Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models. - D. Giannikis; Ioannis D. Vrontos; Petros Dellaportas (Comput. Stat. Data Anal., 2008)

A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence. - Loukia Meligkotsidou; Elias Tzavalis; Ioannis D. Vrontos (Stat. Comput., 2014)

Quantile forecast combinations in realised volatility prediction. - Loukia Meligkotsidou; Ekaterini Panopoulou; Ioannis D. Vrontos; Spyridon D. Vrontos (J. Oper. Res. Soc., 2019)