Timotheos Angelidis : Citation Profile

Are you Timotheos Angelidis?

University of the Peloponnese

12

H index

14

i10 index

418

Citations

RESEARCH PRODUCTION:

20

Articles

16

Papers

RESEARCH ACTIVITY:

   17 years (2004 - 2021). See details.
   Cites by year: 24
   Journals where Timotheos Angelidis has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 16 (3.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan135
   Updated: 2023-05-27    RAS profile: 2023-05-10    
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Relations with other researchers

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:

Degiannakis, Stavros (42)

Filis, George (16)

Floros, Christos (14)

Chlebus, Marcin (8)

Louzis, Dimitrios (7)

Sakowski, Pawel (5)

Gabrielsen, Alexandros (5)

Ślepaczuk, Robert (5)

Miralles Quirós, José (5)

GUPTA, RANGAN (4)

Awartani, Basel (4)

Cites to:

Degiannakis, Stavros (39)

Giot, Pierre (35)

Laurent, Sébastien (31)

Bollerslev, Tim (23)

Campbell, John (18)

Engle, Robert (15)

Diebold, Francis (15)

French, Kenneth (15)

Fama, Eugene (13)

Ang, Andrew (11)

Bekaert, Geert (10)

Main data

Where Timotheos Angelidis has published?

Journals with more than one article published# docs
International Review of Financial Analysis4
Journal of Banking & Finance3

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 (2022 and 2021)

YearTitle of citing document
2022Should 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.

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2021Does 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.

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2022Reference 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.

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2022The 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.

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2021President’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.

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2023The 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.

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2022Dependence 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.

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2021Exploring 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.

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2022Detrended 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.

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2021How 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.

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2021Forecasting 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.

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2022Mutual 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.

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2022Static 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.

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2022A 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.

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2022Variance 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.

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2022Modelling 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.

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2023Climate 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.

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2021Oil 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.

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2022Price 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.

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2022The 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.

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2022Impact 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.

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2023Nonlinear 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.

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2022International 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.

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2022Momentum-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.

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2022Legislative 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.

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2021Towards 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.

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2022Oil 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.

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2021Energy 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.

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2021Modelling 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.

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2022GAS 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.

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2022Oil 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.

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2021Estimating 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.

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2022Network 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.

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2022The 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.

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2021Crude 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.

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2021How 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.

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2021.

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2021.

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2022Dominance 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.

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2021Value 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.

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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2021Estimación 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.

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2021Estimación 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.

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2021COVID-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.

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2022Inaccurate 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.

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2022Assessing 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.

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2022Is 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.

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2022Performance 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.

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2021Measuring 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.

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2021What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman. In: MPRA Paper. RePEc:pra:mprapa:110382.

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2021What 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.

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2022Value-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.

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2021Assessing 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.

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2021Adaptive 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.

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2022Cardinality 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.

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2022VaR 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.

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2021Municipal 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.

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2021GARCHNet - 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.

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2021The effectiveness of Value-at-Risk models in various volatility regimes. (2021). Chlebus, Marcin ; Schiffers, Aleksander. In: Working Papers. RePEc:war:wpaper:2021-28.

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2022Determinants 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.

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2022Forecasting 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.

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2021Volatility 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.

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2021Momentum-managed equity factors. (2021). Zunft, Claudia ; Schlag, Christian ; Flogel, Volker. In: SAFE Working Paper Series. RePEc:zbw:safewp:317.

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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.
[Full Text][Citation analysis]		article8
2006The 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
2010Idiosyncratic Risk in Emerging Markets In: The Financial Review.
[Full Text][Citation analysis]		article14
2013Return dispersion, stock market liquidity and aggregate economic activity In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Oil price shocks and volatility do predict stock market regimes In: Working Papers.
[Full Text][Citation analysis]		paper1
2007Backtesting VaR Models: An Expected Shortfall Approach In: Working Papers.
[Full Text][Citation analysis]		paper14
2008Idiosyncratic volatility and equity returns: UK evidence In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article16
2010Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article7
2014Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article13
2012Illiquidity, 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
2021The 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]		article0
2015US stock market regimes and oil price shocks In: Global Finance Journal.
[Full Text][Citation analysis]		article36
2015US stock market regimes and oil price shocks.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 36		paper
2008Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article34
2008Volatility forecasting: Intra-day versus inter-day models.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2010The efficiency of Greek public pension fund portfolios In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article8
2013Revisiting mutual fund performance evaluation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article31
2012Revisiting Mutual Fund Performance Evaluation.(2012) In: MPRA Paper.
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This paper has another version. Agregated cites: 31		paper
2015Stock market dispersion, the business cycle and expected factor returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2009Idiosyncratic risk matters! A regime switching approach In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article14
2005Modeling risk for long and short trading positions In: Journal of Risk Finance.
[Full Text][Citation analysis]		article7
2005Modeling Risk for Long and Short Trading Positions.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2008Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market In: Managerial Finance.
[Full Text][Citation analysis]		article6
2007A robust VaR model under different time periods and weighting schemes In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article28
2007A 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
2008Value-at-Risk for Greek Stocks In: Multinational Finance Journal.
[Full Text][Citation analysis]		article4
2014Global Style Portfolios Based on Country Indices In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2007Backtesting VaR Models: A ?wo-Stage Procedure In: MPRA Paper.
[Full Text][Citation analysis]		paper11
2007Backtesting VaR Models: A ?wo-Stage Procedure.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2008Volatility forecasting: intra-day vs. inter-day models In: MPRA Paper.
[Full Text][Citation analysis]		paper4
2004The Use of GARCH Models in VaR Estimation In: MPRA Paper.
[Full Text][Citation analysis]		paper96
2014Global portfolio management under state dependent multiple risk premia In: Proceedings of Economics and Finance Conferences.
[Full Text][Citation analysis]		paper9
2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread In: Applied Financial Economics.
[Full Text][Citation analysis]		article17
2007Does idiosyncratic risk matter? Evidence from European stock markets In: Applied Financial Economics.
[Full Text][Citation analysis]		article2
2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article11
2009ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION In: New Mathematics and Natural Computation (NMNC).
[Full Text][Citation analysis]		article4

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