Ioannis D. Vrontos

发表

Quantile forecast combinations in realised volatility prediction

Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D. Vrontos, 2019, J. Oper. Res. Soc..

Ioannis D. Vrontos, Petros Dellaportas, Dimitris N. Politis, 2003 .

A Bayesian Analysis of Unit Roots in Panel Data Models with Cross-Sectional Dependence

Loukia Meligkotsidou, Ioannis D. Vrontos, Elias Tzavalis, 2009 .

A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models of Economic Series

Loukia Meligkotsidou, Ioannis D. Vrontos, Elias Tzavalis, 2004 .

A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence

Loukia Meligkotsidou, Ioannis D. Vrontos, Elias Tzavalis, 2014, Stat. Comput..

Hedge fund portfolio construction: A comparison of static and dynamic approaches

Ioannis D. Vrontos, Daniel Giamouridis, I. Vrontos, 2007 .

Modeling Volatility Asymmetries: A Bayesian Analysis of a Class of Tree Structured Multivariate GARCH Models

Petros Dellaportas, Ioannis D. Vrontos, P. Dellaportas, 2007 .

Evidence for hedge fund predictability from a multivariate Student's t full-factor GARCH model

Ioannis D. Vrontos, 2012 .

Evidence for Hedge Fund Predictability from a Multivariate Student-T Full-Factor GARCH Model

Ioannis D. Vrontos, 2009 .

Hedge Fund Return Predictability in the Presence of Model Uncertainty and Implications for Wealth Allocation

Ioannis D. Vrontos, I. Vrontos, Daniel Giamouridis, 2008 .

Quantile Regression Analysis of Hedge Fund Strategies

Ioannis D. Vrontos, Spyridon D. Vrontos, Loukia Meligkotsidou, 2007 .

Full Bayesian Inference for GARCH and EGARCH Models

Ioannis D. Vrontos, D. Politis, P. Dellaportas, 2000 .

Style Rotation Revisited

Ioannis D. Vrontos, Spyridon D. Vrontos, Ioannis Vrontos, 2021 .

A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies

Ioannis D. Vrontos, I. Vrontos, D. Giannikis, 2008 .

A Quantile Regression Approach to Equity Premium Prediction

Ioannis D. Vrontos, Spyridon D. Vrontos, Loukia Meligkotsidou, 2012 .

On tree-structured linear and quantile regression-based asset pricing

Ioannis D. Vrontos, I. Vrontos, Panos Xidonas, 2022, Review of Accounting and Finance.

A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence

Ioannis D. Vrontos, Loukia Meligkotsidou, I. Vrontos, 2012, Statistics and Computing.

Modeling and predicting U.S. recessions using machine learning techniques

Ioannis D. Vrontos, Spyridon D. Vrontos, John Galakis, 2020 .

Implied volatility directional forecasting: a machine learning approach

Ioannis D. Vrontos, Spyridon D. Vrontos, I. Vrontos, 2021, Quantitative Finance.

Hedge Fund Pricing and Model Uncertainty

Ioannis D. Vrontos, Spyridon D. Vrontos, Daniel Giamouridis, 2008 .

Quantile forecast combinations in realised volatility prediction

Loukia Meligkotsidou, Ioannis D. Vrontos, Spyridon D. Vrontos, 2015, J. Oper. Res. Soc..

Out-of-sample equity premium prediction: a complete subset quantile regression approach

Ioannis D. Vrontos, Spyridon D. Vrontos, Loukia Meligkotsidou, 2013, The European Journal of Finance.

Forecasting GDP growth: The economic impact of COVID‐19 pandemic

Ioannis D. Vrontos, Spyridon D. Vrontos, J. Galakis, 2024, Journal of Forecasting.

Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility

Ioannis D. Vrontos, Spyridon D. Vrontos, Loukia Meligkotsidou, 2008 .

Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach.

Ioannis D. Vrontos, Loukia Meligkotsidou, I. Vrontos, 2008 .

Bayesian analysis of predictive Non-Homogeneous hidden Markov models using Polya-Gamma data augmentation

Ioannis D. Vrontos, Loukia Meligkotsidou, I. Vrontos, 2018, 1802.02825.

Forecasting under model uncertainty: Non‐homogeneous hidden Markov models with Pòlya‐Gamma data augmentation

Loukia Meligkotsidou, Ioannis D. Vrontos, Constandina Koki, 2018 .