Browsing by Author "Dellaportas, Petros"

Now showing items 1-6 of 6

    • Article  

      Application of three bivariate time-varying volatility models 

      Vrontos, Ioannis D.; Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2001)
      The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series ...
    • Article  

      An application of three bivariate time-varying volatility models 

      Vrontos, Ioannis D.; Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2001)
      The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series ...
    • Article  

      Bayesian analysis of the unobserved ARCH model 

      Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2005)
      The Unobserved ARCH model is a good description of the phenomenon of changing volatility that is commonly appeared in the financial time series. We study this model adopting Bayesian inference via Markov Chain Monte Carlo ...
    • Article  

      Full bayesian inference for GARCH and EGARCH models 

      Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas (2000)
      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. ...
    • Article  

      Inference for Some Multivariate ARCH and GARCH Models 

      Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas (2003)
      Multivariate time-varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have ...
    • Article  

      A markov chain monte carlo convergence diagnostic using subsampling 

      Giakoumatos, Stefanos G.; Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas (1999)
      A new diagnostic procedure for assessing convergence of a Markov chain Monte Carlo (MCMC) simulation is proposed. The method is based on the use of subsampling for the construction of confidence regions from asymptotically ...