Ioannis D. Vrontos

Athens University of Economics and Business

76 Patission Street

Athens, 104 34

Greece

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 13,237

SSRN RANKINGS

Top 13,237

in Total Papers Downloads

3,687

SSRN CITATIONS
Rank 28,116

SSRN RANKINGS

Top 28,116

in Total Papers Citations

12

CROSSREF CITATIONS

12

Scholarly Papers (22)

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 721 (35,155)
Citation 6

Abstract:

Loading...

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

2.

A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies

Number of pages: 27 Posted: 27 May 2008
Dimitrios S. Giannikis and Ioannis D. Vrontos
Athens University of Economics and Business and Athens University of Economics and Business
Downloads 426 (69,058)

Abstract:

Loading...

Hedge Funds, GARCH, MCMC methods, Model uncertainty, Risk factors, Style portfolio construction

3.

A Student-T Full Factor Multivariate GARCH Model

Number of pages: 20 Posted: 29 Apr 2008
Konstantinos Diamantopoulos and Ioannis D. Vrontos
Quantos S.A. and Athens University of Economics and Business
Downloads 364 (83,094)
Citation 5

Abstract:

Loading...

Autoregressive conditional heteroscedasticity, Fat tails, Maximum likelihood estimation, Student-t distiribution

4.

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 318 (96,766)

Abstract:

Loading...

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

5.

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 314 (98,187)

Abstract:

Loading...

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

6.

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 301 (102,689)
Citation 3

Abstract:

Loading...

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

7.

A Quantile Regression Approach to Equity Premium Prediction

Number of pages: 39 Posted: 18 May 2012 Last Revised: 27 Feb 2014
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 263 (118,586)
Citation 1

Abstract:

Loading...

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

8.

Hedge Fund Return Predictability in the Presence of Model Uncertainty and Implications for Wealth Allocation

Number of pages: 31 Posted: 26 Sep 2008
Ioannis D. Vrontos and Daniel Giamouridis
Athens University of Economics and Business and Bank of America - Bank of America Merrill Lynch
Downloads 197 (157,474)
Citation 3

Abstract:

Loading...

Predictability, model uncertainty, Bayesian model search, dynamic covariances/correlations, multivariate GARCH

9.

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 156 (193,352)
Citation 1

Abstract:

Loading...

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

10.

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

Number of pages: 47 Posted: 04 Oct 2013
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 138 (213,788)
Citation 3

Abstract:

Loading...

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

11.

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 119 (239,649)
Citation 1

Abstract:

Loading...

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

12.

Quantile Forecast Combinations in Realised Volatility Prediction

Number of pages: 43 Posted: 14 Oct 2015
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 118 (241,191)

Abstract:

Loading...

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

13.

Evidence for Hedge Fund Predictability from a Multivariate Student-T Full-Factor GARCH Model

Number of pages: 38 Posted: 18 Jan 2010
Ioannis D. Vrontos
Athens University of Economics and Business
Downloads 112 (250,392)
Citation 1

Abstract:

Loading...

Fat tails, Hedge funds, Model uncertainty, Multivariate GARCH model, Predictability, Student-t distiribution

14.

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 85 (300,593)
Citation 2

Abstract:

Loading...

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

15.

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 55 (380,215)
Citation 1

Abstract:

Loading...

asset pricing, behavioral finance, impact of communication

16.

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:

Loading...

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

17.

Hedge Fund Pricing and Model Uncertainty

Journal of Banking and Finance, Vol. 32, No. 5, pp. 741-753, May 2008
Posted: 10 Oct 2006 Last Revised: 17 Jul 2008
Spyridon D. Vrontos, Ioannis D. Vrontos and Daniel Giamouridis
University of Piraeus - Department of Statistics and Insurance Science, Athens University of Economics and Business and Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

Model uncertainty, Hedge funds, GARCH, Bayesian model avereging, MCMC

18.

Hedge Fund Portfolio Construction: A Comparison of Static and Dynamic Approaches

Journal of Banking and Finance, Vol. 31, No. 1, pp. 199-217, January 2007
Posted: 07 Feb 2006 Last Revised: 24 Mar 2008
Daniel Giamouridis and Ioannis D. Vrontos
Bank of America - Bank of America Merrill Lynch and Athens University of Economics and Business

Abstract:

Loading...

Hedge fund portfolios, dynamic covariances/correlations, multivariate GARCH, regime switching, CVaR

19.

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:

Loading...

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

20.

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:

Loading...

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

21.

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:

Loading...

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

22.

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:

Loading...

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