
Darjus Hosszejni
Darjus Hosszejni MSc (WU), MSc- Telephone:
- +43 1 31336 6141
- Email:
- darjus.hosszejni@wu.ac.at
- 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.
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
- ORCID: 0000-0002-3803-691X
Awards and Honors
- 2015-2016
- Fellowship granted by the Republic
- 2013-2014
- Fellowship granted by the Republic
Classifications
- 1105 Computer software (Details)
- 1162 Statistics (Details)
- 5323 Econometrics (Details)
- 5701 Applied statistics (Details)
- 5707 Time series analysis (Details)
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.
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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.