Theodoros Tsagaris
Personal Details
First Name: | Theodoros |
Middle Name: | |
Last Name: | Tsagaris |
Suffix: | |
RePEc Short-ID: | pts78 |
[This author has chosen not to make the email address public] | |
http://www.theodorostsagaris.com/ | |
Research output
Jump to: Working papers ArticlesWorking papers
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2010.
"Robust and Adaptive Algorithms for Online Portfolio Selection,"
Papers
1005.2979, arXiv.org.
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2012. "Robust and adaptive algorithms for online portfolio selection," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1651-1662, November.
- Theodoros Tsagaris, 2008. "Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets," Papers 0801.3348, arXiv.org.
- Giovanni Montana & Kostas Triantafyllopoulos & Theodoros Tsagaris, 2007. "Flexible least squares for temporal data mining and statistical arbitrage," Papers 0709.3884, arXiv.org.
Articles
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2012.
"Robust and adaptive algorithms for online portfolio selection,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1651-1662, November.
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2010. "Robust and Adaptive Algorithms for Online Portfolio Selection," Papers 1005.2979, arXiv.org.
- Ajay Jasra & David A. Stephens & Arnaud Doucet & Theodoros Tsagaris, 2011. "Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(1), pages 1-22, March.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2010.
"Robust and Adaptive Algorithms for Online Portfolio Selection,"
Papers
1005.2979, arXiv.org.
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2012. "Robust and adaptive algorithms for online portfolio selection," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1651-1662, November.
Cited by:
- Olivier Ledoit & Michael Wolf, 2013.
"Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions,"
ECON - Working Papers
105, Department of Economics - University of Zurich, revised Jul 2013.
- Ledoit, Olivier & Wolf, Michael, 2015. "Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 360-384.
- Giovanni Montana & Kostas Triantafyllopoulos & Theodoros Tsagaris, 2007.
"Flexible least squares for temporal data mining and statistical arbitrage,"
Papers
0709.3884, arXiv.org.
Cited by:
- Zsuzsanna Zsibók & Balázs Varga, 2012. "Inflation Persistence in Hungary: a Spatial Analysis," Working Papers 1203, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
- Evžen Kocenda & Balázs Varga, 2017.
"The Impact of Monetary Strategies on Inflation Persistence,"
CESifo Working Paper Series
6306, CESifo.
- Evžen Kočenda & Balázs Varga, 2018. "The Impact of Monetary Strategies on Inflation Persistence," International Journal of Central Banking, International Journal of Central Banking, vol. 14(4), pages 229-274, September.
- Evzen Kocenda & Balazs Varga, 2016. "The impact of monetary strategies on inflation persistence," KIER Working Papers 938, Kyoto University, Institute of Economic Research.
- Zsolt Darvas & Balázs Varga, 2012. "Uncovering Time-Varying Parameters with the Kalman-Filter and the Flexible Least Squares: a Monte Carlo Study," Working Papers 1204, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
- K. Triantafyllopoulos & G. Montana, 2011.
"Dynamic modeling of mean-reverting spreads for statistical arbitrage,"
Computational Management Science, Springer, vol. 8(1), pages 23-49, April.
- Kostas Triantafyllopoulos & Giovanni Montana, 2008. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Papers 0808.1710, arXiv.org, revised May 2009.
- Zsolt Darvas & Balẳ Varga, 2014.
"Inflation persistence in central and eastern European countries,"
Applied Economics, Taylor & Francis Journals, vol. 46(13), pages 1437-1448, May.
- Zsolt Darvas & Balazs Varga, 2013. "Inflation persistence in central and eastern European countries," CERS-IE WORKING PAPERS 1327, Institute of Economics, Centre for Economic and Regional Studies.
- Zsolt Darvas & Balázs Varga, 2013. "Inflation persistence in Central and Eastern European countries," Working Papers 787, Bruegel.
- Zsolt Darvas & Balázs Varga, 2013. "Inflation Persistence in Central and Eastern European Countries," Working Papers 1302, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest, revised Jul 2013.
- Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Sheunesu Zhou, 2021. "Examining the Sources of Sovereign Risk for South Africa: A Time Varying Flexible Least Squares Approach," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(1), pages 29-45.
- Josipa VIŠIC & Blanka ŠKRABIC, 2010. "Determinants of Incoming Cross-Border M&A: Evidence from European Transition Economies," EcoMod2010 259600168, EcoMod.
- Jeff Stephenson & Bruce Vanstone & Tobias Hahn, 2021. "A Unifying Model for Statistical Arbitrage: Model Assumptions and Empirical Failure," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 943-964, December.
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2012.
"Robust and adaptive algorithms for online portfolio selection,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1651-1662, November.
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2010. "Robust and Adaptive Algorithms for Online Portfolio Selection," Papers 1005.2979, arXiv.org.
- Matthew J. Lebo & Janet M. Box‐Steffensmeier, 2008. "Dynamic Conditional Correlations in Political Science," American Journal of Political Science, John Wiley & Sons, vol. 52(3), pages 688-704, July.
- Kuethe, Todd H. & Foster, Kenneth A. & Florax, Raymond J.G.M., 2008. "A Spatial Hedonic Model with Time-Varying Parameters: A New Method Using Flexible Least Squares," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6306, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Uliha, Gábor, 2016. "Az olajár gyengülő makrogazdasági hatásai. Két versengő elmélet szintézise [Weakening macroeconomic effects of the oil price. A synthesis of two competing theories]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 787-818.
Articles
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2012.
"Robust and adaptive algorithms for online portfolio selection,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1651-1662, November.
See citations under working paper version above.
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2010. "Robust and Adaptive Algorithms for Online Portfolio Selection," Papers 1005.2979, arXiv.org.
- Ajay Jasra & David A. Stephens & Arnaud Doucet & Theodoros Tsagaris, 2011.
"Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(1), pages 1-22, March.
Cited by:
- Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
- Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015.
"Autoregressive moving average infinite hidden markov-switching models,"
LIDAM Discussion Papers CORE
2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
- Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Post-Print hal-01795051, HAL.
- Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," LIDAM Reprints CORE 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Yijie Peng & Michael C. Fu & Jian-Qiang Hu, 2016. "Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1393-1411, September.
- Edward Herbst & Frank Schorfheide, 2017.
"Tempered Particle Filtering,"
NBER Working Papers
23448, National Bureau of Economic Research, Inc.
- Edward Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," PIER Working Paper Archive 16-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Oct 2016.
- Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).
- Herbst, Edward & Schorfheide, Frank, 2019. "Tempered particle filtering," Journal of Econometrics, Elsevier, vol. 210(1), pages 26-44.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019.
"Online Estimation of DSGE Models,"
Liberty Street Economics
20190821, Federal Reserve Bank of New York.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
- Michael D. Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," NBER Working Papers 26826, National Bureau of Economic Research, Inc.
- Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021. "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
- Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," PIER Working Paper Archive 19-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," Finance and Economics Discussion Series 2020-023, Board of Governors of the Federal Reserve System (U.S.).
- Sophie Donnet & Stéphane Robin, 2021. "Accelerating Bayesian estimation for network Poisson models using frequentist variational estimates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 858-885, August.
- Arnaud Dufays, 2015.
"Evolutionary Sequential Monte Carlo Samplers for Change-point Models,"
Cahiers de recherche
1518, CIRPEE.
- Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1508, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, vol. 4(1), pages 1-33, March.
- Creal, D., 2009.
"A survey of sequential Monte Carlo methods for economics and finance,"
Serie Research Memoranda
0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Drew Creal, 2012. "A Survey of Sequential Monte Carlo Methods for Economics and Finance," Econometric Reviews, Taylor & Francis Journals, vol. 31(3), pages 245-296.
- P. P. Osei & A. Jasra, 2018. "Estimating option prices using multilevel particle filters," Papers 1806.01734, arXiv.org.
- Gunawan, David & Dang, Khue-Dung & Quiroz, Matias & Kohn, Robert & Tran, Minh-Ngoc, 2019. "Subsampling Sequential Monte Carlo for Static Bayesian Models," Working Paper Series 371, Sveriges Riksbank (Central Bank of Sweden).
- Mlikota, Marko & Schorfheide, Frank, 2022.
"Sequential Monte Carlo With Model Tempering,"
CEPR Discussion Papers
17035, C.E.P.R. Discussion Papers.
- Marko Mlikota & Frank Schorfheide, 2022. "Sequential Monte Carlo With Model Tempering," Papers 2202.07070, arXiv.org.
- Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Qi Wang & Jos'e E. Figueroa-L'opez & Todd Kuffner, 2019. "Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise," Papers 1909.04853, arXiv.org.
- Ajay Jasra & Kody Law & Carina Suciu, 2020. "Advanced Multilevel Monte Carlo Methods," International Statistical Review, International Statistical Institute, vol. 88(3), pages 548-579, December.
- Moffa, Giusi & Kuipers, Jack, 2014. "Sequential Monte Carlo EM for multivariate probit models," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 252-272.
- Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.
- Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
- Paul Ho, 2019.
"Global Robust Bayesian Analysis in Large Models,"
2019 Meeting Papers
390, Society for Economic Dynamics.
- Paul Ho, 2020. "Global Robust Bayesian Analysis in Large Models," Working Paper 20-07, Federal Reserve Bank of Richmond.
- Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
- Duffield, Samuel & Singh, Sumeetpal S., 2022. "Ensemble Kalman inversion for general likelihoods," Statistics & Probability Letters, Elsevier, vol. 187(C).
- Golchi, Shirin & Campbell, David A., 2016. "Sequentially Constrained Monte Carlo," Computational Statistics & Data Analysis, Elsevier, vol. 97(C), pages 98-113.
- Speich, Matthias & Dormann, Carsten F. & Hartig, Florian, 2021. "Sequential Monte-Carlo algorithms for Bayesian model calibration – A review and method comparison✰," Ecological Modelling, Elsevier, vol. 455(C).
- Yan-Feng Wu & Xiangyu Yang & Jian-Qiang Hu, 2024. "Method of Moments Estimation for Affine Stochastic Volatility Models," Papers 2408.09185, arXiv.org.
- Zhou, Yan, 2015. "vSMC: Parallel Sequential Monte Carlo in C++," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 62(i09).
More information
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-CMP: Computational Economics (1) 2010-05-29
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