Details about Ioannis Vrontos
Access statistics for papers by Ioannis Vrontos.
Last updated 2008-03-12. Update your information in the RePEc Author Service.
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- 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 View citations (4)
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
Computational Statistics & Data Analysis, 2008, 52, (3), 1549-1571 View citations (11)
- Hedge fund portfolio construction: A comparison of static and dynamic approaches
Journal of Banking & Finance, 2007, 31, (1), 199-217 View citations (28)
- Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
Econometrics Journal, 2007, 10, (3), 503-520 View citations (10)
- A full-factor multivariate GARCH model
Econometrics Journal, 2003, 6, (2), 312-334 View citations (52)
- Full Bayesian Inference for GARCH and EGARCH Models
Journal of Business & Economic Statistics, 2000, 18, (2), 187-98 View citations (53)
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