portrait photo

Darjus Hosszejni

Darjus Hosszejni MSc (WU), MSc
Telephone:
+43 1 31336 6141
Email:
About me:
I do research on Bayesian statistical modeling of time series data, but mainly on the computational aspects using Markov chain Monte Carlo methods. I am working on my first topic, extending [Gregor Kastner](https://bach.wu.ac.at/d/research/ma/10813/)'s [`stochvol`](https://cran.r-project.org/package=stochvol) package with a stochastic volatility model that captures the leverage effect. More broadly but still professionally, I am interested in high performance computing, software development, functional programming. My hobbies include running, swimming, languages, and I play the drums when I have the time.
Contact information and photo taken from and editable at WU Directory.

Affiliation

CV

since 2017
PhD Economics and Social Sciences (WU Vienna)
2015-2017
MSc Quantitative Finance (WU Vienna)
2014-2019
MSc Computer Science (ELTE, Hungary)
2011-2014
BSc Computer Science (ELTE, Hungary)
2010-2014
BSc Mathematics (ELTE, Hungary)

Researcher Identifier

Awards and Honors

2015-2016
Fellowship granted by the Republic
2013-2014
Fellowship granted by the Republic

Classifications

Expertise

  • Bayesian statistics
  • Markov chain Monte Carlo methods
  • Stochastic volatility

Activities

Attendance scientific meeting (Conference etc.)
  2018 LMS/CRiSM Workshop - Poster: Efficient Estimation of the Stochastic Volatility Model with Leverage (+ Gregor Kastner)
  2018 ISBA World Meeting - Poster: Efficient Estimation of the Stochastic Volatility Model with Leverage (+ Gregor Kastner)
  2018 CFE 2018 - Talk: Efficient Bayesian estimation of the stochastic volatility model with leverage (+ Gregor Kastner)
  2018 BAYSM - Talk: Efficient Estimation of the Stochastic Volatility Model with Leverage (+ Gregor Kastner)
  2018 BayesComp - Poster: Efficient Estimation of the Stochastic Volatility Model with Leverage (+ Gregor Kastner)

Publications

Chapter in edited volume

2019 Hosszejni, Darjus, Kastner, Gregor. 2019. Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage. In: Bayesian Statistics and New Generations - Selected Contributions from BAYSM 2018, Hrsg. Raffaele Argiento, Daniele Durante, Sara Wade, 75-83. Cham: Springer. open access (Details)

Magazine/newspaper article

2019 Hosszejni, Darjus, Kastner, Gregor. 2019. stochvol 2.0.0 - Stochastic volatility models with leverage in R. The ISBA Bulletin - The official bulletin of the International Society for Bayesian Analysis, 26.03.19 (Details)

Projects

  • No projects found.