引用次数
引用: 95
H-指数: 6
I10-指数 : 5
出版物: 17
On an integer-valued stochastic intensity model for time series of counts
Abdelhakim Aknouche , Stefanos Dimitrakopoulos
MPRA Paper
2020
State dependence and stickiness of sovereign credit ratings:evidence from a panel of countries
Stefanos Dimitrakopoulos , Michalis Kolossiatis
Journal of Applied Econometrics 31 ( 6) 1065 -1082
9
2016
Ordinal-response GARCH models for transaction data:A forecasting exercise
Stefanos Dimitrakopoulos , Mike Tsionas
International Journal of Forecasting 35 ( 4) 1273 -1287
2019
Bayesian estimation of panel count data models: dynamics, latent heterogeneity, serial error correlation and nonparametric structures.
Stefanos Dimitrakopoulos
Academic Press 147 -173
2019
Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
Stefanos Dimitrakopoulos
Economics Letters 150 10 -14
9
2017
Discrete-response state space models with conditional heteroscedasticity: An application to forecasting the federal funds rate target
Stefanos Dimitrakopoulos , Dipak K. Dey
Economics Letters 154 20 -23
1
2017
The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation
Stefanos Dimitrakopoulos
Economics Letters 155 14 -18
2017
Accounting for persistence in panel count data models: An application to the number of patents awarded
Stefanos Dimitrakopoulos
Economics Letters 171 245 -248
2018
Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
Stefanos Dimitrakopoulos , Michalis Kolossiatis
Econometric Reviews 39 ( 4) 319 -343
5
2020
RCAR and CHARMA models versus stochastic volatility models: A forecasting analysis using macrofinancial data
Stefanos Dimitrakopoulos , Mike Tsionas
Available at SSRN 3210081
2018
Bayesian analysis of periodic asymmetric power GARCH models
Abdelhakim Aknouche , Nacer Demmouche , Stefanos Dimitrakopoulos , Nassim Touche
Studies in Nonlinear Dynamics & Econometrics 24 ( 4) 20180112 -20180112
7
2020
Forecasting transaction counts with integer-valued GARCH models
Abdelhakim Aknouche , Bader S Almohaimeed , Stefanos Dimitrakopoulos
Studies in Nonlinear Dynamics & Econometrics 26 ( 4) 529 -539
13
2022
Periodic autoregressive conditional duration
Abdelhakim Aknouche , Bader Almohaimeed , Stefanos Dimitrakopoulos
Journal of Time Series Analysis 43 ( 1) 5 -29
11
2022
Autoregressive conditional proportion: A multiplicative‐error model for (0, 1)‐valued time series
Abdelhakim Aknouche , Stefanos Dimitrakopoulos
Journal of Time Series Analysis 44 ( 4) 393 -417
2
2023
Noising the GARCH volatility: A random coefficient GARCH model
Abdelhakim Aknouche , Bader Almohaimeed , Stefanos Dimitrakopoulos
1
2024
Volatility models versus intensity models: analogy and differences
Abdelhakim Aknouche , Stefanos Dimitrakopoulos
2024
Periodicity in Bitcoin returns: A time-varying volatility approach
Abdelhakim Aknouche , Stefanos Dimitrakopoulos
2018