Timotheos Angelidis : Citation Profile


Are you Timotheos Angelidis?

University of Peloponnese

9

H index

8

i10 index

164

Citations

RESEARCH PRODUCTION:

18

Articles

13

Papers

RESEARCH ACTIVITY:

   10 years (2005 - 2015). See details.
   Cites by year: 16
   Journals where Timotheos Angelidis has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 7 (4.09 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pan135
   Updated: 2018-08-18    RAS profile: 2018-07-11    
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Relations with other researchers


Works with:

Degiannakis, Stavros (4)

Filis, George (3)

Andrikopoulos, Andreas (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 (16)

Floros, Christos (8)

Louzis, Dimitrios (6)

Zagaglia, Paolo (4)

Liu, Zhuoshi (4)

Filis, George (4)

Gabrielsen, Alexandros (4)

Miralles Quirós, Jose (3)

Corazza, Marco (2)

Filer, Randall (2)

Haug, Alfred (2)

Cites to:

Degiannakis, Stavros (26)

Giot, Pierre (22)

Laurent, Sébastien (21)

Bollerslev, Tim (20)

Campbell, John (15)

French, Kenneth (15)

Engle, Robert (14)

Diebold, Francis (13)

Fama, Eugene (13)

Jagannathan, Ravi (10)

Hansen, Peter (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, Germany8
Working Papers / University of Crete, Department of Economics2
Working Papers / Bank of Greece2

Recent works citing Timotheos Angelidis (2018 and 2017)


YearTitle of citing document
2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

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2017A Double-Exponential Jump model and its application to risk measure in Wheat spot market. (2017). Huang, Xiaoying. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00459.

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2018Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku . In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248.

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2018Oil price shocks and uncertainty: How stable is their relationship over time?. (2018). Filis, George ; Degiannakis, Stavros ; Panagiotakopoulou, Sofia. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:42-53.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2017The performance of long-serving fund managers. (2017). Clare, Andrew . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:152-159.

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2017On the short-term predictability of stock returns: A quantile boosting approach. (2017). Pierdzioch, Christian ; Demirer, Riza ; Zhang, Huacheng . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:35-41.

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2018Does feedback trading drive returns of cross-listed shares?. (2018). Chen, Jing ; McMillan, David G ; Hou, Wenxuan ; Dong, Yizhe. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:179-199.

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2018The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Basher, Syed Abul ; Sadorsky, Perry ; Haug, Alfred A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

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2017Frequency aspects of information transmission in a network of three western equity markets. (2017). Schmidbauer, Harald ; Uluceviz, Erhan ; Rosch, Angi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:933-946.

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2018On the interdependence of natural gas and stock markets under structural breaks. (2018). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161.

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2018Idiosyncratic volatility, conditional liquidity and stock returns. (2018). Malagon, Juliana ; Rodriguez, Rosa ; Moreno, David. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:118-132.

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2017The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market. (2017). Hong, Minh Thi . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:30-40.

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2017On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:61-74.

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2018A survey of shipping finance research: Setting the future research agenda. (2018). VISVIKIS, ILIAS ; Tsouknidis, Dimitris ; Kim, Chi Y ; Kavussanos, Manolis G ; Alexandridis, George. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:115:y:2018:i:c:p:164-212.

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2018Assessment of the Technological Changes Impact on the Sustainability of State Security System of Ukraine. (2018). Yemelyanov, Olexandr ; Lesyk, Lilia ; Petrushka, Tetyana ; Symak, Anastasiya. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:4:p:1186-:d:141119.

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2018The Impact of Unsystematic Risk on Stock Returns in an Emerging Capital Markets (ECM¡¯s) Country: An Empirical Study. (2018). Masry, Mohamed ; el Menshawy, Heba. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:9:y:2018:i:1:p:189-202.

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2017The Effect of Corporate International Diversification on Firm Risk. (2017). Kwak, Charee. In: Discussion Papers. RePEc:kbb:dpaper:2017-17.

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2017Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets. (2017). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku . In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1701.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Working Papers. RePEc:otg:wpaper:1710.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: MPRA Paper. RePEc:pra:mprapa:81638.

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2017Harmful Diversification: Evidence from Alternative Investments. (2017). Platanakis, Emmanouil ; Sutcliffe, Charles ; Sakkas, Athanasios . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-09.

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2017Does persistence in idiosyncratic risk proxy return-reversals?. (2017). Sarafidis, Vasilis ; Nath, Harmindar B. In: Journal of Banking and Financial Economics. RePEc:sgm:jbfeuw:v:2:y:2017:i:8:p:27-53.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2017Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620.

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2017Comprehensive market microstructure model: considering the inventory holding costs. (2017). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:18:y:2017:i:2:p:183-201.

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2017Idiosyncratic volatility and stock returns: Indian evidence. (2017). Aziz, Tariq ; McMillan, David ; Ansari, Valeed Ahmad. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1420998.

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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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article7
2006The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange.(2006) In: Working Papers.
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paper
2010Idiosyncratic Risk in Emerging Markets In: The Financial Review.
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article12
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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paper13
2008Idiosyncratic volatility and equity returns: UK evidence In: International Review of Financial Analysis.
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article10
2010Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach In: International Review of Financial Analysis.
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article3
2014Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers In: International Review of Financial Analysis.
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article1
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: 1
paper
2015US stock market regimes and oil price shocks In: Global Finance Journal.
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article9
2015US stock market regimes and oil price shocks.(2015) In: MPRA Paper.
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paper
2008Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money.
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article21
2010The efficiency of Greek public pension fund portfolios In: Journal of Banking & Finance.
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article6
2013Revisiting mutual fund performance evaluation In: Journal of Banking & Finance.
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article10
2012Revisiting Mutual Fund Performance Evaluation.(2012) In: MPRA Paper.
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2015Stock market dispersion, the business cycle and expected factor returns In: Journal of Banking & Finance.
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article2
2009Idiosyncratic risk matters! A regime switching approach In: International Review of Economics & Finance.
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article10
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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article20
2007A Robust VaR Model under Different Time Periods and Weighting Schemes.(2007) In: MPRA Paper.
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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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paper0
2007Backtesting VaR Models: A Τwo-Stage Procedure In: MPRA Paper.
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paper2
2008Volatility forecasting: intra-day vs. inter-day models In: MPRA Paper.
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2005Modeling Risk for Long and Short Trading Positions In: MPRA Paper.
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paper6
2014Global portfolio management under state dependent multiple risk premia In: Proceedings of Economics and Finance Conferences.
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paper3
2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread In: Applied Financial Economics.
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article10
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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article2
2009ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION In: New Mathematics and Natural Computation (NMNC).
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