Petros Dellaportas

Athens University of Economics and Business

76 Patission Street

Athens, 104 34

Greece

SCHOLARLY PAPERS

7

DOWNLOADS

196

CITATIONS

0

Scholarly Papers (7)

1.

Arbitrage-Free Prediction of the Implied Volatility Smile

Risk Magazine, Forthcoming
Number of pages: 18 Posted: 23 Jul 2014
Petros Dellaportas and Aleksandar Mijatovic
Athens University of Economics and Business and Imperial College London
Downloads 84 (200,716)

Abstract:

Prediction of option prices in FX, Risk-neutral measure, Implied Volatility, trading strategy for options

2.

Communication Impacting Financial Markets

Number of pages: 15 Posted: 25 Apr 2014 Last Revised: 17 May 2014
CES, Université Paris 1 Panthéon-Sorbonne, Athens University of Economics and Business, Athens University of Economics and Business and French National Center for Scientific Research (CNRS) - Centre for Political Research, Sciences Po
Downloads 36 (330,208)

Abstract:

asset pricing, behavioral finance, impact of communication

3.

European Sovereign Systemic Risk Zones

Number of pages: 87 Posted: 16 Mar 2016
Veni Arakelian, Petros Dellaportas, Roberto Savona and Marika Vezzoli
Panteion University of Athens - Department of Economic and Regional Development, Athens University of Economics and Business, University of Brescia and University of Brescia
Downloads 0 (421,093)

Abstract:

Credit default swaps, systemic risk, contagion, copula, regression trees

4.

Modelling Volatility Asymmetries: A Bayesian Analysis of a Class of Tree Structured Multivariate Garch Models

Econometrics Journal, Vol. 10, pp. 503-520
Posted: 15 May 2005 Last Revised: 21 Feb 2008
Petros Dellaportas and Ioannis D. Vrontos
Athens University of Economics and Business and Athens University of Economics and Business

Abstract:

Autoregressive conditional heteroscedasticity, Bayesian inference, Markov chain Monte Carlo, stochastic search, Tree structured models

5.

Inference for Some Multivariate ARCH and GARCH Models

Journal of Forecasting, Vol. 22, pp. 427-446, 2003
Posted: 26 Oct 2004
Ioannis D. Vrontos, Petros Dellaportas and Dimitris N. Politis
Athens University of Economics and Business, Athens University of Economics and Business and University of California, San Diego (UCSD) - Department of Mathematics

Abstract:

Autoregressive conditional heteroscedasticity, Markov chain Monte Carlo, Maximum likelihood, Model comparison, Predictive distribution

6.

Full Bayesian Inference for GARCH and EGARCH Models

Journal of Business and Economics Statistics, Vol. 18, No. 2, pp. 187-198, 2000
Posted: 26 Oct 2004
Ioannis D. Vrontos, Petros Dellaportas and Dimitris N. Politis
Athens University of Economics and Business, Athens University of Economics and Business and University of California, San Diego (UCSD) - Department of Mathematics

Abstract:

Markov-chain Monte Carlo, model averaging, reversible jump, volatility prediction

7.

A full-factor Multivariate GARCH model

Econometrics Journal, Vol. 6, pp. 312-334, 2003
Posted: 21 Oct 2004
Ioannis D. Vrontos, Petros Dellaportas and Dimitris N. Politis
Athens University of Economics and Business, Athens University of Economics and Business and University of California, San Diego (UCSD) - Department of Mathematics

Abstract:

Autoregressive conditional heteroscedasticity, Bayesian model averaging, Markov chain Monte Carlo model composition, Maximum likelihood estimation