Details about Ilias Chronopoulos

Access statistics for papers by Ilias Chronopoulos.

Last updated 2024-08-10. Update your information in the RePEc Author Service.

Short-id: pch2109

Working Papers

2023

1. Deep Neural Network Estimation in Panel Data Models
   Working Papers, Federal Reserve Bank of Cleveland
2. Forecasting Value-at-Risk using deep neural network quantile regression
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (5)
   See also Journal Article Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*, Journal of Financial Econometrics, Oxford University Press (2024) (2024)
3. High Dimensional Generalised Penalised Least Squares
   Papers, arXiv.org

2022

4. Choosing between persistent and stationary volatility
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

Journal Articles

2024

1. Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*
   Journal of Financial Econometrics, 2024, 22, (3), 636-669
   See also Working Paper Forecasting Value-at-Risk using deep neural network quantile regression, Essex Finance Centre Working Papers (2023) View citations (5) (2023)

2021

2. Kernel-based Volatility Generalised Least Squares
   Econometrics and Statistics, 2021, 20, (C), 2-11