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Full Bayesian inference for GARCH and EGARCH models
Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 187-198
Persistent link: https://www.econbiz.de/10001469681
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Inference for Some Multivariate Arch and GARCH Models
Vrontos, Ioannis D.; Dellaportas, Petros; Politis, … - 2004
Multivariate time varying volatility models have attracted a lot of attention in modern finance theory. We provide an …
Persistent link: https://www.econbiz.de/10014068928
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Full Bayesian Inference for GARCH and Egarch Models
Vrontos, Ioannis D.; Dellaportas, Petros; Politis, … - 2004
A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide implementation details and illustrations using the General...
Persistent link: https://www.econbiz.de/10014068929
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The impact of Euro on Athens stock market index
Kiohos, Apostolos; Koulakiotis, Athanasios; Maligkris, … - In: Zagreb international review of economics & business 14 (2011) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10009634055
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Robustness and local linearisation in economic models
George, Donald A. R.; Oxley, Les - In: Surveys in economic dynamics, (pp. 25-46). 2000
Persistent link: https://www.econbiz.de/10001640422
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Robustness and local linearisation in economic models
George, Donald A. R.; Oxley, Les - In: Journal of economic surveys 13 (1999) 5, pp. 529-550
Persistent link: https://www.econbiz.de/10001440323
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Asset allocation in the Athens stock exchange : a variance sensitivity analysis
Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International journal of finance & economics : IJFE 17 (2012) 2, pp. 167-181
Persistent link: https://www.econbiz.de/10009615696
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Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
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Price discovery under crisis : uncovering the determinant factors of prices using efficient Bayesian model selection methods
Petralias, Athanassios; Prodromídis, Pródromos-Ioánnis - In: Empirical economics : a journal of the Institute for … 49 (2015) 3, pp. 859-879
Persistent link: https://www.econbiz.de/10011377311
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Combining stochastic DEA with Bayesian analysis to obtain statistical properties of the efficiency scores : an application to Greek public hospitals
Mitropoulos, Panagiotis; Talias, Μichael A.; … - In: European journal of operational research : EJOR 243 (2015) 1, pp. 302-311
Persistent link: https://www.econbiz.de/10010492956