1-19 Torrington Place
London, WC1 7HB
United Kingdom
University College London
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realized covariance, optimal sampling, lead-lag correlations, bias correction
Probability of Informed Trading, PIN, software, Bayesian estimation, Information Asymmetry Risk
realized variance, tick time, transaction time, pure jump process, market microstructure noise, optimal sampling
Vector Autoregressive Models, Dirichlet Process Prior, Infinite Mixtures, Markov chain Monte Carlo
Time-Varying Regression, Shrinkage priors, Normal-Gamma priors, Markov chain Monte Carlo, Equity Premium, Inflation
Hierarchical Priors, Global-Local Priors, Non-Sparse Shrinkage, Horseshoe, Seemingly Unrelated Regression, Price Elasticities
Dirichlet process, Asset Returns, Stock Indices, Off-set mixture representation, Mixture model, Centred representation
Bayesian nonparametrics; Transformation models; Stationarity; Predictive density
Aggregation, Long-Range Dependence, MCMC, Bayesian nonparametrics, Dirichlet process, Stochastic volatility
Dynamic multivariate quantile model, Return decomposition, Robust methods, CAViaR model
Dirichlet process, asset return, stock index, off-set mixture representation, mixture model, centred representation
Stochastic volatility, realised measures, Bayesian nonparametrics, Hawkes processes, jump processes
Stochastic volatility, Bayesian methods, Markov chain Monte Carlo, Mixture offset representation
