EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: person:"Vrontos, I. D."
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 5 ARCH-Modell 5 Bayes-Statistik 4 Bayesian inference 4 Theorie 3 Theory 3 Aktienindex 2 Greece 2 Griechenland 2 Stock index 2 1986-1996 1 Estimation theory 1 Financial market 1 Finanzmarkt 1 Markov chain 1 Markov-Kette 1 Multivariate Analyse 1 Multivariate analysis 1 Schätztheorie 1 Volatility 1 Volatilität 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 14
Type of publication (narrower categories)
All
Article in journal 5 Aufsatz in Zeitschrift 5
Language
All
Undetermined 9 English 5
Author
All
Dellaportas, P. 10 Vrontos, I. D. 8 Vrontos, I.D. 5 Politis, D.N. 3 Politis, Dimitris N. 3 Diamantopoulos, K. 2 Dellaportas, P 1 Dellaportas, Petros 1 Giannikis, D. 1 Politis, D N 1 Politis, D. N. 1 Vrontos, I D 1
more ... less ...
Published in...
All
The econometrics journal 4 Computational economics 2 Econometrics Journal 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Journal of forecasting 2 Computational Statistics & Data Analysis 1 Journal of Business & Economic Statistics 1
more ... less ...
Source
All
ECONIS (ZBW) 5 OLC EcoSci 5 RePEc 4
Showing 1 - 10 of 14
Cover Image
A student-t full factor multivariate GARCH model
Diamantopoulos, K.; Vrontos, I. D. - In: Computational economics 35 (2010) 1, pp. 63-83
Persistent link: https://www.econbiz.de/10003934139
Saved in:
Cover Image
Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications
Diamantopoulos, K.; Vrontos, I. D. - In: Computational economics 35 (2009) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008343012
Saved in:
Cover Image
Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
Giannikis, D.; Vrontos, I.D.; Dellaportas, P. - In: Computational Statistics & Data Analysis 52 (2008) 3, pp. 1549-1571
Persistent link: https://www.econbiz.de/10005165558
Saved in:
Cover Image
Modelling volatility asymmetries : a Bayesian analysis of a class of tree structured multivariate GARCH models
Dellaportas, P.; Vrontos, I. D. - In: The econometrics journal 10 (2007) 3, pp. 503-520
Persistent link: https://www.econbiz.de/10003637597
Saved in:
Cover Image
Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
Dellaportas, P.; Vrontos, I. D. - In: Econometrics Journal 10 (2007) 3, pp. 503-520
A new class of multivariate threshold GARCH models is proposed for the analysis and modelling of volatility asymmetries in financial time series. The approach is based on the idea of a binary tree where every terminal node parametrizes a (local) multivariate GARCH model for a specific partition...
Persistent link: https://www.econbiz.de/10005405437
Saved in:
Cover Image
Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
Dellaportas, P.; Vrontos, I.D. - In: The econometrics journal 10 (2007) 3, pp. 503-520
Persistent link: https://www.econbiz.de/10007871620
Saved in:
Cover Image
A full-factor multivariate GARCH model
Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: The econometrics journal 6 (2003) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10001831255
Saved in:
Cover Image
Inference for some multivariate ARCH and GARCH models
Vrontos, I. D.; Dellaportas, Petros; Politis, Dimitris N. - In: Journal of forecasting 22 (2003) 6/7, pp. 427-446
Persistent link: https://www.econbiz.de/10001836432
Saved in:
Cover Image
A full-factor multivariate GARCH model
Vrontos, I. D.; Dellaportas, P.; Politis, D. N. - In: Econometrics Journal 6 (2003) 2, pp. 312-334
A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used...
Persistent link: https://www.econbiz.de/10005405441
Saved in:
Cover Image
Inference for some multivariate ARCH and GARCH models
Vrontos, I.D.; Dellaportas, P.; Politis, D.N. - In: Journal of forecasting 22 (2003) 6, pp. 427-446
Persistent link: https://www.econbiz.de/10006885099
Saved in:
  • 1
  • 2
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...