PD_Financial_applications.bib

@article{roberts2004bayesian,
  title = {Bayesian inference for non-Gaussian Ornstein--Uhlenbeck stochastic volatility processes},
  author = {Roberts, Gareth O and Papaspiliopoulos, Omiros and Dellaportas, Petros},
  journal = {Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  volume = {66},
  number = {2},
  pages = {369--393},
  year = {2004},
  publisher = {Blackwell Publishing},
  url = {http://onlinelibrary.wiley.com/doi/10.1111/j.1369-7412.2004.05139.x/pdf}
}
@article{vrontos2000full,
  title = {Full Bayesian inference for GARCH and EGARCH models},
  author = {Vrontos, Ioannis D and Dellaportas, Petros and Politis, Dimitris N},
  journal = {Journal of Business \& Economic Statistics},
  volume = {18},
  number = {2},
  pages = {187--198},
  year = {2000},
  publisher = {Taylor \& Francis Group},
  url = {http://amstat.tandfonline.com/doi/abs/10.1080/07350015.2000.10524861}
}
@article{vrontos2003full,
  title = {A full-factor multivariate GARCH model},
  author = {Vrontos, Ioannis D and Dellaportas, Petros and Politis, Dimitris N},
  journal = {The Econometrics Journal},
  volume = {6},
  number = {2},
  pages = {312--334},
  year = {2003},
  publisher = {Blackwell Publishers Ltd},
  url = {http://www.feweb.vu.nl/econometriclinks/journal/volume6/VrontosDellaportasPolitis/ectjVrontos.pdf}
}
@article{vrontos2003inference,
  title = {Inference for some multivariate ARCH and GARCH models},
  author = {Vrontos, Ioannis D and Dellaportas, Petros and Politis, Dimitris N},
  journal = {Journal of Forecasting},
  volume = {22},
  number = {6-7},
  pages = {427--446},
  year = {2003},
  publisher = {John Wiley \& Sons, Ltd.},
  url = {http://onlinelibrary.wiley.com/doi/10.1002/for.871/pdf}
}
@article{dellaportas2007modelling,
  title = {Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models},
  author = {Dellaportas, Petros and Vrontos, Ioannis D},
  journal = {The Econometrics Journal},
  volume = {10},
  number = {3},
  pages = {503--520},
  year = {2007},
  publisher = {Blackwell Publishing Ltd},
  url = {http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2007.00219.x/pdf?userIsAuthenticated=false&deniedAccessCustomisedMessage=}
}
@article{giakoumatos2005bayesian,
  title = {Bayesian analysis of the unobserved ARCH model},
  author = {Giakoumatos, Stefanos G and Dellaportas, Petros and Politis, Dimitris N},
  journal = {Statistics and Computing},
  volume = {15},
  number = {2},
  pages = {103--111},
  year = {2005},
  publisher = {Kluwer Academic Publishers},
  url = {http://link.springer.com/article/10.1007/s11222-005-6202-9}
}
@article{giannikis2008modelling,
  title = {Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models},
  author = {Giannikis, Dimitris and Vrontos, Ioannis D and Dellaportas, Petros},
  journal = {Computational Statistics \& Data Analysis},
  volume = {52},
  number = {3},
  pages = {1549--1571},
  year = {2008},
  publisher = {North-Holland},
  url = {http://www.sciencedirect.com/science/article/pii/S0167947307002010}
}
@article{arakelian2006contagion,
  title = {Contagion tests via copula threshold models},
  author = {Arakelian, Veni and Dellaportas, Petros},
  journal = {Working Paper, University of Athens},
  year = {2006},
  url = {http://stat-athens.aueb.gr/~ptd/copulas.pdf}
}
@article{dellaportas2006bayesian,
  title = {Bayesian model selection for partially observed diffusion models},
  author = {Dellaportas, Petros and Friel, Nial and Roberts, Gareth O},
  journal = {Biometrika},
  volume = {93},
  number = {4},
  pages = {809--825},
  year = {2006},
  publisher = {Biometrika Trust},
  url = {http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.61.3173&rep=rep1&type=pdf}
}
@article{kalogeropoulos2010inference,
  title = {Inference for stochastic volatility models using time change transformations},
  author = {Kalogeropoulos, Konstantinos and Roberts, Gareth O and Dellaportas, Petros},
  journal = {The Annals of Statistics},
  pages = {784--807},
  year = {2010},
  publisher = {Institute of Mathematical Statistics},
  url = {http://projecteuclid.org/download/pdfview_1/euclid.aos/1266586614}
}
@article{dellaportas2007flexible,
  title = {Flexible threshold models for modelling interest rate volatility},
  author = {Dellaportas, Petros and Denison, David GT and Holmes, Chris},
  journal = {Econometric reviews},
  volume = {26},
  number = {2-4},
  pages = {419--437},
  year = {2007},
  publisher = {Taylor \& Francis},
  url = {http://www.tandfonline.com/doi/abs/10.1080/07474930701220600}
}
@article{vrontos2001application,
  title = {An application of three bivariate time-varying volatility models},
  author = {Vrontos, Ioannis D and Giakoumatos, Stefanos G and Dellaportas, Petros and Politis, Dimitris N},
  journal = {Applied stochastic models in business and industry},
  volume = {17},
  number = {1},
  pages = {121--133},
  year = {2001},
  publisher = {John Wiley \& Sons, Ltd.},
  url = {http://onlinelibrary.wiley.com/doi/10.1002/asmb.431/pdf}
}
@article{arakelian2012contagion,
  title = {Contagion determination via copula and volatility threshold models},
  author = {Arakelian, Veni and Dellaportas, Petros},
  journal = {Quantitative Finance},
  volume = {12},
  number = {2},
  pages = {295--310},
  year = {2012},
  publisher = {Routledge},
  url = {http://www.tandfonline.com/doi/abs/10.1080/14697680903410023}
}
@article{meligkotsidou2011forecasting,
  title = {Forecasting with non-homogeneous hidden Markov models},
  author = {Meligkotsidou, Loukia and Dellaportas, Petros},
  journal = {Statistics and Computing},
  volume = {21},
  number = {3},
  pages = {439--449},
  year = {2011},
  publisher = {Springer US},
  url = {http://link.springer.com/article/10.1007/s11222-010-9180-5}
}
@article{petralias2015volatility,
  title = {Volatility prediction based on scheduled macroeconomic announcements},
  author = {Petralias, Athanassios and Dellaportas, Petros},
  journal = {Canadian Journal of Statistics},
  volume = {43},
  pages = {199-223},
  year = {2015},
  url = {http://onlinelibrary.wiley.com/doi/10.1002/cjs.11247/pdf?userIsAuthenticated=false&deniedAccessCustomisedMessage=}
}
@article{kalogeropoulos2011likelihood,
  title = {Likelihood-based inference for correlated diffusions},
  author = {Kalogeropoulos, Konstantinos and Dellaportas, Petros and Roberts, Gareth O},
  journal = {Canadian journal of statistics},
  volume = {39},
  number = {1},
  pages = {52--72},
  year = {2011},
  publisher = {Wiley Online Library},
  url = {http://economics.ouls.ox.ac.uk/11898/1/chibpittshephard.pdf}
}
@article{dellaportas2012cholesky,
  title = {Cholesky-GARCH models with applications to finance},
  author = {Dellaportas, Petros and Pourahmadi, Mohsen},
  journal = {Statistics and Computing},
  volume = {22},
  number = {4},
  pages = {849--855},
  year = {2012},
  publisher = {Springer US},
  url = {http://link.springer.com/article/10.1007/s11222-011-9251-2}
}
@article{andersen2014communication,
  title = {Communication impacting financial markets},
  author = {Andersen, J{\o}rgen Vitting and Vrontos, Ioannis and Dellaportas, Petros and Galam, Serge},
  journal = {EPL (Europhysics Letters)},
  volume = {108},
  number = {2},
  pages = {28007},
  year = {2014},
  publisher = {IOP Publishing},
  url = {http://arxiv.org/pdf/1410.2550.pdf}
}
@article{dellaportas2014smile,
  title = {Smile transformation for price prediction},
  author = {Dellaportas, Petros and Mijatovic, Aleksandar},
  journal = {Risk},
  pages = {62-67},
  year = {2014},
  publisher = {Incisive Media Plc},
  url = {http://search.proquest.com/openview/b385394150e73215d07256a9afbe9004/1?pq-origsite=gscholar}
}

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