12
H index
14
i10 index
418
Citations
University of the Peloponnese | 12 H index 14 i10 index 418 Citations RESEARCH PRODUCTION: 20 Articles 16 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Timotheos Angelidis. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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International Review of Financial Analysis | 4 |
Journal of Banking & Finance | 3 |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 11 |
Working Papers / University of Crete, Department of Economics | 2 |
Working Papers / Bank of Greece | 2 |
Year | Title of citing document |
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2022 | Should hedge funds deviate from the benchmark?. (2022). Voukelatos, Nikolaos ; Panopoulou, Ekaterini. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:767-795. Full description at Econpapers || Download paper |
2021 | Does Sentiment Affect Stock Returns? A Meta-analysis Across Survey-based Measures. (2021). Gric, Zuzana ; Bajzik, Josef ; Badura, Ondrej. In: Working Papers. RePEc:cnb:wpaper:2021/10. Full description at Econpapers || Download paper |
2022 | Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law. (2022). Becerril, Barbara Trejo ; Valdes, Arturo Lorenzo ; David, Alberto Gallegos. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-06-31. Full description at Econpapers || Download paper |
2022 | The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. (2022). Liu, Min. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:288-309. Full description at Econpapers || Download paper |
2021 | President’s Tweets, US-China economic conflict and stock market Volatility: Evidence from China and G5 countries. (2021). Sun, Bianxia ; Nishimura, Yusaku. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s106294082100125x. Full description at Econpapers || Download paper |
2023 | The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement. (2023). Magni, Carlo Alberto ; Marchioni, Andrea ; Baschieri, Davide. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:872-892. Full description at Econpapers || Download paper |
2022 | Dependence dynamics of stock markets during COVID-19. (2022). Vo, Xuan Vinh ; Hussain, Syed Jawad ; Ahmad, Nasir ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000115. Full description at Econpapers || Download paper |
2021 | Exploring risk premium factors for country equity returns. (2021). Lin, Ming-Tsung ; Calice, Giovanni. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:294-322. Full description at Econpapers || Download paper |
2022 | Detrended cross-correlation analysis in quantiles between oil price and the US stock market. (2022). Mokni, Khaled ; Ben-Salha, Ousama. In: Energy. RePEc:eee:energy:v:242:y:2022:i:c:s0360544221031674. Full description at Econpapers || Download paper |
2021 | How skilful are US fixed-income fund managers?. (2021). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith ; Clare, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000168. Full description at Econpapers || Download paper |
2021 | Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?. (2021). Ma, Feng ; Wang, LU ; Gao, Xinxin ; Hao, Jianyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000983. Full description at Econpapers || Download paper |
2022 | Mutual fund performance persistence: Factor models and portfolio size. (2022). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016. Full description at Econpapers || Download paper |
2022 | Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic. (2022). Sharma, Abhijit ; Ozkan, Aydin ; Grillini, Stefano. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002307. Full description at Econpapers || Download paper |
2022 | A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”. (2022). Roxana, Ioan ; Maria, Dima Tefana ; Bogdan, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002154. Full description at Econpapers || Download paper |
2022 | Variance risk and the idiosyncratic volatility puzzle. (2022). Shuval, Kerem ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002488. Full description at Econpapers || Download paper |
2022 | Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model. (2022). Bufalo, Michele ; Orlando, Giuseppe. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004888. Full description at Econpapers || Download paper |
2023 | Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519. Full description at Econpapers || Download paper |
2021 | Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach. (2021). Salisu, Afees ; GUPTA, RANGAN. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028319303503. Full description at Econpapers || Download paper |
2022 | Price sensitivity of the consumer-investor: Evidence from energy prices and mutual fund fees. (2022). Gupta-Mukherjee, Swasti ; Mi, Hae. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000934. Full description at Econpapers || Download paper |
2022 | The implications of passive investments for active fund management: International evidence. (2022). Yoshinaga, Claudia Emiko ; Junior, William Eid ; Carneiro, Livia Mendes. In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028321000211. Full description at Econpapers || Download paper |
2022 | Impact of oil demand and supply shocks on the exchange rates of selected Southeast Asian countries. (2022). Forhad, Md. ; Alam, Md Rafayet ; Rahman, Md Abdur. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000351. Full description at Econpapers || Download paper |
2023 | Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Jiang, Cheng ; Chauvet, Marcelle. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000989. Full description at Econpapers || Download paper |
2022 | International tests of the ZCAPM asset pricing model. (2022). Liao, Huiling ; Butt, Hilal Anwar ; Huang, Jianhua Z ; Kolari, James W. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000853. Full description at Econpapers || Download paper |
2022 | Momentum-Managed Equity Factors. (2022). Zunft, Claudia ; Schlag, Christian ; Flogel, Volker. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426621002107. Full description at Econpapers || Download paper |
2022 | Legislative gridlock and stock return dispersion around roll-call votes. (2022). Cheng, Mengyao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000036. Full description at Econpapers || Download paper |
2021 | Towards a dead end? EMU bond market exposure and manager performance. (2021). Fabozzi, Frank J ; Konstantinov, Gueorgui S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:116:y:2021:i:c:s026156062100084x. Full description at Econpapers || Download paper |
2022 | Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x. Full description at Econpapers || Download paper |
2021 | Energy commodities and advanced stock markets: A post-crisis approach. (2021). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309181. Full description at Econpapers || Download paper |
2021 | Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic. (2021). Owusu Junior, Peterson ; Adam, Anokye M ; Boateng, Ebenezer. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003986. Full description at Econpapers || Download paper |
2022 | GAS and GARCH based value-at-risk modeling of precious metals. (2022). Tiwari, Aviral ; Owusu Junior, Peterson ; Asafo-Adjei, Emmanuel ; Tweneboah, George. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004645. Full description at Econpapers || Download paper |
2022 | Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations. (2022). Herbst, Patrick ; McMillan, David G ; Ziadat, Salem Adel. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004694. Full description at Econpapers || Download paper |
2021 | Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100. Full description at Econpapers || Download paper |
2022 | Network connectedness dynamics of the yield curve of G7 countries. (2022). Aharon, David Y ; Riaz, Yasir ; Umar, Zaghum. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:275-288. Full description at Econpapers || Download paper |
2022 | The value premium and investors appetite for risk. (2022). Jacob, Maram ; Qadan, Mahmoud. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:194-219. Full description at Econpapers || Download paper |
2021 | Crude oil shocks and African stock markets. (2021). Odei-Mensah, Jones ; Junior, Peterson Owusu ; Enwereuzoh, Precious Adaku. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920309545. Full description at Econpapers || Download paper |
2021 | How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488. Full description at Econpapers || Download paper |
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2021 | . Full description at Econpapers || Download paper |
2022 | Dominance Tracking Index for Measuring Pension Fund Performance with Respect to the Benchmark. (2022). Kabasinskas, Audrius ; Sutiene, Kristina ; Kopa, Milos ; Malakauskas, Aidas ; Lakstutiene, Ausrine. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:15:p:9532-:d:879352. Full description at Econpapers || Download paper |
2021 | Value at Risk Estimation For the BRICS Countries : A Comparative Study. (2021). KHEFACHA, ISLEM ; Safer, Imene ; ben Salem, Ameni. In: Post-Print. RePEc:hal:journl:hal-03502428. Full description at Econpapers || Download paper |
2022 | Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434. Full description at Econpapers || Download paper |
2021 | Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. (2021). David, Alberto Gallegos ; Trejo, Barbara Ruth. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:a:9. Full description at Econpapers || Download paper |
2021 | Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. (2021). David, Alberto Gallegos ; Trejo, Barbara Ruth . In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:p:1-26. Full description at Econpapers || Download paper |
2021 | COVID-19 Pandemic Initial Effects on the Idiosyncratic Risk in Latin America. (2021). de Salles, Andre Assis. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:3:a:5. Full description at Econpapers || Download paper |
2022 | Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?. (2022). Vasileiou, Evangelos. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10123-8. Full description at Econpapers || Download paper |
2022 | Assessing the performance of mutual funds with multifactor asset pricing models. (2022). Trzebiski, Artur A. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:53:y:2022:i:1:p:79-106. Full description at Econpapers || Download paper |
2022 | Is there a boutique asset management premium? Evidence from the European fund management industry. (2022). Clare, Andrew. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:1:d:10.1057_s41260-021-00245-x. Full description at Econpapers || Download paper |
2022 | Performance attribution, time-weighted rate of return, and clean finite change sensitivity index. (2022). Magni, Carlo Alberto ; Marchioni, Andrea. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:1:d:10.1057_s41260-021-00250-0. Full description at Econpapers || Download paper |
2021 | Measuring bulk shipping prices risk. (2021). Serna, Gregorio ; Poblacion, Javier. In: Maritime Economics & Logistics. RePEc:pal:marecl:v:23:y:2021:i:2:d:10.1057_s41278-019-00129-3. Full description at Econpapers || Download paper |
2021 | What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman. In: MPRA Paper. RePEc:pra:mprapa:110382. Full description at Econpapers || Download paper |
2021 | What should be taken into consideration when forecasting oil implied volatility index?. (2021). Degiannakis, Stavros ; Giannopoulos, Kostantinos ; Delis, Panagiotis. In: MPRA Paper. RePEc:pra:mprapa:110831. Full description at Econpapers || Download paper |
2022 | Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets. (2022). Safer, Imene ; ben Salem, Ameni ; Khefacha, Islem. In: MPRA Paper. RePEc:pra:mprapa:113350. Full description at Econpapers || Download paper |
2021 | Assessing the First Shocks of Covid-19 Pandemic on the Idiosyncratic Risk in the Brazilian and the Emerging Markets. (2021). de Salles, Andre Assis. In: MPRA Paper. RePEc:pra:mprapa:113586. Full description at Econpapers || Download paper |
2021 | Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z. Full description at Econpapers || Download paper |
2022 | Cardinality constrained portfolio optimization with a hybrid scheme combining a Genetic Algorithm and Sonar Inspired Optimization. (2022). Dounias, Georgios ; Tzanetos, Alexandros ; Konstantinou, Christos . In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:3:d:10.1007_s12351-020-00614-1. Full description at Econpapers || Download paper |
2022 | VaR as a risk management framework for the spot and futures tanker markets. (2022). Katsampoxakis, Ioannis ; Gkolfinopoulos, Alexandros ; Christopoulos, Apostolos ; Basdekis, Charalampos. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:4:d:10.1007_s12351-021-00673-y. Full description at Econpapers || Download paper |
2021 | Municipal Bond Mutual Fund Performance and Active Share. (2021). Van de Venter, Gerhard ; Smith, David M ; Gurwitz, Joshua A. In: Published Paper Series. RePEc:uts:ppaper:2021-2. Full description at Econpapers || Download paper |
2021 | GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks. (2021). Buczyński, Mateusz ; Chlebus, Marcin ; Buczyski, Mateusz. In: Working Papers. RePEc:war:wpaper:2021-08. Full description at Econpapers || Download paper |
2021 | The effectiveness of Value-at-Risk models in various volatility regimes. (2021). Chlebus, Marcin ; Schiffers, Aleksander. In: Working Papers. RePEc:war:wpaper:2021-28. Full description at Econpapers || Download paper |
2022 | Determinants of stock market returns in emerging markets: The linkage between institutional quality and macro liquidity. (2022). Su, Thanh ; Nguyen, Canh ; Schinckus, Christophe. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4472-4486. Full description at Econpapers || Download paper |
2022 | Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model. (2022). Ma, Feng ; Tang, Yusui ; Wei, YU ; Zhang, Yaojie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4770-4783. Full description at Econpapers || Download paper |
2021 | Volatility specifications versus probability distributions in VaR forecasting. (2021). Novales, Alfonso ; Garciajorcano, Laura. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:189-212. Full description at Econpapers || Download paper |
2021 | Momentum-managed equity factors. (2021). Zunft, Claudia ; Schlag, Christian ; Flogel, Volker. In: SAFE Working Paper Series. RePEc:zbw:safewp:317. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | The Components of the Bid?Ask Spread: the Case of the Athens Stock Exchange In: European Financial Management. [Full Text][Citation analysis] | article | 8 |
2006 | The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2010 | Idiosyncratic Risk in Emerging Markets In: The Financial Review. [Full Text][Citation analysis] | article | 14 |
2013 | Return dispersion, stock market liquidity and aggregate economic activity In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Oil price shocks and volatility do predict stock market regimes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Backtesting VaR Models: An Expected Shortfall Approach In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2008 | Idiosyncratic volatility and equity returns: UK evidence In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 16 |
2010 | Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 7 |
2014 | Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 13 |
2012 | Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2021 | The economic gain of being small in the mutual fund industry: U.S. and international evidence In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
2015 | US stock market regimes and oil price shocks In: Global Finance Journal. [Full Text][Citation analysis] | article | 36 |
2015 | US stock market regimes and oil price shocks.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2008 | Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 34 |
2008 | Volatility forecasting: Intra-day versus inter-day models.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2010 | The efficiency of Greek public pension fund portfolios In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
2013 | Revisiting mutual fund performance evaluation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
2012 | Revisiting Mutual Fund Performance Evaluation.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2015 | Stock market dispersion, the business cycle and expected factor returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 19 |
2009 | Idiosyncratic risk matters! A regime switching approach In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 14 |
2005 | Modeling risk for long and short trading positions In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 7 |
2005 | Modeling Risk for Long and Short Trading Positions.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2008 | Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market In: Managerial Finance. [Full Text][Citation analysis] | article | 6 |
2007 | A robust VaR model under different time periods and weighting schemes In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 28 |
2007 | A Robust VaR Model under Different Time Periods and Weighting Schemes.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2008 | Value-at-Risk for Greek Stocks In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 4 |
2014 | Global Style Portfolios Based on Country Indices In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
2007 | Backtesting VaR Models: A ?wo-Stage Procedure In: MPRA Paper. [Full Text][Citation analysis] | paper | 11 |
2007 | Backtesting VaR Models: A ?wo-Stage Procedure.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2008 | Volatility forecasting: intra-day vs. inter-day models In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
2004 | The Use of GARCH Models in VaR Estimation In: MPRA Paper. [Full Text][Citation analysis] | paper | 96 |
2014 | Global portfolio management under state dependent multiple risk premia In: Proceedings of Economics and Finance Conferences. [Full Text][Citation analysis] | paper | 9 |
2006 | Liquidity adjusted value-at-risk based on the components of the bid-ask spread In: Applied Financial Economics. [Full Text][Citation analysis] | article | 17 |
2007 | Does idiosyncratic risk matter? Evidence from European stock markets In: Applied Financial Economics. [Full Text][Citation analysis] | article | 2 |
2008 | MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 11 |
2009 | ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION In: New Mathematics and Natural Computation (NMNC). [Full Text][Citation analysis] | article | 4 |
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