EconPapers    
Economics at your fingertips  
 

Details about Ioannis Vrontos

E-mail:
Homepage:http://stat-athens.aueb.gr/~vrontos/
Workplace:Athens University of Economics and Business (AUEB), (more information at EDIRC)

Access statistics for papers by Ioannis Vrontos.

Last updated 2008-03-12. Update your information in the RePEc Author Service.

Short-id: pvr10


Jump to Journal Articles

Working Papers

2004

  1. A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)

Journal Articles

2008

  1. Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
    Computational Statistics & Data Analysis, 2008, 52, (3), 1549-1571 Downloads View citations (9)

2007

  1. Hedge fund portfolio construction: A comparison of static and dynamic approaches
    Journal of Banking & Finance, 2007, 31, (1), 199-217 Downloads View citations (22)
  2. Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
    Econometrics Journal, 2007, 10, (3), 503-520 Downloads View citations (9)

2003

  1. A full-factor multivariate GARCH model
    Econometrics Journal, 2003, 6, (2), 312-334 Downloads View citations (43)

2000

  1. Full Bayesian Inference for GARCH and EGARCH Models
    Journal of Business & Economic Statistics, 2000, 18, (2), 187-98 View citations (40)
 
Page updated 2017-07-27