Browsing by Author "Vrontos, Ioannis D."
Now showing items 1-5 of 5
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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 ...
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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 ...
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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. ...
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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 ...
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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 ...