Ioannis D. Vrontos

Publications

Teaching
(in greek)

Published Papers

1. Vrontos I.D. (2011). Evidence for Hedge Fund Predictability from a Multivariate Student t Full Factor GARCH model, forthcoming.

2. Vrontos I.D., Meligkotsidou L. and Vrontos S.D. (2011). Performance Evaluation of Mutual Fund Investments: The impact of Non-Normality and Time-Varying Volatility, Journal of Asset Management, 12, 292-307.

3. Giannikis, D., and Vrontos I.D. (2011). A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies. Journal of Banking and Finance, 35, 1399-1414.

4. Meligkotsidou L., Tzavalis E. and Vrontos I.D. (2011). A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, the Trend and the Error Variance of Autoregressive Models of Economic Series, Econometric Reviews, 30, 2, 208-249.

5. Diamantopoulos K. and Vrontos I.D. (2010). A Student-t Full Factor Multivariate GARCH model. Computational Economics, 35, 63-83.

6. Meligkotsidou L., Vrontos I.D. and Vrontos S.D. (2009). Quantile Regression Analysis of Hedge Fund Strategies. Journal of Empirical Finance, 16, 264-279.

7. Meligkotsidou L. and Vrontos I.D. (2008). Detecting Structural Breaks and Identifying Risk factors in Hedge Fund returns: A Bayesian approach. Journal of Banking and Finance, 32, 2471-2481.

8. Giannikis D., Vrontos I.D. and Dellaportas P. (2008). Modelling nonlinearities and heavy tails via threshold Normal mixture GARCH models, Computational Statistics and Data Analysis, 52, 1549-1571.

9. Vrontos S.D., Vrontos I.D. and Giamouridis D. (2008). Hedge fund pricing and model uncertainty, Journal of Banking and Finance, 32, 741-753.

10. Dellaportas P. and Vrontos I.D. (2007). Modelling Volatility Asymmetries: A Bayesian analysis of a class of tree structured multivariate GARCH models, Econometrics Journal, 10, 503-520.

11. Giamouridis D., and Vrontos I.D. (2007). Hedge fund portfolio construction: A comparison of static and dynamic approaches, Journal of Banking and Finance, 31, 199-217.

12. Vrontos I.D, Dellaportas P. and Politis D.N. (2003). A full-factor multivariate GARCH model. Econometrics Journal, 6, 312-334.

13. Vrontos I.D, Dellaportas P. and Politis D.N. (2003). Inference for some multivariate ARCH and GARCH models. Journal of Forecasting, 22, 427-446.

14. Vrontos I.D., Giakoumatos S.G., Dellaportas P. and Politis D.N. (2001). An application of three bivariate time-varying volatility models. Applied Stochastic Models in Business and Industry, 17, 121-133.

15. Vrontos I.D., Dellaportas P. and Politis D.N. (2000). Full Bayesian inference for GARCH and EGARCH models. Journal of Business and Economics Statistics, 18, 187-198.

16. Giakoumatos S.G., Vrontos I.D., Dellaportas P. and Politis D.N. (1999). An MCMC Convergence Diagnostic using Subsampling. Journal of Computational and Graphical Statistics, 8, 431-451.

Conference Proceedings

1. Vrontos I.D., Dellaportas P. and Politis D.N. (1999). Bayesian analysis of bivariate ARCH and GARCH models. Hercma '98: 4th Hellenic European Conference on Computer Mathematics and its applications, E.A. Lipitakis (Ed), pp. 459-466.

Submitted Papers

1. Meligkotsidou L., Tzavalis E. and Vrontos I.D. (2006). Bayesian Analysis of Autoregressive Models with Multiple Structural Breaks.

2. Meligkotsidou L. and Vrontos I.D. (2008). Detecting Structural Breaks in Multivariate Financial Time Series: Evidence from Hedge Fund Investment Strategies.

3. Vrontos S.D., Vrontos I.D. and Meligkotsidou L. (2009). Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment.

4. Meligkotsidou L., Tzavalis E. and Vrontos I.D. (2010). A Bayesian framework of estimating and testing the growth economic equation; Do the G7 countries converge?

5. Meligkotsidou L., Tzavalis E. and Vrontos I.D. (2010). A Bayesian Unit Root Test for Panel Data Models with Cross-sectional Dependence.

Funded Research Projects

1. Giannikis D. and Vrontos I.D. Analysis of Financial time series using Bayesian non-parametric methods. (BRFP PEVE, ELKE OPA - funded research project, 2009).

2. Vrontos S.D., Vrontos I.D. and Meligkotsidou L. Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment. (CKER SOA US - funded research project, 2008).

3. Vrontos I.D. and Giamouridis D. Hedge fund return predictability in the presence of model uncertainty and implications for wealth allocation. (INQUIRE UK - funded research project, 2006).

Work in Progress

1. Giannikis D., Meligkotsidou, L. and Vrontos I.D. (2010). Multivariate Predictive Regressions: A new Approach.

2. Meligkotsidou, L. Tzavalis E. and Vrontos I.D. (2010). Stock return predictability: The effects of Initial Condition, Heteroskedasticity, Fat tails and Parameter Uncertainty.

3. Vrontos I.D. (2008). Investigating Hedge Fund return Predictability: A Bayesian approach.

Unpublished Papers

1. Vrontos I.D. and Giamouridis D. (2008). Hedge fund return predictability in the presence of model uncertainty and implications for wealth allocation.