Loukia Meligkotsidou

National and Kapodistrian University of Athens

5 Stadiou Strt

Athens, 12131

Greece

  • National and Kapodistrian University of Athens

SCHOLARLY PAPERS

11

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10

CROSSREF CITATIONS

9

Scholarly Papers (11)

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1.

Quantile Regression Analysis of Hedge Fund Strategies

Number of pages: 37 Posted: 15 Feb 2008
Loukia Meligkotsidou, Ioannis D. Vrontos and Spyridon D. Vrontos
National and Kapodistrian University of Athens, Athens University of Economics and Business and University of Piraeus - Department of Statistics and Insurance Science
Downloads 857 (55,075)
Citation 8

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Conditional quantiles, Model selection techniques, Model uncertainty, Hedge funds, Bayesian model avereging, Risk factors, Style portfolio construction

2.

Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment

Number of pages: 38 Posted: 14 Oct 2009
Spyridon D. Vrontos, Ioannis D. Vrontos and Loukia Meligkotsidou
University of Piraeus - Department of Statistics and Insurance Science, Athens University of Economics and Business and National and Kapodistrian University of Athens
Downloads 437 (128,778)

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Asset-liability management, Latent factor models, Multivariate GARCH models, Portfolio optimization

3.

Performance Evaluation of Mutual Fund Investments: The Impact of Non-Normality and Time-Varying Volatility

Number of pages: 28 Posted: 09 Mar 2008
Ioannis D. Vrontos, Loukia Meligkotsidou and Spyridon D. Vrontos
Athens University of Economics and Business, National and Kapodistrian University of Athens and University of Piraeus - Department of Statistics and Insurance Science
Downloads 355 (162,923)

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Fat tails, GARCH, Model selection techniques, Mutual funds, Risk factors, Portfolio construction

4.

Detecting Structural Breaks in Multivariate Financial Time Series: Evidence from Hedge Fund Investment Strategies

Number of pages: 30 Posted: 01 Jun 2008
Loukia Meligkotsidou and Ioannis D. Vrontos
National and Kapodistrian University of Athens and Athens University of Economics and Business
Downloads 345 (168,012)
Citation 3

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Bayesian inference; Forward-backward algorithm; Hedge Funds; Market events; Multivariate models; Risk factors; Structural breaks

5.

A Quantile Regression Approach to Equity Premium Prediction

Number of pages: 39 Posted: 18 May 2012 Last Revised: 27 Feb 2014
Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D. Vrontos and Spyridon D. Vrontos
National and Kapodistrian University of Athens, Essex Business School, Athens University of Economics and Business and University of Piraeus - Department of Statistics and Insurance Science
Downloads 302 (193,626)
Citation 3

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Conditional Quantiles, Equity Premium, Forecast Combination, Prediction, Time varying weights

6.

Quantile Forecast Combinations in Realised Volatility Prediction

Number of pages: 43 Posted: 14 Oct 2015
Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D. Vrontos and Spyridon D. Vrontos
National and Kapodistrian University of Athens, Essex Business School, Athens University of Economics and Business and University of Piraeus - Department of Statistics and Insurance Science
Downloads 182 (315,405)
Citation 6

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Forecasting, Realised volatility, Forecast combination, Predictive quantile regression, Subset quantile regressions

7.

On Bayesian Analysis and Unit Root Testing for Autoregressive Models in the Presence of Multiple Structural Breaks

Number of pages: 34 Posted: 27 Feb 2007 Last Revised: 29 Jan 2016
Loukia Meligkotsidou, Elias Tzavalis and Ioannis D. Vrontos
National and Kapodistrian University of Athens, University of London - Queen Mary - Department of Economics and Athens University of Economics and Business
Downloads 174 (328,333)
Citation 1

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Autoregressive models, Bayesian inference, Forward-backward algorithm, Model comparison, Non-linear representation, Structural breaks, Unit root testing

8.

Out-of-Sample Equity Premium Prediction: A Complete Subset Quantile Regression Approach

Number of pages: 47 Posted: 04 Oct 2013
Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D. Vrontos and Spyridon D. Vrontos
National and Kapodistrian University of Athens, Essex Business School, Athens University of Economics and Business and University of Piraeus - Department of Statistics and Insurance Science
Downloads 162 (349,327)
Citation 4

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Equity premium, Forecast combination, Predictive quantile regression, Robust point forecasts, Subset quantile regressions

9.

A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models of Economic Series

Queen Mary, University of London Economics Working Paper No. 514
Number of pages: 43 Posted: 26 Jul 2004
Loukia Meligkotsidou, Elias Tzavalis and Ioannis D. Vrontos
National and Kapodistrian University of Athens, University of London - Queen Mary - Department of Economics and Athens University of Economics and Business
Downloads 144 (384,741)
Citation 1

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Bayesian inference, model comparison, autoregressive models, unit roots, structural breaks

10.

A Bayesian Analysis of Unit Roots in Panel Data Models with Cross-Sectional Dependence

Number of pages: 14 Posted: 29 Jan 2009
Loukia Meligkotsidou, Elias Tzavalis and Ioannis D. Vrontos
National and Kapodistrian University of Athens, University of London - Queen Mary - Department of Economics and Athens University of Economics and Business
Downloads 118 (448,531)
Citation 2

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Autoregressive models, Bayesian inference, Cross-sectional dependence, Model comparison, Panel data, Unit root testing

11.

Detecting Structural Breaks and Identifying Risk Factors in Hedge Fund Returns: A Bayesian Approach

Journal of Banking and Finance, forthcoming
Posted: 27 Feb 2007 Last Revised: 01 Jun 2008
Loukia Meligkotsidou and Ioannis D. Vrontos
National and Kapodistrian University of Athens and Athens University of Economics and Business

Abstract:

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Bayesian inference, Forward-backward algorithm, Hedge Funds, Market events, Risk factors, Structural breaks