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

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Journal Articles

2008

Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
Computational Statistics & Data Analysis, 2008, 52, (3), 1549-1571 View citations (11)

2007

Hedge fund portfolio construction: A comparison of static and dynamic approaches
Journal of Banking & Finance, 2007, 31, (1), 199-217 View citations (35)
Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
Econometrics Journal, 2007, 10, (3), 503-520 View citations (13)

2003

A full-factor multivariate GARCH model
Econometrics Journal, 2003, 6, (2), 312-334 View citations (78)

2000

Full Bayesian Inference for GARCH and EGARCH Models
Journal of Business & Economic Statistics, 2000, 18, (2), 187-98 View citations (62)

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