Ioannis D Vrontos

Latest

• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
• Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
• A full-factor multivariate GARCH model
• Inference for some multivariate ARCH and GARCH models
• An application of three bivariate time-varying volatility models
• Full Bayesian inference for GARCH and EGARCH models
• A Markov chain Monte Carlo convergence diagnostic using subsampling