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Jim Edward Griffin

Personal Details

First Name:Jim
Middle Name:Edward
Last Name:Griffin
Suffix:
RePEc Short-ID:pgr328
[This author has chosen not to make the email address public]
http://www.kent.ac.uk/ims/personal/jeg28/index.htm

Affiliation

University of Kent

http://www.kent.ac.uk/ims/
Canterbury

Research output

as
Jump to: Working papers Articles

Working papers

  1. Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
  2. Griffin, Jim & Steel, Mark F.J., 2008. "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," MPRA Paper 11071, University Library of Munich, Germany.
  3. Jim Griffin & Mark Steel, 2005. "Bayesian Stochastic Frontier Analysis Using WinBUGS," Econometrics 0509004, EconWPA.
  4. Jim E. Griffin & Mark F.J. Steel, 2002. "Semiparametric Bayesian Inference for Stochastic Frontier Models," Econometrics 0209001, EconWPA, revised 18 Sep 2002.

Articles

  1. Sakaria, D.K. & Griffin, J.E., 2017. "On efficient Bayesian inference for models with stochastic volatility," Econometrics and Statistics, Elsevier, vol. 3(C), pages 23-33.
  2. Maria Kalli & Jim Griffin, 2015. "Flexible Modeling of Dependence in Volatility Processes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 102-113, January.
  3. Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
  4. J. E. Griffin & M. Kolossiatis & M. F. J. Steel, 2013. "Comparing distributions by using dependent normalized random-measure mixtures," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(3), pages 499-529, June.
  5. Delatola, E.-I. & Griffin, J.E., 2013. "A Bayesian semiparametric model for volatility with a leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 97-110.
  6. J. E. Griffin & P. J. Brown, 2012. "Structuring shrinkage: some correlated priors for regression," Biometrika, Biometrika Trust, vol. 99(2), pages 481-487.
  7. Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 58-68, January.
  8. J. E. Griffin, 2011. "Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 519-549, Summer.
  9. J. Griffin, 2011. "Bayesian clustering of distributions in stochastic frontier analysis," Journal of Productivity Analysis, Springer, vol. 36(3), pages 275-283, December.
  10. Griffin, J.E. & Steel, M.F.J., 2011. "Stick-breaking autoregressive processes," Journal of Econometrics, Elsevier, vol. 162(2), pages 383-396, June.
  11. Kolossiatis, M. & Griffin, J.E. & Steel, M.F.J., 2011. "Modeling overdispersion with the normalized tempered stable distribution," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2288-2301, July.
  12. Griffin, J.E. & Steel, M.F.J., 2010. "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2594-2608, November.
  13. Jim Griffin & Roel Oomen, 2008. "Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 230-253.
  14. J. Griffin & M. Steel, 2008. "Flexible mixture modelling of stochastic frontiers," Journal of Productivity Analysis, Springer, vol. 29(1), pages 33-50, February.
  15. Jim Griffin & Mark Steel, 2007. "Bayesian stochastic frontier analysis using WinBUGS," Journal of Productivity Analysis, Springer, vol. 27(3), pages 163-176, June.
  16. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  17. Griffin, J.E. & Steel, M.F.J., 2006. "Order-Based Dependent Dirichlet Processes," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 179-194, March.
  18. Griffin, J. E. & Steel, M. F. J., 2004. "Semiparametric Bayesian inference for stochastic frontier models," Journal of Econometrics, Elsevier, vol. 123(1), pages 121-152, November.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers 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.
  1. NEP-ECM: Econometrics (4) 2002-09-28 2005-11-09 2008-10-21 2016-05-21
  2. NEP-ETS: Econometric Time Series (1) 2008-10-21
  3. NEP-ORE: Operations Research (1) 2008-10-21
  4. NEP-UPT: Utility Models & Prospect Theory (1) 2016-05-21

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