| A full‐factor multivariate GARCH model ID Vrontos, P Dellaportas, DN Politis The Econometrics Journal 6 (2), 312-334, 2003 | 221 | 2003 |
| Full Bayesian inference for GARCH and EGARCH models ID Vrontos, P Dellaportas, DN Politis Journal of Business & Economic Statistics 18 (2), 187-198, 2000 | 167 | 2000 |
| Hedge fund portfolio construction: A comparison of static and dynamic approaches D Giamouridis, ID Vrontos Journal of Banking & Finance 31 (1), 199-217, 2007 | 126 | 2007 |
| Quantile regression analysis of hedge fund strategies L Meligkotsidou, ID Vrontos, SD Vrontos Journal of Empirical Finance 16 (2), 264-279, 2009 | 115 | 2009 |
| Hedge fund pricing and model uncertainty SD Vrontos, ID Vrontos, D Giamouridis Journal of Banking & Finance 32 (5), 741-753, 2008 | 72 | 2008 |
| Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach L Meligkotsidou, ID Vrontos Journal of Banking & Finance 32 (11), 2471-2481, 2008 | 53 | 2008 |
| Implied volatility directional forecasting: a machine learning approach SD Vrontos, J Galakis, ID Vrontos Quantitative Finance 21 (10), 1687-1706, 2021 | 51 | 2021 |
| A quantile regression approach to equity premium prediction L Meligkotsidou, E Panopoulou, ID Vrontos, SD Vrontos Journal of Forecasting 33 (7), 558-576, 2014 | 51 | 2014 |
| Modeling and predicting US recessions using machine learning techniques SD Vrontos, J Galakis, ID Vrontos International Journal of Forecasting 37 (2), 647-671, 2021 | 47 | 2021 |
| Inference for some multivariate ARCH and GARCH models ID Vrontos, P Dellaportas, DN Politis Journal of Forecasting 22 (6‐7), 427-446, 2003 | 32 | 2003 |
| Out-of-sample equity premium prediction: A complete subset quantile regression approach L Meligkotsidou, E Panopoulou, ID Vrontos, SD Vrontos The European Journal of Finance 27 (1-2), 110-135, 2021 | 31 | 2021 |
| A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies D Giannikis, ID Vrontos Journal of Banking & Finance 35 (6), 1399-1414, 2011 | 31 | 2011 |
| A Markov chain Monte Carlo convergence diagnostic using subsampling SG Giakoumatos, ID Vrontos, P Dellaportas, DN Politis Journal of Computational and Graphical Statistics 8 (3), 431-451, 1999 | 27 | 1999 |
| Quantile forecast combinations in realised volatility prediction L Meligkotsidou, E Panopoulou, ID Vrontos, SD Vrontos Journal of the Operational Research Society 70 (10), 1720-1733, 2019 | 26 | 2019 |
| Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models P Dellaportas, ID Vrontos The Econometrics Journal 10 (3), 503-520, 2007 | 23 | 2007 |
| Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models D Giannikis, ID Vrontos, P Dellaportas Computational Statistics & Data Analysis 52 (3), 1549-1571, 2008 | 19 | 2008 |
| A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series L Meligkotsidou, E Tzavalis, ID Vrontos Econometric Reviews 30 (2), 208-249, 2011 | 18 | 2011 |
| Forecasting under model uncertainty: Non‐homogeneous hidden Markov models with Pòlya‐Gamma data augmentation C Koki, L Meligkotsidou, I Vrontos Journal of Forecasting 39 (4), 580-598, 2020 | 15 | 2020 |
| A Student-t Full Factor Multivariate GARCH Model K Diamantopoulos, ID Vrontos Computational economics 35, 63-83, 2010 | 15 | 2010 |
| Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies L Meligkotsidou, ID Vrontos Journal of Statistical Computation and Simulation 84 (5), 1115-1135, 2014 | 13 | 2014 |
