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Number of items: 55.

Article

Kalli, Maria and Griffin, Jim E. (2018) Bayesian nonparametric vector autoregressive models. Journal of Econometrics, 203 (2). pp. 267-282. ISSN 0304-4076. (doi:https://doi.org/10.1016/j.jeconom.2017.11.009) (Full text available)

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Griffin, Jim E. and Leisen, Fabrizio (2017) Modelling and computation using NCoRM mixtures for density regression. Bayesian Analysis, 13 (3). pp. 897-916. ISSN 1936-0975. (doi:https://doi.org/10.1214/17-BA1072) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

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Griffin, Jim E. and Kalli, Maria and Steel, Mark (2017) Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics. Statistical Methods & Applications, . ISSN 1618-2510. (doi:https://doi.org/10.1007/s10260-017-0384-0) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Leisen, Fabrizio (2017) Compound Random Measures and their use in Bayesian nonparametrics. Journal of the Royal Statistical Society Series B-Statistical Methodology, 79 (2). pp. 525-545. ISSN 1369-7412. E-ISSN 1467-9868. (doi:https://doi.org/10.1111/rssb.12176) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Brown, Philip J. (2017) Hierarchical Shrinkage Priors for Regression Models. Bayesian Analysis, 12 (1). pp. 135-159. ISSN 1936-0975. E-ISSN 1931-6690. (doi:https://doi.org/10.1214/15-BA990) (Full text available)

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Griffin, Jim E. and Sakaria, Dhirendra Kumar (2016) On efficient Bayesian inference for models with stochastic volatility. Econometrics and Statistics, 3 . pp. 23-33. ISSN 2452-3062. (doi:https://doi.org/10.1016/j.ecosta.2016.08.002) (Full text available)

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Griffin, Jim E. (2015) Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors. Statistics and Computing, 27 (1). pp. 131-145. ISSN 0960-3174. (doi:https://doi.org/10.1007/s11222-015-9612-3) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Kalli, Maria and Griffin, Jim E. (2015) Flexible Modelling of Dependence in Volatility Processes. Journal of Business and Economic Statistics, 33 (1). pp. 102-113. ISSN 0735-0015. E-ISSN 1537-2707. (doi:https://doi.org/10.1080/07350015.2014.925457) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Holmes, Chris C. and Caron, Francois and Griffin, Jim E. and Stephens, David A. (2015) Two-sample Bayesian nonparametric hypothesis testing. Bayesian Analysis, 10 . pp. 297-320. ISSN 1936-0975. (doi:https://doi.org/10.1214/14-BA914) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. (2014) An adaptive truncation method for inference in Bayesian nonparametric models. Statistics and Computing, 26 (1). pp. 423-441. ISSN 0960-3174. (doi:https://doi.org/10.1007/s11222-014-9519-4) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Kalli, Maria and Griffin, Jim E. (2014) Time-varying sparsity in dynamic regression models. Journal of Econometrics, 178 (2). pp. 779-793. ISSN 0304-4076. (doi:https://doi.org/10.1016/j.jeconom.2013.10.012) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Kolossiatis, Michalis and Steel, Mark F.J. (2013) Comparing distributions by using dependent normalized random-measure mixtures. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 75 (3). pp. 499-529. ISSN 1369-7412. (doi:https://doi.org/10.1111/rssb.12002) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Kolossiatis, Michalis and Griffin, Jim E. and Steel, Mark F.J. (2013) On Bayesian nonparametric modelling of two correlated distributions. Statistics and Computing, 23 (1). pp. 1-15. ISSN 0960-3174. (doi:https://doi.org/10.1007/s11222-011-9283-7) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Lamnisos, Demetris and Griffin, Jim E. and Steel, Mark F.J. (2013) Adaptive Monte Carlo for Bayesian Variable Selection in Regression Models. Journal of Computational and Graphical Statistics, 22 (3). pp. 729-748. ISSN 1061-8600. (doi:https://doi.org/10.1080/10618600.2012.694756) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Delatola, Eleni-Ioanna (2013) A Bayesian semiparametric model for volatility with a leverage effect. Computational Statistics and Data Analysis, 60 (1). pp. 97-110. ISSN 0167-9473. (doi:https://doi.org/10.1016/j.csda.2012.10.023) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Walker, Stephen G. (2013) On adaptive Metropolis-Hastings method. Statistics and Computing, 23 (1). pp. 123-134. ISSN 0960-3174. (doi:https://doi.org/10.1007/s11222-011-9296-2) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Brown, Philip J. (2013) Some Priors for Sparse Regression Modelling. Bayesian Analysis, 8 (3). pp. 691-702. ISSN 1936-0975. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Kirk, Paul and Griffin, Jim E. and Savage, Richard S. and Ghahramani, Zoubin and Wild, David L. (2012) Bayesian correlated clustering of integrated multiple datasets. Bioinformatics, 28 (24). pp. 3290-3297. ISSN 1367-4803. (doi:https://doi.org/10.1093/bioinformatics/bts595) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Lamnisos, Demetris and Griffin, Jim E. and Steel, Mark F.J. (2012) Cross-validation prior choice in Bayesian probit regression with many covariates. Statistics and Computing, 22 (2). pp. 359-373. ISSN 0960-3174. (doi:https://doi.org/10.1007/s11222-011-9228-1) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Brown, Philip J. (2012) Structuring Shrinkage: Some Correlated Priors for Regression. Biometrika, 99 (2). pp. 481-487. ISSN 1464-3510. (doi:https://doi.org/10.1093/biomet/asr082) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Brown, Philip J. (2011) Bayesian hyper-lassos with non-convex penalization. Australian and New Zealand Journal of Statistics, 53 (4). pp. 423-442. ISSN 1369-1473. (doi:https://doi.org/10.1111/j.1467-842X.2011.00641.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. (2011) The Ornstein-Uhlenbeck Dirichlet Process and other time-varying processes for Bayesian nonparametric inference. Journal of Statistical Planning and Inference, 141 (11). pp. 3648-3664. ISSN 0378-3758. (doi:https://doi.org/10.1016/j.jspi.2011.05.019) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Steel, Mark F.J. (2011) Stick-Breaking Autoregressive Processes. Journal of Econometrics, 162 (2). pp. 383-396. ISSN 0304-4076. (doi:https://doi.org/10.1016/j.jeconom.2011.03.001) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Walker, Stephen G. (2011) Posterior Simulation of Normalized Random Measure Mixtures. Journal of Computational and Graphical Statistics, 20 (1). pp. 241-259. ISSN 1061-8600. (doi:https://doi.org/10.1198/jcgs.2010.08176) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Oomen, Roel C. A. (2011) Covariance measurement in the presence of non-synchronous trading and market microstructure noise. Journal of Econometrics, 160 (1). pp. 58-68. ISSN 0304-4076. (doi:https://doi.org/10.1016/j.jeconom.2010.03.015) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Delatola, Eleni-Ioanna and Griffin, Jim E. (2011) Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility. Bayesian Analysis, 6 (4). pp. 901-926. ISSN 1936-0975. (doi:https://doi.org/10.1214/11-BA632) (Full text available)

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Griffin, Jim E. (2011) Bayesian clustering of distributions in stochastic frontier analysis. Journal of Productivity Analysis, 36 (3). pp. 275-283. ISSN 0895-562X. (doi:https://doi.org/10.1007/s11123-011-0213-7) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. (2011) Inference in Infinite Superpositions of Non-Gaussian Ornstein–Uhlenbeck Processes Using Bayesian Nonparametic Methods. Journal of Financial Econometrics, 9 (3). pp. 519-549. ISSN 1479-8409. (doi:https://doi.org/10.1093/jjfinec/nbq027) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Kolossiatis, Michalis and Griffin, Jim E. and Steel, Mark F.J. (2011) Modeling overdispersion with the Normalized Tempered Stable distribution. Computational Statistics and Data Analysis, 55 (7). pp. 2288-2301. ISSN 0167-9473. (doi:https://doi.org/10.1016/j.csda.2011.01.016) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Kalli, Maria and Griffin, Jim E. and Walker, Stephen G. (2011) Slice Sampling Mixture Models. Statistics and Computing, 21 (1). pp. 93-105. ISSN 0960-3174. (doi:https://doi.org/10.1007/s11222-009-9150-y) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Steel, Mark F.J. (2010) Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes. Computational Statistics and Data Analysis, Online (54). pp. 2594-2608. ISSN 0167-9473. (doi:https://doi.org/10.1016/j.csda.2009.06.008) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. (2010) Default priors for density estimation with mixture models. Bayesian Analysis, 5 (1). pp. 45-64. ISSN 1931-6690. (doi:https://doi.org/10.1214/10-BA502) (Full text available)

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Griffin, Jim E. and Brown, Philip J. (2010) Inference with normal-gamma prior distributions in regression problems. Bayesian Analysis, 5 (1). pp. 171-188. ISSN 1936-0975. (doi:https://doi.org/10.1214/10-BA508) (Full text available)

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Griffin, Jim E. and Steel, Mark F.J. (2010) Bayesian Nonparametric Modelling with the Dirichlet Process Regression Smoother. Statistica Sinica, 20 (4). pp. 1507-1527. ISSN 1017-0405. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Savage, Richard S. and Ghahramani, Zoubin and Griffin, Jim E. and De La Cruz, Bernard J. and Wild, David L. (2010) Discovering Transcriptional Modules from Bayesian Data Fusion. Bioinformatics, 26 (12). pp. 1158-1167. ISSN 1367-4803. (doi:https://doi.org/10.1093/bioinformatics/btq210) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Lamnisos, Demetris and Griffin, Jim E. and Steel, Mark F.J. (2009) Transdimensional Sampling Algorithms for Bayesian Variable Selection in Classification Problems With Many More Variables Than Observations. Journal of Computational and Graphical Statistics, 18 (3). pp. 592-612. ISSN 1061-8600. (doi:https://doi.org/10.1198/jcgs.2009.08027) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Steel, Mark F.J. (2008) Flexible mixture modelling of stochastic frontiers. Journal of Productivity Analysis, 29 (1). pp. 33-50. ISSN 0895-562X. (doi:https://doi.org/10.1007/s11123-007-0064-4) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Oomen, Roel C. A. (2008) Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? Econometric Reviews, 27 (1-3). pp. 230-253. ISSN 0747-4938. (doi:https://doi.org/10.1080/07474930701873341) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Steel, Mark F.J. (2007) Bayesian Stochastic Frontier Analysis Using WinBUGS. Journal of Productivity Analysis, 27 (3). pp. 163-176. ISSN 0895-562X. (doi:https://doi.org/10.1007/s11123-007-0033-y) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Steel, Mark F.J. (2006) Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility. Journal of Econometrics, 134 (2). pp. 605-644. ISSN 0304-4076. (doi:https://doi.org/10.1016/j.jeconom.2005.07.007) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Steel, Mark F.J. (2006) Order-Based Dependent Dirichlet Processes. Journal of the American Statistical Association, 101 (473). pp. 179-94. ISSN 0162-1459. (doi:https://doi.org/10.1198/016214505000000727) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Steel, Mark F.J. (2004) Semiparametric Bayesian inference for stochastic frontier models. Journal of Econometrics, 123 (1). pp. 121-152. ISSN 0304-4076. (doi:https://doi.org/10.1016/j.jeconom.2003.11.001) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Book section

Griffin, Jim E. and Quintana, Fernando and Steel, Mark F.J. (2011) Flexible and Nonparametric Methods. In: Koop, Gary and van Dijk, Herman and Geweke, John, eds. The Oxford Handbook of Bayesian Econometrics. Oxford University Press. ISBN 978-0-19-955908-4. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Holmes, Chris C. (2010) Computational issues arising in Bayesian nonparametric hierarchical models. In: Hjort, Nils Lid and Holmes, Chris C. and Mueller, Peter and Walker, Stephen G., eds. Bayesian Nonparametrics. Cambridge University Press. ISBN 978-0-521-51346-3. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Monograph

Griffin, Jim E. and Oberoi, Jaideep S and Oduro, Samuel Dua (2018) Estimating The Probability Of Informed Trading: A Bayesian Approach. Working paper. tbc (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Mitrodima, Evangelia and Oberoi, Jaideep S (2018) Robustly Modelling the Scale and Shape Dynamics of Stock Return Distributions. Working paper. tbc https://doi.org/10.2139/ssrn.2777214. (Unpublished) (doi:https://doi.org/10.2139/ssrn.2777214) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Hodges, S.D. and Roberts, G. and Papaspiliopoulos, O. and Sentana, E. and Bingham, N.H. and Cox, David and Nicolato, E. and Venardos, E. and Critchley, F. and Davis, M.H.A. and Tompkins, R. and Benth, F.E. and Karlsen, K.H. and Reikvam, K. and Brockwell, P.J. and Davis, Rohan A. and Christensen, B.J. and Dellaportas, Paraskevi and McCoy, E.J. and Stephens, D. and Diebold, F.X. and Fruhwirth-Schnatter, S. and Genon-Catalot, V. and Laredo, C. and Granger, Clive W.J. and Griffin, Jim E. and Steel, Mark F.J. and Hobson, David M. and Jensen, J.L. and Jones, M.C. and Lawrance, A.J. and Ledford, A.W. and Leonenko, N.N. and Levendorskii, S. and Mandelbrot, B.B. and Meddahi, N. and Pitt, Michael K. and Priestley, M.B. and Renault, E. and Rosinski, J. and Sato, K. and Taylor, S.J. and Tong, Howell and Yang, H. and Veretennikov, A.Y. and Walker, Stephen G. and Werker, B.J.M. and Woodhead, A. (2001) Non-Gaussian Ornstein-Uhlenbeck-based Models and Some of their Uses in Financial Economics - Discussion. Discussion paper. BLACKWELL PUBLISHING LTD https://doi.org/10.1111/1467-9868.00282. (doi:https://doi.org/10.1111/1467-9868.00282) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Conference or workshop item

Diana, Alex and Griffin, Jim E. and Matechou, Eleni (2019) A Polya Tree Based Model for Unmarked Individuals in an Open Wildlife Population. In: Bayesian Statistics: New Challenges and New Generations - BAYSM 2018. (In press) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Mitrodima, Gelly and Oberoi, Jaideep S (2018) Robustly modelling the scale and shape dynamics of stock return distributions. In: 2018 IAAE International Association for Applied Econometrics Conference, 26 - 29 June 2018, Montreal, Canada. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Mitrodima, Gelly and Oberoi, Jaideep S (2016) Robustly Modelling the Scale and Shape Dynamics of Stock return Distributions. In: Financial Management Association Latin America Conference, 16 - 17 Feb 2017, Mexico City. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Griffin, Jim E. and Mitrodima, Gelly and Oberoi, Jaideep S (2015) Decomposing the scale and shape dynamics of stock return distributions: A joint quantile model. In: Quantitative Methods in Finance Conference, 15 - 18 Dec 2015, Sydney, Australia. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Hoggart, C.J. and Griffin, Jim E. (2001) A Bayesian Partition Model for Customer Attrition. In: ISBA 2000: The Sixth World Meeting of the International Society for Bayesian Analysis. (Full text available)

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Thesis

Mitrodima, Evangelia (2015) Essays on the Modelling of Quantiles for Forecasting and Risk Estimation. Doctor of Philosophy (PhD) thesis, University of Kent,. (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

Research report (external)

Diana, Alex and Griffin, Jim E. and Oberoi, Jaideep S and Yao, Ji (2019) Machine-Learning Methods for Insurance Applications - a survey. Society of Actuaries, 27 pp. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

Kalli, Maria and Griffin, Jim E. and Walker, Stephen G. (2008) Slice Sampling Mixture Models. Centre for Health Services Studies, 23 pp. (Full text available)

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