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ResearcherID: H-2186-2015
Scopus Author ID: 16199431800

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Universidad Carlos III de Madrid: Madrid, ES

Employment
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Universidad Carlos III de Madrid

Works (34)

Structured factor copulas for modeling the systemic risk of European and United States banks

International Review of Financial Analysis
2024-11 | Journal article
DOI: 10.1016/j.irfa.2024.103621
Contributors: Hoang Nguyen; Audronė Virbickaitė; M. Concepción Ausín; Pedro Galeano
Source: check_circle
Crossref

Sequential detection of parameter changes in dynamic conditional correlation models

Applied Stochastic Models in Business and Industry
2021-05 | Journal article
DOI: 10.1002/asmb.2578
Contributors: Katharina Pape; Pedro Galeano; Dominik Wied
Source: check_circle
Crossref

Variational inference for high dimensional structured factor copulas

Computational Statistics & Data Analysis
2020-11 | Journal article
DOI: 10.1016/j.csda.2020.107012
Contributors: Hoang Nguyen; M. Concepción Ausín; Pedro Galeano
Source: check_circle
Crossref

Parallel Bayesian inference for high-dimensional dynamic factor copulas

Journal of Financial Econometrics
2019 | Journal article
DOI: 10.1093/jjfinec/nby032
EID:

2-s2.0-85062334137
Contributors: Nguyen, H.; Ausín, M.C.; Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Particle learning for Bayesian semi-parametric stochastic volatility model

Econometric Reviews
2019 | Journal article
DOI: 10.1080/07474938.2018.1514022
EID:

2-s2.0-85060335065
Contributors: Virbickaitė, A.; Lopes, H.F.; Concepción Ausín, M.; Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Data science, big data and statistics

TEST
2019-06-08 | Journal article
DOI: 10.1007/s11749-019-00651-9
Contributors: Pedro Galeano; Daniel Peña
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Rejoinder on: Data science, big data and statistics

TEST
2019-06-08 | Journal article
DOI: 10.1007/s11749-019-00652-8
Contributors: Pedro Galeano; Daniel Peña
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Estimation, imputation and prediction for the functional linear model with scalar response with responses missing at random

Computational Statistics & Data Analysis
2019-03 | Journal article
DOI: 10.1016/j.csda.2018.07.006
Contributors: Manuel Febrero-Bande; Pedro Galeano; Wenceslao González-Manteiga
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Functional Principal Component Regression and Functional Partial Least-squares Regression: An Overview and a Comparative Study

International Statistical Review
2017 | Journal article
DOI: 10.1111/insr.12116
EID:

2-s2.0-85016999036
Contributors: Febrero-Bande, M.; Galeano, P.; González-Manteiga, W.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Dating multiple change points in the correlation matrix

TEST
2017-06-28 | Journal article
DOI: 10.1007/s11749-016-0513-3
Contributors: Pedro Galeano; Dominik Wied
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection

Computational Statistics and Data Analysis
2016 | Journal article
DOI: 10.1016/j.csda.2014.12.005
EID:

2-s2.0-84979740982
Contributors: Virbickaitė, A.; Ausín, M.C.; Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Functional outlier detection by a local depth with application to NO<inf> x</inf> levels

Stochastic Environmental Research and Risk Assessment
2016 | Journal article
DOI: 10.1007/s00477-015-1096-3
EID:

2-s2.0-84930888711
Contributors: Sguera, C.; Galeano, P.; Lillo, R.E.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Monitoring multivariate variance changes

Journal of Empirical Finance
2016 | Journal article
DOI: 10.1016/j.jempfin.2016.08.007
EID:

2-s2.0-84992517627
Contributors: Pape, K.; Wied, D.; Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Bayesian inference methods for univariate and multivariate garch models: A survey

Journal of Economic Surveys
2015 | Journal article
DOI: 10.1111/joes.12046
EID:

2-s2.0-84920997481
Contributors: Virbickaite, A.; Ausín, M.C.; Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

The mahalanobis distance for functional data with applications to classification

Technometrics
2015 | Journal article
DOI: 10.1080/00401706.2014.902774
EID:

2-s2.0-84942886160
Contributors: Galeano, P.; Joseph, E.; Lillo, R.E.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

European Journal of Operational Research
2014 | Journal article
DOI: 10.1016/j.ejor.2013.07.008
EID:

2-s2.0-84883791219
Contributors: Ausín, M.C.; Galeano, P.; Ghosh, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Multiple break detection in the correlation structure of random variables

Computational Statistics and Data Analysis
2014 | Journal article
DOI: 10.1016/j.csda.2013.02.031
EID:

2-s2.0-84901585742
Contributors: Galeano, P.; Wied, D.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Spatial depth-based classification for functional data

Test
2014 | Journal article
DOI: 10.1007/s11749-014-0379-1
EID:

2-s2.0-84939877943
Contributors: Sguera, C.; Galeano, P.; Lillo, R.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Finding outliers in linear and nonlinear time series

Robustness and Complex Data Structures: Festschrift in Honour of Ursula Gather
2013 | Book chapter
Part of DOI: 10.1007/978-3-642-35494-6_15
EID:

2-s2.0-84956494061
Contributors: Galeano, P.; Peña, D.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Monitoring correlation change in a sequence of random variables

Journal of Statistical Planning and Inference
2013 | Journal article
DOI: 10.1016/j.jspi.2012.06.007
EID:

2-s2.0-84866283382
Contributors: Wied, D.; Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Additive outlier detection in seasonal arima models by a modified bayesian information criterion

Economic Time Series: Modeling and Seasonality
2012 | Book chapter
EID:

2-s2.0-84956554170
Contributors: Galeano, P.; Peña, D.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Comments on: Some recent theory for autoregressive count time series

Test
2012 | Journal article
DOI: 10.1007/s11749-012-0300-8
EID:

2-s2.0-84866110026
Contributors: Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Measures of influence for the functional linear model with scalar response

Journal of Multivariate Analysis
2010 | Journal article
DOI: 10.1016/j.jmva.2008.12.011
EID:

2-s2.0-70449528770
Contributors: Febrero-Bande, M.; Galeano, P.; González-Manteiga, W.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Shifts in individual parameters of a GARCH model

Journal of Financial Econometrics
2010 | Journal article
DOI: 10.1093/jjfinec/nbp007
EID:

2-s2.0-77951186961
Contributors: Galeano, P.; Tsay, R.S.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

The gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection

Journal of Business and Economic Statistics
2010 | Journal article
DOI: 10.1198/jbes.2009.07238
EID:

2-s2.0-78649413701
Contributors: Galeano, P.; Ausín, M.C.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Outlier detection in functional data by depth measures, with application to identify abnormal NO<inf>x</inf> levels

Environmetrics
2008 | Journal article
DOI: 10.1002/env.878
EID:

2-s2.0-46849092608
Contributors: Febrero, M.; Galeano, P.; González-Manteiga, W.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

A functional analysis of NOx levels: Location and scale estimation and outlier detection

Computational Statistics
2007 | Journal article
DOI: 10.1007/s00180-007-0048-x
EID:

2-s2.0-36048951072
Contributors: Febrero, M.; Galeano, P.; González-Manteiga, W.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Bayesian estimation of the Gaussian mixture GARCH model

Computational Statistics and Data Analysis
2007 | Journal article
DOI: 10.1016/j.csda.2006.01.006
EID:

2-s2.0-33750985047
Contributors: Ausín, M.C.; Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Covariance changes detection in multivariate time series

Journal of Statistical Planning and Inference
2007 | Journal article
DOI: 10.1016/j.jspi.2005.09.003
EID:

2-s2.0-33748431335
Contributors: Galeano, P.; Peña, D.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Improved model selection criteria for SETAR time series models

Journal of Statistical Planning and Inference
2007 | Journal article
DOI: 10.1016/j.jspi.2006.10.014
EID:

2-s2.0-34248145959
Contributors: Galeano, P.; Peña, D.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

On the connection between model selection criteria and quadratic discrimination in ARMA time series models

Statistics and Probability Letters
2007 | Journal article
DOI: 10.1016/j.spl.2006.12.010
EID:

2-s2.0-34047248552
Contributors: Galeano, P.; Peña, D.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process

Computational Statistics and Data Analysis
2007 | Journal article
DOI: 10.1016/j.csda.2006.12.042
EID:

2-s2.0-34547159346
Contributors: Galeano, P.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Outlier detection in multivariate time series by projection pursuit

Journal of the American Statistical Association
2006 | Journal article
DOI: 10.1198/016214505000001131
EID:

2-s2.0-33745652986
Contributors: Galeano, P.; Peña, D.; Tsay, R.S.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

A note on prediction and interpolation errors in time series

Statistics and Probability Letters
2005 | Journal article
DOI: 10.1016/j.spl.2005.03.014
EID:

2-s2.0-18144421143
Contributors: Galeano, P.; Peña, D.
Source: Self-asserted source
PEDRO GALEANO via Scopus - Elsevier

Peer review (16 reviews for 9 publications/grants)

Review activity for Heliyon. (5)
Review activity for International review of financial analysis. (1)
Review activity for Journal of agricultural, biological, and environmental statistics. (1)
Review activity for Journal of statistical theory and practice. (1)
Review activity for Machine learning. (1)
Review activity for Metrika. (1)
Review activity for Statistical methods & applications. (1)
Review activity for Statistical papers. (1)
Review activity for Test. (4)
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