98 citations · 196 across the 32 of their papers we have counts for
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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…
stat.ME2007★ 1 cited
Inference for stochastic volatility models using time change transformations
Konstantinos Kalogeropoulos, Gareth O. Roberts, Petros Dellaportas
We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an…