Timotheos Angelidis : Citation Profile


Are you Timotheos Angelidis?

University of Peloponnese

11

H index

12

i10 index

324

Citations

RESEARCH PRODUCTION:

18

Articles

16

Papers

RESEARCH ACTIVITY:

   11 years (2004 - 2015). See details.
   Cites by year: 29
   Journals where Timotheos Angelidis has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 16 (4.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan135
   Updated: 2020-10-24    RAS profile: 2019-10-18    
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Relations with other researchers


Works with:

Degiannakis, Stavros (2)

Filis, George (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Timotheos Angelidis.

Is cited by:

Degiannakis, Stavros (40)

Filis, George (15)

Floros, Christos (14)

Louzis, Dimitrios (6)

Gabrielsen, Alexandros (5)

Miralles Quirós, José (5)

Awartani, Basel (4)

Zagaglia, Paolo (4)

Alexander, Carol (4)

Mateus, Cesario (4)

Liu, Zhuoshi (4)

Cites to:

Degiannakis, Stavros (45)

Laurent, Sébastien (29)

Giot, Pierre (27)

Bollerslev, Tim (25)

Engle, Robert (17)

Diebold, Francis (15)

Campbell, John (14)

French, Kenneth (13)

Fama, Eugene (11)

Christoffersen, Peter (11)

Jagannathan, Ravi (10)

Main data


Where Timotheos Angelidis has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
International Review of Financial Analysis3
Applied Financial Economics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany11
Working Papers / University of Crete, Department of Economics2
Working Papers / Bank of Greece2

Recent works citing Timotheos Angelidis (2020 and 2019)


YearTitle of citing document
2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:201-218.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:201-218.

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2020Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices. (2019). Yaghoubi, Nourmohammad ; Tehrani, Reza ; Ezazi, Mohammadesmaeil ; Kokabisaghi, Somayeh. In: Papers. RePEc:arx:papers:1912.04015.

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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2019Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?. (2019). Buberkoku, Onder. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-23.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2019Does idiosyncratic volatility matter at the global level?. (2019). Umutlu, Mehmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:252-268.

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2019Improving the predictability of stock returns with Bitcoin prices. (2019). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:857-867.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157.

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2019Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108.

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2019Are alternative energies a real alternative for investors?. (2019). Miralles-Quiros, Maria Mar. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:535-545.

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2020Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

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2019Energy and Food Security: Linkages through Price Volatility. (2019). Yoshino, Naoyuki ; Rasoulinezhad, Ehsan ; Taghizadeh-Hesary, Farhad. In: Energy Policy. RePEc:eee:enepol:v:128:y:2019:i:c:p:796-806.

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2019The performance of US bond mutual funds. (2019). Zhu, Sheng ; Sherman, Meadhbh ; O'Sullivan, Niall ; Clare, Andrew . In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:1-8.

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2019Review of new trends in the literature on factor models and mutual fund performance. (2019). Mateus, Cesario ; Todorovic, Natasa. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:344-354.

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2019Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model. (2019). Ozkan, Aydin ; Grillini, Stefano ; Sharma, Abhijit. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:145-158.

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2019Risk appetite, idiosyncratic volatility and expected returns. (2019). Qadan, Mahmoud. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521919301760.

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2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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2020Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry. (2020). Zhai, Pengxiang ; Sun, Licheng ; Ji, Qiang ; Zhu, Zhaobo. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301605.

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2019Economic policy uncertainty, risk and stock returns: Evidence from G7 stock markets. (2019). Chiang, Thomas C. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:41-49.

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2020Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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2020The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. (2020). Gözgör, Giray ; Marco, Chi Keung ; Semeyutin, Artur ; Li, Haiping. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319301424.

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2019Anti-cyclical versus risk-sensitive margin strategies in central clearing. (2019). Dömötör, Barbara ; Berlinger, Edina ; Illes, Ferenc ; Domotor, Barbara. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:117-131.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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2020Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

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2019The performance of Chinese equity funds: An extension of DGTW model. (2019). Paek, Miyoun ; Wang, Yaping ; Ko, Kwangsoo. In: Japan and the World Economy. RePEc:eee:japwor:v:51:y:2019:i:c:2.

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2019Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:187-200.

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2020Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects. (2020). Ding, Zhihua ; Wu, Jy S ; Tseng, Hui-Kuan ; Liu, Zhenhua. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308153.

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2019Cross-sectional return dispersion and volatility prediction. (2019). Wen, Conghua ; Liu, Xiaoquan ; Fei, Tianlun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19301830.

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2019Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach. (2019). Hussain, Syed Jawad ; Ferrer, Roman. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119314761.

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2020Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory. (2020). Yu, Wenqiang ; Chen, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:544:y:2020:i:c:s0378437119318023.

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2020Multinational country risk: Exposure to asset holding risk and operating risk in international business. (2020). Deligonul, Seyda Z. In: Journal of World Business. RePEc:eee:worbus:v:55:y:2020:i:2:s1090951618308241.

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2019Bivariate Volatility Modeling with High-Frequency Data. (2019). Agell, Nuria ; Rovira, Xari ; Matei, Marius. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457.

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2019On the Linkage between the Energy Market and Stock Returns: Evidence from Romania. (2019). Joldeș, Camelia ; armeanu, dan ; Gherghina, Tefan Cristian. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1463-:d:223779.

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2019Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests. (2019). Demirer, Riza ; Wong, Wing-Keung ; Lv, Zhihui ; Gupta, Rangan. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:2:p:351-:d:196929.

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2020Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets. (2020). Zhang, Ting ; Yang, Yuhong ; Hu, Genhua ; Qiu, Hong. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:7911-:d:418785.

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2020Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas. (2020). Miralles-Quiros, Maria Mar ; Nogueira, Jose Manuel. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:1842-:d:326575.

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2019Can Variations in Temperature Explain the Systemic Risk of European Firms?. (2019). Sagitova, Roza ; Chatziantoniou, Ioannis ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: Environmental & Resource Economics. RePEc:kap:enreec:v:74:y:2019:i:4:d:10.1007_s10640-019-00385-0.

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2019Asymmetric Effects of Exchange Rates on Stock Prices in G7 Countries. (2019). Lee, Chin ; Habibi, Arash. In: Capital Markets Review. RePEc:mfa:journl:v:27:y:2019:i:1:p:19-33.

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2019An examination of ex ante fund performance: identifying indicators of future performance. (2019). Clare, Mariana. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00118-4.

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2020Do smart beta ETFs deliver persistent performance?. (2020). Soggiu, Marco ; Mateus, Irina B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:5:d:10.1057_s41260-020-00174-1.

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2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

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2020Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand. (2020). Sethapramote, Yuthana ; Jiranyakul, Komain ; Theplib, Krit. In: MPRA Paper. RePEc:pra:mprapa:98094.

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2019An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns. (2019). Lebedeva, K. In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies. RePEc:scn:00rbes:y:2015:i:3:p:5-31.

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2019Two-sided exponential–geometric distribution: inference and volatility modeling. (2019). Altun, Emrah. In: Computational Statistics. RePEc:spr:compst:v:34:y:2019:i:3:d:10.1007_s00180-019-00873-3.

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2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

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2019Volatility specifications versus probability distributions in VaR forecasting. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1926.

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2019Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states.. (2019). Chlebus, Marcin ; Buczyski, Mateusz. In: Working Papers. RePEc:war:wpaper:2019-12.

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2020Mutual fund performance: The decision quality and capital magnet efficiencies. (2020). Hsieh, Pierre H ; Liu, Naiyu ; Lu, Wenmin ; Tebourbi, Imen. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:41:y:2020:i:5:p:861-872.

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2019Reinvestigate the Bid–Ask Bounce Effect and Pricing of Idiosyncratic Volatility: The Case of the Australian Market. (2019). Cam, Marie-Anne ; Tan, Monica ; Liu, Bin. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:22:y:2019:i:01:n:s0219091519500048.

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2019Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria. (2019). Fasanya, Ismail. In: Zagreb International Review of Economics and Business. RePEc:zag:zirebs:v:22:y:2019:i:2:p:71-94.

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2020Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Discussion Papers. RePEc:zbw:bubdps:462020.

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Works by Timotheos Angelidis:


YearTitleTypeCited
2009The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange In: European Financial Management.
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article8
2006The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2010Idiosyncratic Risk in Emerging Markets In: The Financial Review.
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article13
2013Return dispersion, stock market liquidity and aggregate economic activity In: Working Papers.
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paper1
2013Oil price shocks and volatility do predict stock market regimes In: Working Papers.
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paper0
2007Backtesting VaR Models: An Expected Shortfall Approach In: Working Papers.
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paper15
2008Idiosyncratic volatility and equity returns: UK evidence In: International Review of Financial Analysis.
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article13
2010Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach In: International Review of Financial Analysis.
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article4
2014Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers In: International Review of Financial Analysis.
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article9
2012Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers.(2012) In: MPRA Paper.
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This paper has another version. Agregated cites: 9
paper
2015US stock market regimes and oil price shocks In: Global Finance Journal.
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article24
2015US stock market regimes and oil price shocks.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 24
paper
2008Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money.
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article29
2008Volatility forecasting: Intra-day versus inter-day models.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 29
paper
2010The efficiency of Greek public pension fund portfolios In: Journal of Banking & Finance.
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article4
2013Revisiting mutual fund performance evaluation In: Journal of Banking & Finance.
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article19
2012Revisiting Mutual Fund Performance Evaluation.(2012) In: MPRA Paper.
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This paper has another version. Agregated cites: 19
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2015Stock market dispersion, the business cycle and expected factor returns In: Journal of Banking & Finance.
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article10
2009Idiosyncratic risk matters! A regime switching approach In: International Review of Economics & Finance.
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article12
2008Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market In: Managerial Finance.
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article5
2007A robust VaR model under different time periods and weighting schemes In: Review of Quantitative Finance and Accounting.
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article25
2007A Robust VaR Model under Different Time Periods and Weighting Schemes.(2007) In: MPRA Paper.
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This paper has another version. Agregated cites: 25
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2008Value-at-Risk for Greek Stocks In: Multinational Finance Journal.
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article4
2014Global Style Portfolios Based on Country Indices In: MPRA Paper.
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paper1
2007Backtesting VaR Models: A Τwo-Stage Procedure In: MPRA Paper.
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2007Backtesting VaR Models: A Τwo-Stage Procedure.(2007) In: MPRA Paper.
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2008Volatility forecasting: intra-day vs. inter-day models In: MPRA Paper.
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paper4
2005Modeling Risk for Long and Short Trading Positions In: MPRA Paper.
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2004The Use of GARCH Models in VaR Estimation In: MPRA Paper.
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paper79
2014Global portfolio management under state dependent multiple risk premia In: Proceedings of Economics and Finance Conferences.
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paper4
2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread In: Applied Financial Economics.
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article14
2007Does idiosyncratic risk matter? Evidence from European stock markets In: Applied Financial Economics.
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article2
2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH In: International Journal of Theoretical and Applied Finance (IJTAF).
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article5
2009ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION In: New Mathematics and Natural Computation (NMNC).
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article3

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