5 citations · 6 across the 2 of their papers we have counts for
2 papers
stat.ME2018★ 1 cited
Forecasting under model uncertainty:Non-homogeneous hidden Markov models with Polya-Gamma data augmentation
Constandina Koki, Loukia Meligkotsidou, Ioannis Vrontos
We consider two-state Non-Homogeneous Hidden Markov Models (NHHMMs) for forecasting univariate time series. Given a set of predictors, the time series are modeled via predictive re…
q-fin.GN2014★ 5 cited
Communication impacting financial markets
Jorgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas +1
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets th…