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Ioannis Vrontos

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This is information that was supplied by Ioannis Vrontos in registering through RePEc. If you are Ioannis Vrontos , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Ioannis
Middle Name:
Last Name: Vrontos
Suffix:

RePEc Short-ID: pvr10

Email:
Homepage: http://stat-athens.aueb.gr/~vrontos/
Postal Address:
Phone:

Affiliation

Athens University of Economics and Business (AUEB)
Location: Athens, Greece
Homepage: http://www.aueb.gr/
Email:
Phone: +30 1 8203250
Fax: +301 8228419
Postal: 76, Patission Street, Athens 104 34
Handle: RePEc:edi:auebugr (more details at EDIRC)

Works

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Working papers

  1. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary, University of London, School of Economics and Finance.

Articles

  1. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
  2. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
  3. P. Dellaportas & I. D. Vrontos, 2007. "Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 503-520, November.
  4. I. D. Vrontos & P. Dellaportas & D. N. Politis, 2003. "A full-factor multivariate GARCH model," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 312-334, December.
  5. Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-98, April.

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2004-08-09. Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2004-08-02. Author is listed

Statistics

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