Jim E. Griffin

University of Kent

Professor of Statistics

Cornwallis Building

Canterbury, Kent CT2 7NF

United Kingdom

http://www.kent.ac.uk/ims/personal/jeg28/index.htm

University of Kent - School of Mathematics, Statistics and Actuarial Science

Cornwallis Building

Canterbury, CT2 7NF

United Kingdom

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 17,518

in Total Papers Citations

6

CROSSREF CITATIONS

40

Scholarly Papers (13)

1.

Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

Journal of Econometrics, Vol. 160, No. 1, pp. 58-68, 2011
Number of pages: 25 Posted: 07 Jul 2006 Last Revised: 15 Dec 2010
Jim E. Griffin and Roel C. A. Oomen
University of Kent and Deutsche Bank AG (London)
Downloads 689 (36,782)
Citation 1

Abstract:

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realized covariance, optimal sampling, lead-lag correlations, bias correction

2.

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

Econometric Reviews, Vol. 27, No. 1, pp. 230-253, 2008
Number of pages: 28 Posted: 06 Jun 2006 Last Revised: 08 Jul 2008
Jim E. Griffin and Roel C. A. Oomen
University of Kent and Deutsche Bank AG (London)
Downloads 434 (66,480)

Abstract:

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realized variance, tick time, transaction time, pure jump process, market microstructure noise, optimal sampling

3.

Time-Varying Sparsity in Dynamic Regression Models

Number of pages: 40 Posted: 30 Jan 2012 Last Revised: 16 Sep 2013
Maria Kalli and Jim E. Griffin
affiliation not provided to SSRN and University of Kent
Downloads 330 (91,504)
Citation 2

Abstract:

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Time-Varying Regression, Shrinkage priors, Normal-Gamma priors, Markov chain Monte Carlo, Equity Premium, Inflation

4.

Bayesian Nonparametric Vector Autoregressive Models

Number of pages: 45 Posted: 27 Sep 2015 Last Revised: 07 Aug 2017
Maria Kalli and Jim E. Griffin
affiliation not provided to SSRN and University of Kent
Downloads 315 (96,301)
Citation 1

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Vector Autoregressive Models, Dirichlet Process Prior, Infinite Mixtures, Markov chain Monte Carlo

5.

Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility

Number of pages: 23 Posted: 25 Aug 2010 Last Revised: 26 Sep 2011
Eleni-Ioanna Delatola and Jim E. Griffin
University of Kent - Canterbury Campus and University of Kent
Downloads 206 (148,693)
Citation 1

Abstract:

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Dirichlet process, Asset Returns, Stock Indices, Off-set mixture representation, Mixture model, Centred representation

6.

Flexible Modelling of Dependence in Volatility Processes

Number of pages: 37 Posted: 28 Feb 2011 Last Revised: 12 Jul 2013
Maria Kalli and Jim E. Griffin
affiliation not provided to SSRN and University of Kent
Downloads 144 (203,563)

Abstract:

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Aggregation, Long-Range Dependence, MCMC, Bayesian nonparametrics, Dirichlet process, Stochastic volatility

7.

A Bayesian Semiparametric Model for Volatility with a Leverage Effect

Number of pages: 22 Posted: 22 Nov 2011
Eleni-Ioanna Delatola and Jim E. Griffin
University of Kent - Canterbury Campus and University of Kent
Downloads 128 (223,617)
Citation 1

Abstract:

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Dirichlet process, asset return, stock index, off-set mixture representation, mixture model, centred representation

8.

Robustly Modelling the Scale and Shape Dynamics of Stock Return Distributions

Number of pages: 36 Posted: 15 May 2016 Last Revised: 01 Feb 2018
Jim E. Griffin, Gelly Mitrodima and Jaideep S. Oberoi
University of Kent, London School of Economics & Political Science (LSE) - Department of Statistics and Kent Business School
Downloads 122 (231,920)

Abstract:

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Dynamic multivariate quantile model, Return decomposition, Robust methods, CAViaR model

9.

A Bayesian Quantile Time Series Model for Asset Returns

Number of pages: 50 Posted: 11 Oct 2017 Last Revised: 10 Apr 2019
Jim E. Griffin and Gelly Mitrodima
University of Kent and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 113 (245,258)
Citation 1

Abstract:

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Bayesian nonparametrics; Transformation models; Stationarity; Predictive density

10.

Flexibly Modelling Volatility and Jumps Using Realised and Bi-Power Variation

Number of pages: 28 Posted: 10 Apr 2016
Jim E. Griffin
University of Kent
Downloads 92 (281,827)

Abstract:

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Stochastic volatility, realised measures, Bayesian nonparametrics, Hawkes processes, jump processes

11.

Appendix to Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

Number of pages: 17 Posted: 26 Jul 2009 Last Revised: 27 Jul 2009
Jim E. Griffin and Roel C. A. Oomen
University of Kent and Deutsche Bank AG (London)
Downloads 72 (326,559)
Citation 9

Abstract:

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12.

On Efficient Bayesian Inference for Models with Stochastic Volatility

Number of pages: 20 Posted: 21 Mar 2016
Bill Sakaria and Jim E. Griffin
University of Kent - School of Mathematics, Statistics and Actuarial Science and University of Kent
Downloads 61 (356,322)

Abstract:

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Stochastic volatility, Bayesian methods, Markov chain Monte Carlo, Mixture offset representation

13.

Estimating The Probability of Informed Trading: A Bayesian Approach

Number of pages: 45 Posted: 06 Jan 2019
Jim E. Griffin, Jaideep S. Oberoi and Samuel Oduro
University of Kent, Kent Business School and University of Kent
Downloads 54 (378,003)

Abstract:

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Probability of Informed Trading, PIN, software, Bayesian estimation, Information Asymmetry Risk