Research

Research


  1. Angelidis, T., Sakkas, A. & Tessaromatis, N., (2015). Stock market dispersion, the business cycle and expected factor returns. Journal of Banking & Finance, 59, pp.265–279.
  2. Boffelli, S., Skintzi, V., Urga, G. (2015), “High- and low-frequency correlations in European government bond spreads and their macroeconomic drivers, Journal of Financial Econometrics, forthcoming.
  3. Markopoulou, C., Skintzi, V., Refenes, A. (2015), “Is implied correlation predictable?”, International Journal of Forecasting, forthcoming.
  4. Degiannakis, S. and C. Floros (2015). Modelling and Forecasting High Frequency Financial Data, Palgrave - MacMillan Ltd., Hampshire.
  5. Degiannakis, S., B. Eeckels, G. Chatziantoniou and G. Filis (2015). Forecasting Tourist Arrivals Using Origin Country Macroeconomics, Applied Economics, forthcoming.
  6. Evangelopoulos, P., (2015). The Market as a Decision-Making Mechanism in a Democracy. IJEF, 7(11), 260-263.
  7. Degiannakis, S., A. Livada, D. Duffy and G. Filis (2015). Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?, Economic Modelling, forthcoming.
  8. Degiannakis, S. (2015). A probit model for the state of the Greek GDP growth, International Journal of Financial Studies, 3(3), 381-392.
  9. Degiannakis, S. and A. Livada (2015). Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors, Journal of Applied Statistics, forthcoming.
  10. Degiannakis, S. and C. Floros (2015). Intra-Day Realized Volatility for European and USA Stock Indices, Global Finance Journal, forthcoming.
  11. Degiannakis, S., T. Angelidis and G. Filis (2015). US stock market regimes and oil price shocks, Global Finance Journal, forthcoming.
  12. Freeman, M.C. , B. Groom, E. Panopoulou and T. Pantelidis (2015), “Declining discount rates and the Fisher Effect: Inflated past, discounted future?”, Journal of Environmental Economics and Management, 73, 32-49.
  13. Delis, Μ., Staikouras,  P. and Tsoumas, C. (2015). Formal enforcement actions and bank behavior, Management Science, forthcoming.
  14. Panopoulou, E. and T. Pantelidis (2015), “Speculative behavior and oil price predictability”, Economic Modelling, 47, 128-136.
  15. Pantelidis, Τ. (2015), “Testing for Granger causality in the presence of leading variables”, Economics and Business Letters, 4 (1), 17-29.
  16. Panopoulou, E. and T. Pantelidis (2015), “Regime-switching models for exchange rates”, The European Journal of Finance, 21 (12), 1023-1069.
  17. Nollet, J., Filis, G., & Mitrokostas, E. (2015). Corporate social responsibility and financial performance: A non-linear and disaggregated approach. Economic Modelling, forthcoming.
  18.  Antonakakis, N., Chatziantoniou, I., & Filis, G. (2015). Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?. The Manchester School, forthcoming.
  19.  Antonakakis, N., Dragouni, M., & Filis, G. (2015). Tourism and growth: The times they are a-changing. Annals of Tourism Research, 50, 165-169.
  20.  Antonakakis, N., Dragouni, M., & Filis, G. (2015). How strong is the linkage between tourism and economic growth in Europe?. Economic Modelling, 44, 142-155.
  21. Vortelinos, D. (2015). Incremental information of stock indicators. International Review of Economics and Finance, forthcoming.
  22.  Vortelinos, D. (2015). Realized correlation analysis of contagion.Quarterly Review of Economics and Finance, forthcoming.
  23.  Vortelinos, D. (2015). Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets. Review of Financial Economics, forthcoming.
  24.  Vortelinos, D. (2015). The Greek equity market in European equity portfolios. Economic Modelling, forthcoming.
  25.  Vortelinos, D. (2015). Forecasting realized volatility: HAR against Principal Components Combining, Neural Networks and GARCH. Research in International Business and Finance, forthcoming.
  26.  Vortelinos, D. (2015). Evaluation of the Federal Reserve’s financial-crisis timeline. International Review of Financial Analysis, forthcoming.
  27.  Vortelinos, D. (2015). Market risk of BRIC Eurobonds in the financial crisis. International Review of Economics and Finance, 39, pp. 295-310.
  28.  Vortelinos, D. (2015). The effect of macro news on volatility and jumps. Annals of Economics and Finance, 16(2), pp. 425-447.
  29. Angelidis, T. & Tessaromatis, N., (2014). Global style portfolios based on country indices. Bankers, Markets & Investors (2014) issue March-April.
  30. Andrikopoulos, A., Angelidis, T., Skintzi, V. (2014), “Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers”, International Review of Financial Analysis., 35, 118-127.
  31. Degiannakis, S., G. Filis and R. Kizys (2014). The effects of oil price shocks on stock market volatility: Evidence from European data, The Energy Journal, 35(1), 35-56.
  32. Degiannakis, S., P. Dent and C. Floros (2014). A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification, The Manchester School, 82(1), 71-102.
  33. Degiannakis, S., D. Duffy and G. Filis (2014). Business Cycle Synchronisation in EU: A time-varying approach, Scottish Journal of Political Economy, 61(4), 348-370.
  34. Degiannakis, S. and A. Kiohos (2014). Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices, Journal of Economic Studies, 41(2), 216-232.
  35. Panopoulou, E. and T. Pantelidis (2014), “The Fisher Effect in the Presence of Time-Varying Coefficients”, Computational Statistics & Data Analysis, forthcoming.
  36. Antonakakis, N., Chatziantoniou, I., & Filis, G. (2014). Dynamic spillovers of oil price shocks and economic policy uncertainty. Energy Economics, 44, 433-447.
  37. Broadstock, D. C., & Filis, G. (2014). Oil price shocks and stock market returns: New evidence from the United States and China. Journal of International Financial Markets, Institutions and Money, 33, 417-433.
  38. Filis, G., & Chatziantoniou, I. (2014). Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries. Review of Quantitative Finance and Accounting, 42(4), 709-729.
  39. Filis, G. (2014). Time-varying co-movements between stock market returns and oil price shocks. International Journal of Energy and Statistics, 2(01), 27-42.
  40. Antzoulatos, A. and Tsoumas, C. (2014). Institutions, moral hazard and expected government support of banks, Journal of Financial Stability, 15, 161-171.
  41. Drakos, A., Kouretas, G. and Tsoumas, C. (2014). Ownership, interest rates and bank risk-taking in Central and Eastern European countries, International Review of Financial Analysis forthcoming.
  42. Delis, M., Kouretas, G. and Tsoumas, C. (2014). Anxious periods and bank lending, Journal of Banking and Finance, 38, 1-13 (lead article).
  43. Angelidis, T., Giamouridis, D. & Tessaromatis, N., (2013). Revisiting mutual fund performance evaluation. Journal of Banking & Finance, 37(5), pp.1759–1776.
  44. Vortelinos, D. (2014). Non-parametric analysis of equity arbitrage. International Review of Economics and Finance, 33, pp. 199-216.
  45. Vortelinos, D. (2014). Optimally sampled realized range-based volatility estimation. Research in International Business and Finance, 30, pp. 34-50.
  46. Degiannakis, S., C. Floros and G. Filis (2013). Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment, Journal of International Financial Markets, Institutions & Money, 26(1), 175-191.
  47. Degiannakis, S. and A. Livada (2013).Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process, Economic Modelling, 30, 212-216.
  48. Degiannakis, S. and C. Floros (2013). Modeling CAC40 Volatility Using Ultra-high Frequency Data, Research in International Business and Finance, 28, 68-81.
  49.  Degiannakis, S., C. Floros and P. Dent (2013). Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence, International Review of Financial Analysis, 27, 21-33.
  50. Dapontas, D. & Evangelopoulos, P., 2013. Has the NAFTA Foundation Affected Business Cycles Length? An Introduction. Annals of the Alexandru Ioan Cuza University - Economics, 60(1).
  51. Antonakakis, N., Chatziantoniou, I., & Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120(1), 87-92.
  52. Antonakakis, N., & Filis, G. (2013). Oil prices and stock market correlation: A time-varying approach. International Journal of Energy and Statistics, 1(01), 17-29.
  53. Chatziantoniou, I., Filis, G., Eeckels, B., & Apostolakis, A. (2013). Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries. Tourism Management, 36, 331-341.
  54. Chatziantoniou, I., Duffy, D., & Filis, G. (2013). Stock market response to monetary and fiscal policy shocks: Multi-country evidence. Economic Modelling, 30, 754-769.
  55. Degiannakis, S., C. Floros and A. Livada (2012). Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence, Managerial Finance, 38(4), 436-452.
  56. Evangelopoulos, P., (2012). Institutional Inefficiencies in Latin America. TEL, 02(05), pp.517–519.
  57. Malliaropulos, D., E. Panopoulou, T. Pantelidis and N. Pittis (2013), “Decomposing the Persistence of Real Exchange Rates”, Empirical Economics, 44 (3), 1217-1242.
  58. Kouretas, G. and Tsoumas, C. (2013). Bank risk-taking in CEE countries, Central  European Journal of Economic Modelling and Econometrics, 5, 103-123.
  59. Panopoulou, E. and T. Pantelidis (2013), “Cross-state disparities in the US health care expenditure”, Health Economics, 22(4), 451-465.
  60. Panopoulou, E. and T. Pantelidis (2012), “Convergence in Per Capita Health Expenditures and Health Outcomes in the OECD Countries”, Applied Economics, 44 (30), 3909-3920.
  61. Apergis, N., Payne, J.E. and Tsoumas C. (2012). The Impact of credit rating changes on U.S. banks, Banking and Finance Review, 4(1) (lead article).
  62. Eeckels, B., Filis, G., & Leon, C. (2012). Tourism income and economic growth in Greece: empirical evidence from their cyclical components. Tourism Economics, 18(4), 817-834.
  63. Degiannakis, S., C. Floros and G. Filis (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, International Review of Financial Analysis, 20(3), 152-164.
  64. Vortelinos, D. and Thomakos, D. (2013). Nonparametric realized volatility estimation in the international equity markets. International Review of Financial Analysis, 28, pp. 34-45.
  65. Vortelinos, D. (2013). Portfolio analysis of intraday covariance matrix in the Greek equity market. Research in International Business and Finance, 27, pp. 66-79.
  66. Panopoulou, E. and T. Pantelidis (2011), “Stock Market Bubbles and Crises: The Case of East Asian Emerging Markets”, in “The Stock Market: Crisis, Recovery and Emerging Economies”, Nova Science Publishers.
  67. Filis, G., Floros, C., & Eeckels, B. (2011). Option listing, returns and volatility: evidence from Greece. Applied Financial Economics, 21(19), 1423-1435.
  68. Apergis, N. and Tsoumas, C. (2011). Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S., Energy Economics, 34(4), 1082-1087.
  69. Apergis, N. and Tsoumas, C. (2011). Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S., Energy Policy, 39(9), 5474-5479.
  70. Antzoulatos, A., Panopoulou, E. and Tsoumas, C. (2011). The enigma of non-interest income convergence, Applied Financial Economics, 21(17), 1309-1316.
  71. Panopoulou, E. and Tsoumas C. (2011). Credit rating agencies’ views and the markets (in Greek), in the collective book entitled The International Financial Crisis, the Crisis in the Euro-zone and the Greek Financial System, edited by G. Hardouvelis and C. Gortsos, Hellenic Bank Association, July 2011.
  72. Angelidis, T. & Tessaromatis, N., (2010). The efficiency of Greek public pension fund portfolios. Journal of Banking & Finance, 34(9), pp.2158–2167.
  73.  Angelidis, T., (2010). Idiosyncratic Risk in Emerging Markets. Financial Review, 45(4), pp.1053–1078.
  74. Angelidis, T. & Andrikopoulos, A., 2010. Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach. International Review of Financial Analysis, 19(3), pp.214–221.
  75. Degiannakis, S. and Ε. Xekalaki (2010). ARCH Models for Financial Applications, John Wiley & Sons Ltd., New York.
  76. Degiannakis, S. and C. Floros (2010). Hedge Ratios in South African Stock Index Futures, Journal of Emerging Market Finance, 9(3), 285-304.
  77.  Degiannakis, S. and C. Floros (2010). VIX Index in Interday and Intraday Volatility Models, Journal of Money, Investment and Banking, 13, 21-26.
  78. Flavin, T., E. Panopoulou, T. Pantelidis and D. Unalmis (2010), “The Effect of Asymmetric Volatility Shocks on Equity and Foreign Exchange Rate Interactions”, in “Finance and Banking Developments”, Nova Science Publishers.
  79. Filis, G. (2010). Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?. Energy Economics, 32(4), 877-886.
  80. Antzoulatos, A., Panopoulou, E. and Tsoumas, C. (2010). Do financial systems converge? (2010), Review of International Economics, 19(1), 122–136.
  81. Antzoulatos, A., Apergis, N. and Tsoumas, C. (2010). Financial structure and industrial structure, Bulletin of Economic Research, 63(2), 109-139 (lead article).
  82. Antzoulatos, A. and Tsoumas, C. (2010). Financial development and household portfolios: Evidence from Spain, the U.K. and the U.S., Journal of International Money and Finance, 29(2), 300-314.
  83. Apergis, N., Panopoulou, E. and Tsoumas, C. (2010). Old wine in new bottle: Growth convergence dynamics in the EU, Atlantic Economic Journal, 38(2), 169-181.
  84. Angelidis, T. & Tessaromatis, N. (2009). Idiosyncratic risk matters! A regime switching approach. International Review of Economics & Finance, 18(1), pp.132–141.
  85. Angelidis, T. & Benos, A. (2009). The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange. European Financial Management, 15(1), pp.112–144.
  86. Thomaidis, N., T., Angelidis, V., Vassiliasis, & G., Dounias. (2009). Active portfolio management with cardinality constraints: An application of particle swarm optimization. New Mathematics and Natural Computation, 5(3), 535-555.
  87. Degiannakis, S. and T. Angelidis (2009). Econometric Modelling of Value-at-Risk. Financial Institutions and Services. Nova Science Publishers, USA.
  88. Degiannakis, S. and G. Giannopoulos (2009). Is PEAD a Consequence of the Presence of the Cognitive Bias of Self-Attribution in Investors’ Expectations Regarding Permanent Earnings? Evidence from Athens Stock Exchange, International Journal of Computational Economics and Econometrics, 1(1), 89-110.
  89. Degiannakis, S. and Ε. Avgouleas (2009). Trade Transparency and Trading Volume: The Possible Impact of the Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets, International Journal of Financial Markets and Derivatives, 1(1), 96-123.
  90. Evangelopoulos, P., (2009). The 1930s and the Present Day-Crises compared. Economic Affairs, 29(4), pp.80–82.
  91.  Evangelopoulos, P., (2009). Institutional failures of socialism. Economic Affairs, 29(4), pp.72–77.
  92. Panopoulou, E. and T. Pantelidis (2009), “Club Convergence in Carbon Dioxide Emissions”, Environmental and Resource Economics, 44, 47–70.
  93. Pantelidis, T. and N. Pittis (2009), “Estimation and Forecasting in First-order Vector Autoregressions with Near to Unit Roots and Conditional Heteroskedasticity”, Journal of Forecasting, 28 (Issue 7), 612-630.
  94. Flavin, T., E. Panopoulou and T. Pantelidis (2009), “Forecasting Growth and Inflation in an Enlarged Euro Area: Some Policy Implications”, Journal of Forecasting, 28 (Issue 5), 405-425.
  95. Hepburn, C.J., P. Koundouri, E. Panopoulou and T. Pantelidis (2009), “Social Discounting under Uncertainty: A Cross-country Comparison”, Journal of Environmental Economics and Management, 57 (Issue 2), 140-150.
  96. Panopoulou, E. and T. Pantelidis (2009), “Integration at a Cost: Evidence from Volatility Impulse Response Functions”, Applied Financial Economics, 19 (Issue 11), 917-933.
  97. Apergis, N. and Tsoumas, C. (2009). A survey on the Feldstein - Horioka puzzle: What has been done and where we stand?, Research in Economics, 63, 64-76.
  98. Angelidis, T. & Skiadopoulos, G. (2008). Measuring the market risk of freight rates: A Value-at-Risk approach. International Journal of Theoretical and Applied Finance, 11(05), pp.447–469.
  99. Angelidis, T. & Tessaromatis, N. (2008). Does idiosyncratic risk matter? Evidence from European stock markets. Applied Financial Economics, 18(2), pp.125–137.
  100. Angelidis, T. & Tessaromatis, N. (2008). Idiosyncratic volatility and equity returns: UK evidence. International Review of Financial Analysis, 17(3), pp.539–556.
  101. Angelidis, T. & Benos, A. (2008). Value-at-Risk for Greek Stocks. MFJ, 12(1/2), pp.67–104.
  102. Degiannakis, S. (2008). ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling, Journal of Applied Statistics, 35(10), 1169-1180.
  103. Antzoulatos, A, Thanopoulos, J. and Tsoumas C. (2008). Financial system structure and change – 1986 - 2005: Evidence from the OECD Countries, Journal of Economic Integration, 23 (4), 977-1001.
  104. Degiannakis, S. (2008). Forecasting VIX, Journal of Money, Investment and Banking, 4, 5-19.
  105. Degiannakis, S. and E. Xekalaki (2008).SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework. Applied Financial Economics Letters, 4(6), 419-423.
  106. Degiannakis, S. and T. Angelidis (2008).Volatility Forecasting: Intra-day versus Inter-day Models. Journal of International Financial Markets Institutions and Money, 18, 449-465.
  107. Degiannakis, S. and T. Angelidis (2008). Forecasting One-day-ahead VaR and Intra-Day Realized Volatility in the Athens Stock Exchange Market. Managerial Finance, 34(7), 489-497.
  108. Degiannakis, S., A. Livada and E. Panas (2008). Rolling-sampled parameters of ARCH and Levy-stable models. Applied Economics, 40(23), 3051-3067.
  109. Gollier, C., P. Koundouri and T. Pantelidis (2008), “Declining Discount Rates: Economic Justifications and Implications for Long-Run Policy”, Economic Policy, 23 (Issue 56), 757-795.
  110. Degiannakis, S. and E., Xekalaki (2007). Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models. Applied Financial Economics, 17, 149-171.
  111. Degiannakis, S. and E., Xekalaki (2007). Simulated evidence on the distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH processes. Applied Financial Economics Letters, 3, 31-37.
  112. Degiannakis, S. and T. Angelidis and A. Benos (2007). A Robust VaR Model Under Different Time Periods and Weighting Schemes. Review of Quantitative Finance and Accounting, 28(2), 187-201.
  113.  Degiannakis, S. and T. Angelidis (2007). Backtesting VaR Models: A Two-Stage Procedure. Journal of Risk Model Validation, 1(2), 1-22.
  114. Skintzi, V., Xanthopoulos-Sisinis, S. (2007), “Evaluation of correlation forecasting models for risk management”, Journal of Forecasting, 26, 497-526.
  115. Evangelopoulos, P., (2007). Towards a synthesis of theories of State failure. International Review of Economics, 54(1), pp.13–34.
  116. Groom, B., P. Koundouri, E. Panopoulou and T. Pantelidis (2007), “Discounting the Distant Future: How Much does Model Selection Affect the Certainty Equivalent Rate?”, Journal of Applied Econometrics, 22 (3), 641-656.
  117. Antzoulatos, A. and Tsoumas, C. (2007). Household portfolio dynamics in the EU - 1994-2003,  International Journal of Economic Research, 4(1), 1-15.
  118. Angelidis, T. & Benos, A., (2006). Liquidity adjusted value-at-risk based on the components of the bid-ask spread. Applied Financial Economics, 16(11), pp.835–851.
  119. Skintzi, V., Refenes, A. (2006), “Bond volatility spillovers and dynamic correlation in European bond markets”, Journal of International Financial Markets, Institutions and Money, 16, 23-40.
  120. Skintzi, V., Refenes, A., (2005), “Implied correlation index: A new measure of diversification”, Journal of Futures Markets, 25, 171-197.
  121. Skintzi, V., Skiadopoulos, G., Refenes, A. (2005), “The effect of mis-estimating correlation on Value-at-Risk”, Journal of Alternative Investments, 7,. 66-82.
  122. Degiannakis, S. and E., Xekalaki (2005). Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. Computational Statistics and Data Analysis, 49(2), 611-629.
  123. Degiannakis, S. and E., Xekalaki (2005). Predictability and Model Selection in the Context of ARCH Models. Journal of Applied Stochastic Models in Business and Industry, 21, 55-82.
  124. Degiannakis, S. and T. Angelidis (2005). Modeling Risk for Long and Short Trading Positions. Journal of Risk Finance, 6(3), 226-238.
  125. Caporale, G.M., C. Ntantamis, T. Pantelidis and N. Pittis (2005), “The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study”, Journal of Financial Econometrics, Vol. 3, No 2, 282-309.
  126. Degiannakis, S. (2004). Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model. Applied Financial Economics, 14, 1333-1342.
  127. Degiannakis, S. and E., Xekalaki (2004). Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. Quality Technology and Quantitative Management, 1(2), 271-324.
  128. Degiannakis, S., T. Angelidis and A. Benos (2004). The Use of GARCH Models in VaR Estimation. Statistical Methodology, 1, 1(2), 105-128.
  129. Pantelidis, T. and N. Pittis (2004), “Testing for Granger Causality in Variance in the Presence of Causality in Mean”, Economics Letters, 85, 201-207.

MSc in Risk Management

+30 2710230123
This email address is being protected from spambots. You need JavaScript enabled to view it.