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Ilias Chronopoulos

Personal Details

First Name:Ilias
Middle Name:
Last Name:Chronopoulos
Suffix:
RePEc Short-ID:pch2109
[This author has chosen not to make the email address public]
https://www.iliaschronopoulos.com

Affiliation

Essex Business School
University of Essex

Colchester, United Kingdom
https://www.essex.ac.uk/departments/essex-business-school/
RePEc:edi:daessuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Chronopoulos, Ilias & Raftapostolos, Aristeidis & Kapetanios, George, 2023. "Forecasting Value-at-Risk using deep neural network quantile regression," Essex Finance Centre Working Papers 34837, University of Essex, Essex Business School.
  2. Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios & James Mitchell & Aristeidis Raftapostolos, 2023. "Deep Neural Network Estimation in Panel Data Models," Working Papers 23-15, Federal Reserve Bank of Cleveland.
  3. Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios, 2022. "High Dimensional Generalised Penalised Least Squares," Papers 2207.07055, arXiv.org, revised Oct 2023.
  4. Chronopoulos, Ilias & Giraitis, Liudas & Kapetanios, George, 2022. "Choosing between persistent and stationary volatility," Essex Finance Centre Working Papers 33045, University of Essex, Essex Business School.

Articles

  1. Ilias Chronopoulos & Aristeidis Raftapostolos & George Kapetanios, 2024. "Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 636-669.
  2. Chronopoulos, Ilias & Kapetanios, George & Petrova, Katerina, 2021. "Kernel-based Volatility Generalised Least Squares," Econometrics and Statistics, Elsevier, vol. 20(C), pages 2-11.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Chronopoulos, Ilias & Raftapostolos, Aristeidis & Kapetanios, George, 2023. "Forecasting Value-at-Risk using deep neural network quantile regression," Essex Finance Centre Working Papers 34837, University of Essex, Essex Business School.

    Cited by:

    1. Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
    2. Qiu, Zhiguo & Lazar, Emese & Nakata, Keiichi, 2024. "VaR and ES forecasting via recurrent neural network-based stateful models," International Review of Financial Analysis, Elsevier, vol. 92(C).
    3. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
    4. León Beleña & Ernesto Curbelo & Luca Martino & Valero Laparra, 2024. "Second-Moment/Order Approximations by Kernel Smoothers with Application to Volatility Estimation," Mathematics, MDPI, vol. 12(9), pages 1-15, May.

Articles

  1. Ilias Chronopoulos & Aristeidis Raftapostolos & George Kapetanios, 2024. "Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 636-669.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2022-07-18 2022-09-05 2023-02-27 2023-07-24. Author is listed
  2. NEP-BIG: Big Data (2) 2023-02-27 2023-07-24. Author is listed
  3. NEP-CMP: Computational Economics (2) 2023-02-27 2023-07-24. Author is listed
  4. NEP-ETS: Econometric Time Series (2) 2022-07-18 2022-09-05. Author is listed
  5. NEP-DEM: Demographic Economics (1) 2022-07-18. Author is listed
  6. NEP-FOR: Forecasting (1) 2023-02-27. Author is listed
  7. NEP-RMG: Risk Management (1) 2023-02-27. Author is listed

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