Browsing by Author "Giakoumatos, Stefanos G."

Now showing items 1-4 of 4

    • 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  

      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 ...