Jim E. Griffin

University College London

1-19 Torrington Place

London, WC1 7HB

United Kingdom

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 20,531

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Top 20,531

in Total Papers Downloads

3,493

SSRN CITATIONS
Rank 17,726

SSRN RANKINGS

Top 17,726

in Total Papers Citations

20

CROSSREF CITATIONS

40

Scholarly Papers (14)

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 College London and Deutsche Bank AG (London)
Downloads 737 (48,402)
Citation 3

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 College London and Deutsche Bank AG (London)
Downloads 466 (86,418)
Citation 3

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
School of Mathematics, Statistics and Actuarial Science, Universiry of Kent and University College London
Downloads 379 (109,703)
Citation 5

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
School of Mathematics, Statistics and Actuarial Science, Universiry of Kent and University College London
Downloads 365 (114,409)
Citation 3

Abstract:

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

5.

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 College London, SOAS University of London - Centre for Financial and Management Studies and University of Kent
Downloads 276 (153,785)

Abstract:

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

6.

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 College London
Downloads 214 (196,865)
Citation 2

Abstract:

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

7.

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 College London and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 194 (215,329)
Citation 2

Abstract:

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Bayesian nonparametrics; Transformation models; Stationarity; Predictive density

8.

Shrinkage Priors for High-Dimensional Demand Estimation

Number of pages: 44 Posted: 26 Apr 2021 Last Revised: 24 Jun 2022
Adam N. Smith and Jim E. Griffin
University College London - UCL School of Management and University College London
Downloads 170 (241,269)

Abstract:

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Hierarchical Priors, Global-Local Priors, Non-Sparse Shrinkage, Horseshoe, Seemingly Unrelated Regression, Price Elasticities

9.

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
School of Mathematics, Statistics and Actuarial Science, Universiry of Kent and University College London
Downloads 156 (259,333)

Abstract:

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

10.

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 College London, London School of Economics & Political Science (LSE) - Department of Statistics and SOAS University of London - Centre for Financial and Management Studies
Downloads 145 (275,078)

Abstract:

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

11.

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 College London
Downloads 131 (297,337)
Citation 1

Abstract:

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

12.

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

Number of pages: 28 Posted: 10 Apr 2016
Jim E. Griffin
University College London
Downloads 121 (315,415)
Citation 1

Abstract:

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

13.

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 College London and Deutsche Bank AG (London)
Downloads 78 (417,657)
Citation 9

Abstract:

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14.

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 College London
Downloads 61 (475,314)

Abstract:

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