Dimitris Georgoutsos : Citation Profile


Are you Dimitris Georgoutsos?

Athens University of Economics and Business (AUEB)

8

H index

6

i10 index

209

Citations

RESEARCH PRODUCTION:

23

Articles

19

Papers

2

Chapters

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 6
   Journals where Dimitris Georgoutsos has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 7 (3.24 %)

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   Permalink: http://citec.repec.org/pge234
   Updated: 2023-04-01    RAS profile: 2021-12-14    
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Relations with other researchers


Works with:

Kouretas, Georgios (2)

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

Is cited by:

Sosvilla-Rivero, Simon (10)

Gómez-Puig, Marta (9)

Caporale, Guglielmo Maria (7)

Kouretas, Georgios (5)

Girardi, Alessandro (5)

Scholtens, Bert (5)

Azali, M. (4)

CAPELLE-BLANCARD, Gunther (4)

Jimenez-Martin, Juan (4)

Crifo, Patricia (4)

Lee, Chin (4)

Cites to:

Johansen, Soren (65)

juselius, katarina (36)

Taylor, Mark (16)

Pagano, Marco (15)

Bekaert, Geert (11)

MacDonald, Ronald (11)

Fratzscher, Marcel (10)

Diebold, Francis (10)

Gómez-Puig, Marta (9)

von Hagen, Juergen (9)

Kouretas, Georgios (8)

Main data


Where Dimitris Georgoutsos has published?


Journals with more than one article published# docs
Applied Financial Economics5
Journal of International Financial Markets, Institutions and Money3

Working Papers Series with more than one paper published# docs
Working Papers / University of Crete, Department of Economics12
Working Papers / Bank of Greece4
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance2

Recent works citing Dimitris Georgoutsos (2022 and 2021)


YearTitle of citing document
2022.

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2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2021EMU deepening and sovereign debt spreads: using political space to achieve policy space. (2021). Pérez, Javier ; Kataryniuk, Iván ; Perez, Javier J ; Mora-Bajen, Victor. In: Working Papers. RePEc:bde:wpaper:2103.

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2022Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046.

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2021Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9027.

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2022Sovereign Credit Spreads, Banking Fragility, and Global Factors. (2022). Valenzuela, Patricio ; Martinez, Juan Francisco ; Garces, Felipe ; Chari, Anusha. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:957.

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2021Fragmentation in the European Monetary Union: Is it really over?. (2021). Luisi, Angelo ; Candelon, Bertrand ; Roccazzella, Francesco. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_016.

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2021Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96.

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2021COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?. (2021). Tripier, Fabien ; Ortmans, Aymeric. In: European Economic Review. RePEc:eee:eecrev:v:137:y:2021:i:c:s0014292121001537.

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2022Sovereign and bank dependence in the eurozone: A multi-scale approach using wavelet-network analysis. (2022). Bales, Stephan. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002514.

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2023Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17.

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2022Financial Contagion of Russian Companies from the Oil Market under the Influence of Sanctions and Pandemic Shock. (2022). Ovcharov, Anton O ; Yu, Marina. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:220401:p:8-28.

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2021Machine Learning in Finance: A Metadata-Based Systematic Review of the Literature. (2021). Warin, Thierry ; Stojkov, Aleksandar. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:302-:d:587602.

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2022Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets.. (2022). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:202217.

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2022Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period. (2022). Rout, Sanjay Kumar ; Mallick, Hrushikesh. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:4:d:10.1007_s10690-022-09371-x.

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2022Testing for UIP-Type Relationships: Nonlinearities, Monetary Announcements and Interest Rate Expectations. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: Open Economies Review. RePEc:kap:openec:v:33:y:2022:i:4:d:10.1007_s11079-021-09640-8.

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2023Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT). (2023). Navarro, Angeles M ; Lopez-Martin, Carmen ; Benito, Sonia. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00106-w.

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2023Does BRRD mitigate the bank-to-sovereign risk channel?. (2023). Vennet, Rudi Vander ; Soenen, Nicolas ; Present, Thomas ; Lamers, Martien. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:23/1060.

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2022.

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2021Neural networks in financial trading. (2021). Sermpinis, Georgios ; Rosillo, Rafael ; Karathanasopoulos, Andreas ; Fuente, David. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-019-03144-y.

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2022The forecasting of consumer exchange-traded funds (ETFs) via grey relational analysis (GRA) and artificial neural network (ANN). (2022). Chen, Jo-Hui ; Malinda, Maya. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02039-x.

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Works by Dimitris Georgoutsos:


YearTitleTypeCited
2006Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network In: CeNDEF Working Papers.
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paper11
2008Direction-of-change forecasting using a volatility-based recurrent neural network.(2008) In: Journal of Forecasting.
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article
2006Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models In: CeNDEF Working Papers.
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paper1
2012Benchmark Bonds Interactions under Regime Shifts In: European Financial Management.
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article7
2009Benchmark bonds interactions under regime shifts.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
2010European sovereign bond spreads: monetary unification, market conditions and financial integration. In: Working Papers.
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paper8
2012Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability? In: Working Papers.
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paper40
2013Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?.(2013) In: Journal of Banking & Finance.
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article
2018Risk perceptions and fundamental effects on sovereign spreads In: Working Papers.
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paper1
2001A MULTIVARIATE I(2) COINTEGRATION ANALYSIS OF GERMAN HYPERINFLATION In: Working Papers.
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paper7
2004A Multivariate I(2) cointegration analysis of German hyperinflation.(2004) In: Applied Financial Economics.
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article
2001COMMON STOCHASTIC TRENDS IN INTERNATIONAL STOCK MARKETS: TESTING IN AN INTEGRATED FRAMEWORK In: Working Papers.
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paper8
2001The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America In: Working Papers.
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paper1
1995THE POUND STERLING AND FRANC POINCARE IN THE 1920S: LONG-RUN RELATIONSHIPS, SPECULATION AND TEMPORAL STABILITY In: Working Papers.
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paper0
2000The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability.(2000) In: Applied Financial Economics.
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article
1995TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS In: Working Papers.
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paper3
1998Temporal aggregation in structural VAR models.(1998) In: Applied Stochastic Models and Data Analysis.
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article
1995COINTEGRATION TESTS OF THE MONETARY EXCHANGE RATE MODEL: THE CANADIAN-U.S. DOLLAR, 1970 - 1994 In: Working Papers.
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paper0
1995THE MONETARY APPROACH TO THE EXCHANGE RATE: LONG-RUN RELATIONSHIPS, IDENTIFICATION AND TEMPORAL STABILITY In: Working Papers.
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paper13
1998The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability.(1998) In: Journal of Macroeconomics.
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article
1995THE MONETARY EXCHANGE RATE MODEL: FRAGILE EVIDENCE FROM COINTEGRATION TESTS In: Working Papers.
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paper0
1995LONG-RUN PURCHASING POWER PARITY: HOW SURE ARE WE THAT COINTEGRATION EXISTS? In: Working Papers.
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paper0
1996COINTEGRATION TESTS OF FORWARD MARKET EFFICIENCY DURING THE 1920s In: Working Papers.
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paper0
1999The Monetary Model in the Presence of I (2) Components: A Cointegration Analysis In: Working Papers.
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paper1
1999Interest Parity, the Term Structure and Cointegration: an Integrated Approach In: Working Papers.
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1990Monopolistic competition and the Q theory of investment In: European Economic Review.
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article36
2016Interest parity, cointegration, and the term structure: Testing in an integrated framework In: International Review of Financial Analysis.
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article0
2005Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance In: Journal of International Financial Markets, Institutions and Money.
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article24
2008Testing the forward rate unbiasedness hypothesis during the 1920s In: Journal of International Financial Markets, Institutions and Money.
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article3
2017Bank-sovereign contagion in the Eurozone: A panel VAR Approach In: Journal of International Financial Markets, Institutions and Money.
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article7
2000The monetary model in the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the Greek drachma In: Journal of International Money and Finance.
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article11
2016Treasury yields and credit spread dynamics: A regime-switching approach In: The Journal of Economic Asymmetries.
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article2
2008The extreme-value dependence of Asia-Pacific equity markets In: Journal of Multinational Financial Management.
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article8
2002Cointegration, Uncoverd Interest Parity and the Term Structure of Interest Rates: Some International Evidence In: European Research Studies Journal.
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article2
2019Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices In: JRFM.
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article3
2021On the informative value of the EU-wide stress tests and the determinants of banks’ stock return reactions In: Empirica.
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2020On the informative value of the EU-wide stress tests and the determinants of banks’ stock return reactions.(2020) In: MPRA Paper.
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2017The Relevance of the Monetary Model for the Euro / USD Exchange Rate Determination: a Long Run Perspective In: Open Economies Review.
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article0
2021Regime Switches in the Yield Curve-Credit Spread Relationship and the Prediction of Recessions In: Springer Books.
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2007Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus In: Applied Financial Economics.
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article6
2013European sovereign bond spreads: financial integration and market conditions In: Applied Financial Economics.
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article2
1997The monetary model of the exchange rate and the Greek drachma in the 1920s In: Applied Financial Economics.
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article1
2008Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index In: The European Journal of Finance.
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article3
2020Determinants of Euro-Area Bank CDS Spreads In: World Scientific Book Chapters.
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