Ioannis D. Vrontos

1991-1995
B.Sc. in Statistics, Department of Statistics, Athens University of Economics and Business.
1995- 1997
M.Sc. in Statistics, Department of Statistics, Athens University of Economics and Business.

Thesis title: Bayesian Autoregressive Conditional Heteroscedasticity models.
1997- 2001
Ph.D. in Statistics, Department of Statistics, Athens University of Economics and Business.

Thesis title: MCMC applications in time-varying volatility models. Supervisor: Petros Dellaportas.

2000 - 2001
Institut National de la Statistique et des Etudes Economiques (INSEE), Centre de Recherche en Economie et Statistique (CREST), Paris, France.
2001 - 2002
Temporary Lectureship in Statistics, Department of Statistics, Athens University of Economics and Business.
2002 - 2004
Temporary Lectureship in Statistics, Department of Statistics, Athens University of Economics and Business.
2004 - 2009
Lecturer in Statistics, Department of Statistics, Athens University of Economics and Business.
2009 - 2015
Assistant Professor in Statistics, Department of Statistics, Athens University of Economics and Business.
2015 - Now
Associate Professor in Statistics, Department of Statistics, Athens University of Economics and Business.

1993-1994
Studentship for academic excellence in undergraduate studies, Department of Statistics, Athens University of Economics and Business, Athens, Greece.
1997-2001
Studentship during Ph.D. studies, PENED, Greece.
2018
Teaching award for extraordinary performance, M.Sc. in Management Science and Technology, AUEB.
2019
Teaching award for extraordinary performance, M.Sc. in Management Science and Technology, AUEB.
2020
Teaching award for extraordinary performance, M.Sc. in Management Science and Technology, AUEB.
2022
Teaching award for extraordinary performance, B.Sc. in Statistics, Department of Statistics, AUEB.
2023
Τeaching award for extraordinary performance, Μ.Sc. in Business Economics with Analytics, AUEB.

Οικονομετρία

Προπτυχιακό πρόγραμμα, συνδιδασκαλία με Α. Λειβαδά
Εισαγωγή στον Προγραμματισμό με R

Προπτυχιακό πρόγραμμα, συνδιδασκαλία με Π. Μπεσμπέα
Γενικευμένα Γραμμικά Μοντέλα

Προπτυχιακό πρόγραμμα, συνδιδασκαλία με E. Ιωαννίδη
Στατιστική για Λήψη Αποφάσεων

Μεταπτυχιακό πρόγραμμα στη Διοικητική Επιστήμη & Τεχνολογία
Financial Econometrics

ΜSc in Quantitative Management of Actuarial and Financial Risk
Time Series and Forecasting Methods

MSc in Data Science
Probability and Statistics for Data Analysis

MSc in Data Science

Galakis, J., Vrontos, I.D. and Xidonas, P. (2022)

On tree-structured linear and quantile regression based asset pricing, Review of Accounting and Finance, 21 (3), 204-245
Galakis, J., Vrontos, I.D., and Vrontos, S.D. (2021)

Style Rotation Revisited, The Journal of Financial Data Science, 3 (2), 110-133
Vrontos, S.D., Galakis, J. and Vrontos I.D. (2021)

Implied Volatility Directional Forecasting: A Machine Learning Approach, Quantitative Finance, 21 (10), 1687-1706
Vrontos, S.D., Galakis, J. and Vrontos I.D. (2021)

Modeling and Predicting U.S. Recessions using Machine Learning Techniques, International Journal of Forecasting, 37, 647-671
Meligkotsidou L., Panopoulou, E., Vrontos I.D. and Vrontos S.D. (2021)

Out-of-sample equity premium prediction: a complete subset quantile regression approach, European Journal of Finance, 27, 110-135
Koki, C., Meligkotsidou, L. and Vrontos, I.D. (2020)

orecasting under model uncertainty:Non-homogeneous hidden Markov models with Polya-Gamma data augmentation, Journal of Forecasting, 39, 580-598
Meligkotsidou L., Panopoulou, E., Vrontos I.D. and Vrontos S.D. (2019)

Quantile forecast combinations in realised volatility prediction, Journal of the Operational Research Society, 70, 10, 1720-1733
Meligkotsidou, L., Tzavalis E. and Vrontos I.D. (2017)

On Bayesian Analysis and Unit Root Testing for Autoregressive Models in the Presence of Multiple Structural Breaks, Econometrics and Statistics, 4, 70-90
Andersen, J.V., Vrontos, I.D., Dellaportas, P. and Galam, S. (2014)

Communication impacting financial markets, Europhysics Letters, 108, 2, 28007-p1-p6
Meligkotsidou L., Panopoulou, E., Vrontos I.D. and Vrontos S.D. (2014)

A Quantile Regression Approach to Equity Premium Prediction, Journal of Forecasting, 33, 558-576
Meligkotsidou L. and Vrontos I.D. (2014)

Detecting Structural Breaks in Multivariate Financial Time Series: Evidence from Hedge Fund Investments, Journal of Statistical Computation and Simulation, 84, 5, 1115-1135
Meligkotsidou L., Tzavalis E. and Vrontos I.D. (2014)

A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence, Statistics and Computing, 24, 297-315
Vrontos S.D., Vrontos I.D. and Meligkotsidou L. (2013)

Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment, Journal of Asset Management, 14, 306-333
Meligkotsidou L., Tzavalis E. and Vrontos I.D. (2012)

A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?, Journal of Applied Statistics, 39, 9, 1975-1990
Vrontos I.D. (2012)

Evidence for Hedge Fund Predictability from a Multivariate Student’s t Full Factor GARCH model, Journal of Applied Statistics, 39, 1295-1321
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
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
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
Diamantopoulos K. and Vrontos I.D. (2010)

A Student-t Full Factor Multivariate GARCH model. Computational Economics, 35, 63-83
Meligkotsidou L., Vrontos I.D. and Vrontos S.D. (2009)

Quantile Regression Analysis of Hedge Fund Strategies. Journal of Empirical Finance, 16, 264-279
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
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
Vrontos S.D., Vrontos I.D. and Giamouridis D. (2008)

Hedge fund pricing and model uncertainty, Journal of Banking and Finance, 32, 741-753
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
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
Vrontos I.D, Dellaportas P. and Politis D.N. (2003)

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

Inference for some multivariate ARCH and GARCH models. Journal of Forecasting, 22, 427-446
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
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
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

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

Modelling the Economic and Financial Impact of COVID-19 (Hellenic Foundation for Research and Innovation, ELIDEK, 2022-2023)
A Bayesian Tree structured quantile regression approach to financial series predictability (ELKE OPA-funded research project, 2018-2019)
Bayesian Threshold Regression Models with Application to Economic and Financial Data (ELKE OPA-funded research project, 2017-2018)
Quantile Autoregressions in Realised Volatility Prediction (ELKE OPA-funded research project, 2015-2017)
Large Shocks, Structural Breaks and Macroeconomic Relationships (ARISTEIA II), Supported by the General Secretariat for Research and Technology (Primary and Scientific Coordinator: Elias Tzavalis, Athens University of Economics and Business), Member of the Research Group, 2014-2016
Systemic Risk Tomography (SYRTO) Project, Funded by the European Union under the 7th framework programme (FP7-SSH/2007-2013) Grant Agreement no 320270 (Primary and Scientific Coordinator: Roberto Savona, University of Brescia, Leader of the AUEB research group: Petros Dellaportas), Member of the AUEB Research Group, 2013-2016
The Dark Side of The Accretion History of the Universe, Thales Program, Supported by the European Commission and Greek National Resources (Project Coordinator: Antonios Georgakakis, National Observatory of Athens, Leader of the Statistics Research Group: Loukia Meligkotsidou), Member of the Statistics Research Group, 2012-2015
Analysis of Financial time series using Bayesian non-parametric methods (ELKE OPA-funded research project, 2009-2010)
Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment (CKER SOA US - funded research project, joint with S. Vrontos and L. Meligkotsidou, 2008-2009)
Hedge funds return predictability in the presence of model uncertainty and implications for wealth allocation (INQUIRE UK - funded research project, joint with D. Giamouridis, 2006)

Εmail: vrontos@aueb.gr Tel: +30-210-8203927

Department of Statistics
Athens University of Economics and Business
Address: Patission 76, 104 34 Athens

Education

Academic Appointments

Fellowships and Awards

Research Interests

MCMC and Convergence Diagnostics

Bayesian Inference and Bayesian Model Choice

Modeling of Time Series

Financial Econometrics

Hidden Markov Models

Optimal Asset Portfolio Allocation with Classical and Bayesian approaches

Option Pricing

Hedge Funds

Break-point Models

Teaching

Publications

Contact