Search Results - person:"Vrontos, I. D."

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

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

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

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

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

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

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

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

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

A full-factor multivariate GARCH model

Vrontos, I.D.; Dellaportas, P.; Politis, D.N. - In: The econometrics journal 6 (2003) 2, pp. 312-334

Persistent link: https://www.econbiz.de/10007458521