We address the problem of likelihood based inference for correlated diffusion processes using Markov chain Monte Carlo (MCMC) techniques. Such a task presents two interesting probl…