• Article  

      Financial time series 

      Politis, Dimitris Nicolas (2009)
      The evolution of financial markets is a complicated real-world phenomenon that ranks at the top in terms of difficulty of modeling and/or prediction. One reason for this difficulty is the well-documented nonlinearity that ...
    • Article  

      Financial time series and volatility prediction using NoVaS transformations 

      Politis, Dimitris Nicolas; Thomakos, D. D. (2008)
      We extend earlier work on the NoVaS transformation approach introduced by Politis (2003a, 2003b). The proposed approach is model-free and especially relevant when making forecasts in the context of model uncertainty and ...
    • Article  

      Quality control for structural credit risk models 

      Andreou, Elena; Ghysels, Eric (2008)
      Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural ...