Petros Dellaportas : Citation Profile


Are you Petros Dellaportas?

7

H index

7

i10 index

237

Citations

RESEARCH PRODUCTION:

25

Articles

18

Papers

RESEARCH ACTIVITY:

   28 years (1993 - 2021). See details.
   Cites by year: 8
   Journals where Petros Dellaportas has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 9 (3.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pde1116
   Updated: 2022-01-15    RAS profile: 2021-09-22    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Petros Dellaportas.

Is cited by:

Maheu, John (11)

Caporin, Massimiliano (10)

Jensen, Mark (7)

Ravazzolo, Francesco (7)

Galeano, Pedro (7)

McAleer, Michael (6)

Lütkepohl, Helmut (5)

Lanne, Markku (5)

Giudici, Paolo (5)

Chen, Cathy W. S. (5)

Kalogeropoulos, Konstantinos (4)

Cites to:

van Dijk, Herman (19)

Koop, Gary (9)

Potter, Simon (8)

Bauwens, Luc (6)

Kalogeropoulos, Konstantinos (5)

Shephard, Neil (4)

Chopin, Nicolas (3)

Grassi, Stefano (3)

Kleibergen, Frank (3)

Bollerslev, Tim (3)

Baştürk, Nalan (3)

Main data


Where Petros Dellaportas has published?


Journals with more than one article published# docs
Journal of the Royal Statistical Society Series B4
Journal of the Royal Statistical Society Series A3
Econometrics Journal2
Quantitative Finance2
Journal of the Royal Statistical Society Series C2
Biometrika2
International Statistical Review2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL4
Post-Print / HAL3
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Petros Dellaportas (2021 and 2020)


YearTitle of citing document
2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Gregory Clive ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.06880.

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2021A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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2021Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo. (2021). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:22-46.

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2020Advances in Bayesian decision making in reliability. (2020). Insua, David Rios ; Wilson, Simon ; Soyer, Refik ; Ruggeri, Fabrizio. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:1-18.

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2020On a High-Dimensional Model Representation method based on Copulas. (2020). Andrikopoulos, Athanasios ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:967-979.

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2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Greg ; Avanzi, Benjamin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:50-71.

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2020Modeling mortality with a Bayesian vector autoregression. (2020). Sherris, Michael ; Njenga, Carolyn Ndigwako. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:40-57.

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2020Affine multivariate GARCH models. (2020). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618.

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2022A geometric framework for covariance dynamics. (2022). Park, Frank C ; Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002703.

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2020The diabolical sovereigns/banks risk loop: A VAR quantile design. (2020). Angelini, Eliana ; Foglia, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300050.

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2020Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process. (2020). Szczepocki, Piotr. In: Statistics in Transition New Series. RePEc:exl:29stat:v:21:y:2020:i:2:p:173-187.

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2021Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects. (2021). Men, Zhongxian ; Kolkiewicz, Adam W ; Wirjanto, Tony S. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:225-:d:557170.

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2020.

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2021Stochastic Claims Reserving Methods with State Space Representations: A Review. (2021). Chukhrova, Nataliya ; Johannssen, Arne. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:198-:d:672160.

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2020A Socio-Finance Model: The Case of Bitcoin. (2020). Meng, Yongqiang ; Andersen, Jorgen Vitting ; Shen, Dehua ; Xiong, Xiong. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-03048777.

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2020A Socio-Finance Model: The Case of Bitcoin. (2020). Meng, Yongqiang ; Shen, Dehua ; Xiong, Xiong ; Andersen, Jorgen Vitting. In: Post-Print. RePEc:hal:journl:halshs-03048777.

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2021Smoothing, Decomposing and Forecasting Mortality Rates. (2021). Basellini, Ugofilippo ; Camarda, Carlo G. In: European Journal of Population. RePEc:spr:eurpop:v:37:y:2021:i:3:d:10.1007_s10680-021-09582-4.

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2020Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models. (2020). Nur, Darfiana ; Livingston, Glen. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1056-3.

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2021A two-stage pooled panel data estimator of demand elasticities. (2021). Raknerud, Arvid ; von Brasch, Thomas. In: Discussion Papers. RePEc:ssb:dispap:951.

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2021Estimating expected shortfall using a quantile function model. (2021). Cai, Yuzhi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4332-4360.

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Works by Petros Dellaportas:


YearTitleTypeCited
2007Inference for stochastic volatility models using time change transformations In: Papers.
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paper6
2010Inference for stochastic volatility models using time change transformations.(2010) In: LSE Research Online Documents on Economics.
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paper
2007Inference for stochastic volatility model using time change transformations.(2007) In: MPRA Paper.
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paper
2007Likelihood-based inference for correlated diffusions In: Papers.
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paper5
2007Likelihood-based inference for correlated diffusions.(2007) In: MPRA Paper.
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This paper has another version. Agregated cites: 5
paper
2014Arbitrage-free prediction of the implied volatility smile In: Papers.
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paper1
2014Communication impacting financial markets In: Papers.
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paper10
2014Communication impacting financial markets.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 10
paper
2014Communication impacting financial markets.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 10
paper
2014Communication impacting financial markets.(2014) In: Post-Print.
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This paper has another version. Agregated cites: 10
paper
2014Communication impacting financial markets.(2014) In: Post-Print.
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This paper has another version. Agregated cites: 10
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2014Communication impacting financial markets.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper
2021Bayesian prediction of jumps in large panels of time series data In: Papers.
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paper0
2000Full Bayesian Inference for GARCH and EGARCH Models. In: Journal of Business & Economic Statistics.
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article57
2001A Simulation Approach to Nonparametric Empirical Bayes Analysis In: International Statistical Review.
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article0
2020Interview with Professor Adrian FM Smith In: International Statistical Review.
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article0
2001Bayesian analysis of mortality data In: Journal of the Royal Statistical Society Series A.
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article11
2019Bayesian forecasting of mortality rates by using latent Gaussian models In: Journal of the Royal Statistical Society Series A.
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article1
2021Sample size determination for risk?based tax auditing In: Journal of the Royal Statistical Society Series A.
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article0
2003Discussion on the paper by Brooks, Giudici and Roberts In: Journal of the Royal Statistical Society Series B.
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article0
2004Bayesian inference for non?Gaussian Ornstein–Uhlenbeck stochastic volatility processes In: Journal of the Royal Statistical Society Series B.
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article40
2005Model determination for categorical data with factor level merging In: Journal of the Royal Statistical Society Series B.
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article2
2012Control variates for estimation based on reversible Markov chain Monte Carlo samplers In: Journal of the Royal Statistical Society Series B.
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article1
1993Bayesian Inference for Generalized Linear and Proportional Hazards Models Via Gibbs Sampling In: Journal of the Royal Statistical Society Series C.
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article7
2003Assessment of Athenss metro passenger behaviour via a multiranked probit model In: Journal of the Royal Statistical Society Series C.
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article2
2007Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models In: Econometrics Journal.
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article11
2003A full-factor multivariate GARCH model In: Econometrics Journal.
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article56
2008Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models In: Computational Statistics & Data Analysis.
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article11
2019Importance sampling from posterior distributions using copula-like approximations In: Journal of Econometrics.
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article1
2004Quantification of automobile insurance liability: a Bayesian failure time approach In: Insurance: Mathematics and Economics.
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article1
2014A Socio-Finance Model: Inference and empirical application In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015A Socio-Finance Model: Inference and empirical application.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 0
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2015A Socio-Finance Model: Inference and empirical application.(2015) In: Post-Print.
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2014A Socio-Finance Model: Inference and empirical application.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 0
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2015A Socio-Finance Model: Inference and empirical application.(2015) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has another version. Agregated cites: 0
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2006Bayesian model selection for partially observed diffusion models In: Biometrika.
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article1
2011A novel reversible jump algorithm for generalized linear models In: Biometrika.
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article2
2019Efficient Sequential Monte Carlo Algorithms for Integrated Population Models In: Journal of Agricultural, Biological and Environmental Statistics.
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2007Flexible Threshold Models for Modelling Interest Rate Volatility In: Econometric Reviews.
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2012Contagion determination via copula and volatility threshold models In: Quantitative Finance.
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article6
2019Sovereign risk zones in Europe during and after the debt crisis In: Quantitative Finance.
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article1
2002Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty In: North American Actuarial Journal.
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article4
2001An application of three bivariate time‐varying volatility models In: Applied Stochastic Models in Business and Industry.
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article0

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