Particle filtering of stochastic volatility modeled with leverage PM Djuric, M Khan, DE Johnston IEEE Journal of Selected Topics in Signal Processing 6 (4), 327-336, 2012 | 22 | 2012 |
The science behind risk management DE Johnston, PM Djurić IEEE Signal Processing Magazine 28 (5), 26-36, 2011 | 19 | 2011 |
Replication and optimization of hedge fund risk factor exposures DE Johnston, I Urteaga, PM Djurić 2013 IEEE International Conference on Acoustics, Speech and Signal …, 2013 | 8 | 2013 |
Bayesian detection and MMSE frequency estimation of sinusoidal signals via adaptive importance sampling DE Johnston, PM Djuric 1994 IEEE International Symposium on Circuits and Systems (ISCAS) 2, 417-420, 1994 | 6 | 1994 |
A recursive Bayesian model for extreme values DE Johnston, PM Djurić ICASSP 2019-2019 IEEE International Conference on Acoustics, Speech and …, 2019 | 5 | 2019 |
Bayesian model selection of exponential time series through adaptive importance sampling WB Bishop, PM Djuric, DE Johnston IEEE Seventh SP Workshop on Statistical Signal and Array Processing, 51-54, 1994 | 5 | 1994 |
A Bayesian procedure for the detection of damped signals PM Djuric, WB Bishop, DE Johnston 1994 IEEE International Symposium on Circuits and Systems (ISCAS) 2, 401-404, 1994 | 3 | 1994 |
Estimation of predictive loss distributions by particle filtering PM Djurić, DE Johnston 2011 IEEE Statistical Signal Processing Workshop (SSP), 41-44, 2011 | 2 | 2011 |
Bayesian frequency estimation DE Johnston, PM DjuriC Stony Brook, NY: State University of New York at Stony Brook, College of …, 1992 | 2 | 1992 |
Bayesian forecasting of dynamic extreme quantiles DE Johnston Forecasting 3 (4), 729-740, 2021 | 1 | 2021 |
Estimating hedge fund risk factor exposures DE Johnston, PM Djurić 2012 IEEE 13th International Workshop on Signal Processing Advances in …, 2012 | 1 | 2012 |
Risk management: A signal processing perspective DE Johnston, PM Djuri IEEE Signal Process. Mag. Spec. Iss. Signal Process. for Financial Applicat …, 2011 | 1 | 2011 |
An efficient Bayes solution to AR signal modelling for short sequences DE Johnston, PM Djuric Proceedings of ICASSP'94. IEEE International Conference on Acoustics, Speech …, 1994 | 1 | 1994 |
Bayesian autoregressive modelling for short sequences DE Johnston, PM Djuric Stony Brook, NY: State University of New York at Stony Brook, College of …, 1993 | 1 | 1993 |
Bayesian Analysis of Extreme Precipitation Events and Forecasting Return Levels DE Johnston arXiv preprint arXiv:2208.12316, 2022 | | 2022 |
Bayesian Estimation of a Tail-Index with Marginalized Threshold DE Johnston, PM Djurić ICASSP 2021-2021 IEEE International Conference on Acoustics, Speech and …, 2021 | | 2021 |
A Recursive Bayesian Solution for the Excess Over Threshold Distribution with Stochastic Parameters DE Johnston, PM Djurić ICASSP 2020-2020 IEEE International Conference on Acoustics, Speech and …, 2020 | | 2020 |
A Bayesian approach to signal modeling and estimation DE Johnston State University of New York at Stony Brook, 1994 | | 1994 |