Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Author "Thomakos, D. D."

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    • 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 ...
    • Book Chapter  

      Novas transformations: Flexible inference for volatility forecasting 

      Politis, Dimitris Nicolas; Thomakos, D. D.; Thomakos, D. D. (Springer New York, 2013)
      In this chapter we present several new findings on the NoVaS transformationapproach for volatility forecasting introduced by Politis (Model-Free VolatilityPrediction, UCSD Department of Economics Discussion Paper 2003–16