My Works

Thesis

Bayesian Model Averaging [library link]

committee : G. Iliopoulos (supervisor), M. Kateri , I. Ntzoufras

Download [pdf/In Greek] & Slides [pdf/In Greek]

read more…

Projects

Note : Remove the *.doc extention (Press F2 and delete) for the following.


Mathematical Statistics & Applications

  • A note on Burr XII distribution [pdf | R code | Google it] Exponential, Beta, Gamma, Normal and the story goes on… These distributions rule the applied statistician’s toolbox. Yet many distributions are out there waiting to fit them!
  • Evaluating loan admissions using GLMs [pdf | R code | Google it]

Finance/Econometrics

  • Testing the Fisher equation [pdf | R/Eviews code | Presentation| Google it] Test the existence of a Fisher effect in Belgium, The Netherlands and Ireland using cointegration estimators (small sample performance via Monte Carlo simulations).
  • All sort of averages… on HSBC quote [pdf | Excel files & R code (arima)] Forecasting the stock price of HSBC using EMA, the Holt-Winters method and ARIMA.
  • A Consumption – Based Explanation of Expected Stock Returns [pdf | R/Eviews code | Google it] Sort of replicating the s/t paper by M. Yogo reducing some parameters and using non-linear least squares estimation instead of GMM. (Instructed to do so!)

Notes

  • A brief collection of exercises in Mathematical Statistics I : Inference [pdf] Exercises on estimation and confidence intervals I used for tutoring.
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