10
H index
10
i10 index
298
Citations
Petros Dellaportas : Citation Profile
| RESEARCH PRODUCTION: 25 Articles 18 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1993 - 2021). 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:
| Cites to:
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Main data
Where Petros Dellaportas has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of the Royal Statistical Society Series B | 4 |
| Journal of the Royal Statistical Society Series A | 3 |
| Journal of the Royal Statistical Society Series C | 2 |
| Econometrics Journal | 2 |
| International Statistical Review | 2 |
| Biometrika | 2 |
| Quantitative Finance | 2 |
Recent works citing Petros Dellaportas (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Sequential Bayesian Learning for Hidden Semi-Markov Models. (2023). Kalogeropoulos, Konstantinos ; Aschermayr, Patrick. In: Papers. RePEc:arx:papers:2301.10494. Full description at Econpapers || Download paper |
| 2023 | A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484. Full description at Econpapers || Download paper |
| 2023 | Modeling Large Spot Price Deviations in Electricity Markets. (2023). Desmettre, Sascha ; Aichinger, Florian ; Laudag, Christian. In: Papers. RePEc:arx:papers:2306.07731. Full description at Econpapers || Download paper |
| 2023 | The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913. Full description at Econpapers || Download paper |
| 2023 | Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x. Full description at Econpapers || Download paper |
| 2023 | Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing. (2023). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001382. Full description at Econpapers || Download paper |
| 2023 | Multi-population mortality projection: The augmented common factor model with structural breaks. (2023). Vahid, Farshid ; Pantelous, Athanasios A ; Wang, Pengjie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:450-469. Full description at Econpapers || Download paper |
| 2023 | Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537. Full description at Econpapers || Download paper |
| 2023 | Dependence Modelling of Lifetimes in Egyptian Families. (2023). Khalil, Dalia ; Constantinescu, Corina ; Hana, Waleed ; Henshaw, Kira. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:1:p:18-:d:1032194. Full description at Econpapers || Download paper |
| 2023 | Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6. Full description at Econpapers || Download paper |
| 2023 | Forecasting sovereign risk in the Euro area via machine learning. (2023). Istrefi, Klodiana ; CAICEDO GRACIANO, Carlos Mateo ; Boeckelmann, Lukas ; di Iorio, Alberto ; Belly, Guillaume ; Stallabourdillon, Arthur ; Siakoulis, Vasileios. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:657-684. Full description at Econpapers || Download paper |
Works by Petros Dellaportas:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Inference for stochastic volatility models using time change transformations In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2010 | Inference for stochastic volatility models using time change transformations.(2010) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2007 | Inference for stochastic volatility model using time change transformations.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2007 | Likelihood-based inference for correlated diffusions In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2007 | Likelihood-based inference for correlated diffusions.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | Arbitrage-free prediction of the implied volatility smile In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Communication impacting financial markets In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2014 | Communication impacting financial markets.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2014 | Communication impacting financial markets.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2014 | Communication impacting financial markets.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2014 | Communication impacting financial markets.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2014 | Communication impacting financial markets.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Bayesian prediction of jumps in large panels of time series data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Full Bayesian Inference for GARCH and EGARCH Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 60 |
| 2001 | A Simulation Approach to Nonparametric Empirical Bayes Analysis In: International Statistical Review. [Full Text][Citation analysis] | article | 0 |
| 2020 | Interview with Professor Adrian FM Smith In: International Statistical Review. [Full Text][Citation analysis] | article | 0 |
| 2001 | Bayesian analysis of mortality data In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 14 |
| 2019 | Bayesian forecasting of mortality rates by using latent Gaussian models In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 3 |
| 2021 | Sample size determination for risk?based tax auditing In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 0 |
| 2003 | Discussion on the paper by Brooks, Giudici and Roberts In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 0 |
| 2004 | Bayesian inference for non?Gaussian Ornstein–Uhlenbeck stochastic volatility processes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 43 |
| 2005 | Model determination for categorical data with factor level merging In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 2 |
| 2012 | Control variates for estimation based on reversible Markov chain Monte Carlo samplers In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 2 |
| 1993 | Bayesian Inference for Generalized Linear and Proportional Hazards Models Via Gibbs Sampling In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 13 |
| 2003 | Assessment of Athenss metro passenger behaviour via a multiranked probit model In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 2 |
| 2007 | Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models In: Econometrics Journal. [Full Text][Citation analysis] | article | 12 |
| 2003 | A full-factor multivariate GARCH model In: Econometrics Journal. [Full Text][Citation analysis] | article | 67 |
| 2008 | Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 11 |
| 2019 | Importance sampling from posterior distributions using copula-like approximations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2004 | Quantification of automobile insurance liability: a Bayesian failure time approach In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2014 | A Socio-Finance Model: Inference and empirical application In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 3 |
| 2015 | A Socio-Finance Model: Inference and empirical application.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2015 | A Socio-Finance Model: Inference and empirical application.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2014 | A Socio-Finance Model: Inference and empirical application.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2015 | A Socio-Finance Model: Inference and empirical application.(2015) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2006 | Bayesian model selection for partially observed diffusion models In: Biometrika. [Full Text][Citation analysis] | article | 1 |
| 2011 | A novel reversible jump algorithm for generalized linear models In: Biometrika. [Full Text][Citation analysis] | article | 2 |
| 2019 | Efficient Sequential Monte Carlo Algorithms for Integrated Population Models In: Journal of Agricultural, Biological and Environmental Statistics. [Full Text][Citation analysis] | article | 0 |
| 2007 | Flexible Threshold Models for Modelling Interest Rate Volatility In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2012 | Contagion determination via copula and volatility threshold models In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 2019 | Sovereign risk zones in Europe during and after the debt crisis In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2002 | Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 16 |
| 2001 | An application of three bivariate time?varying volatility models In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team