Spyridon D. Vrontos

University of Piraeus - Department of Statistics and Insurance Science

Lecturer

80 Karaoli & Dimitriou str.

Piraeus, 18534

Greece

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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Top 42,768

in Total Papers Citations

14

CROSSREF CITATIONS

3

Scholarly Papers (10)

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 732 (43,788)
Citation 8

Abstract:

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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 327 (116,706)

Abstract:

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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 322 (118,674)

Abstract:

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

4.

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 271 (142,283)
Citation 3

Abstract:

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

5.

Hedge Fund Return Predictability; to Combine Forecasts or Combine Information?

Number of pages: 37 Posted: 08 Apr 2014
Ekaterini Panopoulou and Spyridon D. Vrontos
Essex Business School and University of Piraeus - Department of Statistics and Insurance Science
Downloads 145 (251,091)
Citation 2

Abstract:

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Forecast Combination, Combining Information, Prediction; Hedge Funds, Portfolio Construction

6.

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 140 (258,188)
Citation 4

Abstract:

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

7.

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 124 (283,216)

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

8.

Optimal Bonus-Malus Systems Using Generalized Additive Models for Location, Scale and Shape

Number of pages: 17 Posted: 01 Jun 2015
George Tzougas, Spyridon D. Vrontos and Nikolaos Fragos
Department of Statistics, London School of Economics and Political Science, UK, University of Piraeus - Department of Statistics and Insurance Science and Athens University of Economics and Business - Department of Statistics
Downloads 85 (364,215)
Citation 1

Abstract:

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Optimal BMS; Claim frequency; Claim severity; Generalized Additive Models

9.

Design of Optimal Bonus-Malus Systems with a Frequency and a Severity Component Using Finite Mixture Models

Posted: 09 Dec 2012
George Tzougas, Spyridon D. Vrontos and Nikolaos Fragos
Department of Statistics, London School of Economics and Political Science, UK, University of Piraeus - Department of Statistics and Insurance Science and Athens University of Economics and Business - Department of Statistics

Abstract:

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Optimal BMS, Claim frequency, Claim severity, Mixtures of Distributions

10.

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:

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