Jim E. Griffin

University College London

1-19 Torrington Place

London, WC1 7HB

United Kingdom

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 19,621

SSRN RANKINGS

Top 19,621

in Total Papers Downloads

3,100

SSRN CITATIONS
Rank 18,738

SSRN RANKINGS

Top 18,738

in Total Papers Citations

16

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 715 (43,524)
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 450 (78,279)
Citation 2

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 College London
Downloads 351 (104,311)
Citation 4

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 College London
Downloads 346 (105,951)
Citation 3

Abstract:

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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 College London
Downloads 208 (178,086)
Citation 2

Abstract:

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

6.

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 173 (209,900)
Citation 2

Abstract:

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Bayesian nonparametrics; Transformation models; Stationarity; Predictive density

7.

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 College London
Downloads 156 (229,138)

Abstract:

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

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 College London, London School of Economics & Political Science (LSE) - Department of Statistics and Kent Business School
Downloads 139 (251,774)

Abstract:

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

9.

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, Kent Business School and University of Kent
Downloads 137 (254,667)

Abstract:

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

10.

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 129 (266,559)
Citation 1

Abstract:

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

11.

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 112 (295,162)
Citation 1

Abstract:

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

12.

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 77 (374,397)
Citation 9

Abstract:

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13.

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 (423,762)

Abstract:

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

14.

Shrinkage Priors for High-Dimensional Demand Estimation

Number of pages: 39 Posted: 26 Apr 2021
Adam N. Smith and Jim E. Griffin
University College London - UCL School of Management and University College London
Downloads 46 (485,021)

Abstract:

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