.
Vrontos, Ioannis D.'s
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 2,581
Total Citations 34
1.
Meligkotsidou, Loukia University of Athens
Vrontos, Ioannis D. Athens University of Economics and Business
Vrontos, Spyridon D. Dep. of Statistics and Insurance Science, University of Piraeus
571(21,317)
6
Conditional quantiles, Model selection techniques, Model uncertainty, Hedge funds, Bayesian model avereging, Risk factors, Style portfolio construction
2.
Giannikis, Dimitrios S. Athens University of Economics and Business
Vrontos, Ioannis D. Athens University of Economics and Business
379(36,362)
3
Hedge Funds, GARCH, MCMC methods, Model uncertainty, Risk factors, Style portfolio construction
3.
Diamantopoulos, Konstantinos Quantos S.A.
Vrontos, Ioannis D. Athens University of Economics and Business
310(46,297)
20
Autoregressive conditional heteroscedasticity, Fat tails, Maximum likelihood estimation, Student-t distiribution
4.
Meligkotsidou, Loukia University of Athens
Vrontos, Ioannis D. Athens University of Economics and Business
239(62,036)
Bayesian inference; Forward-backward algorithm; Hedge Funds; Market events; Multivariate models; Risk factors; Structural breaks
5.
Vrontos, Ioannis D. Athens University of Economics and Business
Meligkotsidou, Loukia University of Athens
Vrontos, Spyridon D. Dep. of Statistics and Insurance Science, University of Piraeus
233(63,763)
Fat tails, GARCH, Model selection techniques, Mutual funds, Risk factors, Portfolio construction
6.
Vrontos, Spyridon D. Dep. of Statistics and Insurance Science, University of Piraeus
Vrontos, Ioannis D. Athens University of Economics and Business
Meligkotsidou, Loukia University of Athens
206(72,487)
Asset-liability management, Latent factor models, Multivariate GARCH models, Portfolio optimization
7.
Vrontos, Ioannis D. Athens University of Economics and Business
Giamouridis, Daniel Athens University of Economics and Business
155(94,976)
1
Predictability, model uncertainty, Bayesian model search, dynamic covariances/correlations, multivariate GARCH
8.
Meligkotsidou, Loukia University of Athens
Panopoulou, Ekaterini University of Piraeus - Department of Statistics and Insurance Science
Vrontos, Ioannis D. Athens University of Economics and Business
Vrontos, Spyridon D. Dep. of Statistics and Insurance Science, University of Piraeus
144(101,366)
Conditional Quantiles, Equity Premium, Forecast Combination, Prediction, Time varying weights
9.
Meligkotsidou, Loukia University of Athens
Tzavalis, Elias University of London - Queen Mary - Department of Economics
Vrontos, Ioannis D. Athens University of Economics and Business
101(134,095)
2
Autoregressive models, Bayesian inference, Forward-backward algorithm, Model comparison, Non-linear representation, Structural breaks, Unit root testing
10.
Meligkotsidou, Loukia University of Athens
Tzavalis, Elias University of London - Queen Mary - Department of Economics
Vrontos, Ioannis D. Athens University of Economics and Business
95(139,787)
1
Bayesian inference, model comparison, autoregressive models, unit roots, structural breaks
11.
Vrontos, Ioannis D. Athens University of Economics and Business
87(148,195)
1
Fat tails, Hedge funds, Model uncertainty, Multivariate GARCH model, Predictability, Student-t distiribution
12.
Meligkotsidou, Loukia University of Athens
Tzavalis, Elias University of London - Queen Mary - Department of Economics
Vrontos, Ioannis D. Athens University of Economics and Business
61(182,015)
Autoregressive models, Bayesian inference, Cross-sectional dependence, Model comparison, Panel data, Unit root testing
13.
Meligkotsidou, Loukia University of Athens
Vrontos, Ioannis D. Athens University of Economics and Business
Posted:
27 Feb 07
Last Revised:
01 Jun 08
Bayesian inference, Forward-backward algorithm, Hedge Funds, Market events, Risk factors, Structural breaks
14.
Vrontos, Spyridon D. Dep. of Statistics and Insurance Science, University of Piraeus
Vrontos, Ioannis D. Athens University of Economics and Business
Giamouridis, Daniel Athens University of Economics and Business
Posted:
10 Oct 06
Last Revised:
17 Jul 08
Model uncertainty, Hedge funds, GARCH, Bayesian model avereging, MCMC
15.
Giamouridis, Daniel Athens University of Economics and Business
Vrontos, Ioannis D. Athens University of Economics and Business
Posted:
07 Feb 06
Last Revised:
24 Mar 08
Hedge fund portfolios, dynamic covariances/correlations, multivariate GARCH, regime switching, CVaR
16.
Dellaportas, Petros Athens University of Economics and Business
Vrontos, Ioannis D. Athens University of Economics and Business
Posted:
15 May 05
Last Revised:
21 Feb 08
Autoregressive conditional heteroscedasticity, Bayesian inference, Markov chain Monte Carlo, stochastic search, Tree structured models
17.
Vrontos, Ioannis D. Athens University of Economics and Business
Dellaportas, Petros Athens University of Economics and Business
Politis, Dimitris N. University of California, San Diego (UCSD) - Department of Mathematics
Autoregressive conditional heteroscedasticity, Markov chain Monte Carlo, Maximum likelihood, Model comparison, Predictive distribution
18.
Vrontos, Ioannis D. Athens University of Economics and Business
Dellaportas, Petros Athens University of Economics and Business
Politis, Dimitris N. University of California, San Diego (UCSD) - Department of Mathematics
Markov-chain Monte Carlo, model averaging, reversible jump, volatility prediction
19.
Vrontos, Ioannis D. Athens University of Economics and Business
Dellaportas, Petros Athens University of Economics and Business
Politis, Dimitris N. University of California, San Diego (UCSD) - Department of Mathematics
Autoregressive conditional heteroscedasticity, Bayesian model averaging, Markov chain Monte Carlo model composition, Maximum likelihood estimation
