Angelos Kanas : Citation Profile


Are you Angelos Kanas?

University of Piraeus (90% share)
Government of Greece (10% share)

11

H index

17

i10 index

589

Citations

RESEARCH PRODUCTION:

74

Articles

9

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 25
   Journals where Angelos Kanas has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 15 (2.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka1239
   Updated: 2020-08-01    RAS profile: 2020-07-01    
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Relations with other researchers


Works with:

Kanas, Angelos (3)

Zervopoulos, Panagiotis (3)

Molyneux, Philip (2)

Kanas, Angelos (2)

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

Is cited by:

Kouretas, Georgios (19)

Liew, Venus (15)

Lim, Kian-Ping (12)

Navarro-Ibáñez, Manuel (10)

Prats, Maria (10)

Holmes, Mark (9)

Asongu, Simplice (9)

Chkili, Walid (9)

Chang, Tsangyao (9)

Nguyen, Duc Khuong (8)

Ma, Yue (8)

Cites to:

Campbell, John (43)

French, Kenneth (20)

Taylor, Mark (20)

Phillips, Peter (19)

Shiller, Robert (19)

Kanas, Angelos (18)

Kanas, Angelos (18)

Sarno, Lucio (18)

Clarida, Richard (17)

Kanas, Angelos (16)

Granger, Clive (16)

Main data


Where Angelos Kanas has published?


Journals with more than one article published# docs
Journal of International Financial Markets, Institutions and Money8
International Journal of Finance & Economics7
Applied Economics Letters7
International Journal of Finance & Economics5
Review of Quantitative Finance and Accounting4
Journal of Economics and Finance4
Journal of International Money and Finance4
Journal of Forecasting3
Economia Internazionale / International Economics3
Applied Financial Economics3
Journal of Business Finance & Accounting3
International Review of Economics & Finance2
Journal of Banking & Finance2
European Journal of Operational Research2
Economic Modelling2
International Journal of Theoretical and Applied Finance (IJTAF)2
Empirical Economics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Crete, Department of Economics6

Recent works citing Angelos Kanas (2020 and 2019)


YearTitle of citing document
2019Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey. (2019). Seidens, Sebastian ; Ryll, Lukas. In: Papers. RePEc:arx:papers:1906.07786.

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2019Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries. (2019). Mustafa, Khalid ; Ahmed, Zobia Israr. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:111-132.

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2019Economic Cycle and the Large-Scale Asset Allocation Strategy of Chinese National Social Security Fund. (2019). Tang, Zijie. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:1405-1418.

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2017The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph. In: Working Papers. RePEc:bav:wpaper:174_weber.

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2020The financial distress pricing puzzle in banking firms. (2020). Lee, Inro ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1351-1384.

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2019Payout policy and ownership structure: The case of Islamic and conventional banks. (2019). Warsame, Mohammed ; Duqi, Andi ; Jaafar, Aziz. In: Working Papers. RePEc:bng:wpaper:19010.

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2020Effects of Macroeconomic Environment on Non-Performing Loans and Financial Stability: Case of Bosnia and Herzegovina. (2020). Kozari, Kemal ; Delihodi, Emina Uni. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:2:p:5-17.

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2017Fool’s Gold: Currency Devaluations and Stock Prices of Multinational Companies Operating in Venezuela. (2017). Santos, Miguel ; Molina Manzano, Carlos ; Bahar, Dany. In: CID Working Papers. RePEc:cid:wpfacu:83a.

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2019Ownership structure, board characteristics and dividend policy: evidence from the Warsaw Stock Exchange. (2019). Pieloch-Babiarz, Aleksandra. In: Ekonomia i Prawo. RePEc:cpn:umkeip:v:18:y:2019:i:3:p:317-330.

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2018Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. (2018). Mikhaylov, Alexey Yurievich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-39.

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2020Payout policy and ownership structure: The case of Islamic and conventional banks. (2020). Warsame, Mohammed H ; Jaafar, Aziz ; Duqi, Andi. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:1:s0890838919300320.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

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2017Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104.

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2019Relationships among regional housing markets: Evidence on adjustments of housing burden. (2019). Tsai, I-Chun ; I-Chun Tsai, . In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:309-318.

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2019Geographical spillovers on the relation between risk-taking and market power in the US banking sector. (2019). Pino Saldías, Gabriel ; Rodriguez, Alejandro ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:351-364.

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2019Financial contagion and flight to quality between emerging markets and U.S. bond market. (2019). Gulolu, Bulent ; Soylu, Pinar Kaya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304042.

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2020Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, María ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633.

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2018A semi-parametric panel data analysis on financial development-economic volatility nexus in developing countries. (2018). Zouaoui, Haykel ; Ellouz, Nidhal Ziedi ; Mazioud, Manel . In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:50-55.

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2019Impact of an unexplained component of real exchange rate volatility on FDI: Evidence from transition countries. (2019). Živkov, Dejan ; Milenkovi, Ivan ; Balaban, Suzana. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518300414.

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2017Effect of partial cross ownership on supply chain performance. (2017). Chen, Jiguang ; Song, Jing-Sheng ; Hu, Qiying. In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:2:p:525-536.

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2020Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.

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2019Stock returns and real growth: A Bayesian nonparametric approach. (2019). Yang, Qiao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:53-69.

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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115.

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2019Regime switching effect of financial development on energy intensity: Evidence from Markov-switching vector error correction model. (2019). Guo, Ranran ; Saima, Umme ; Uddin, Md Kamal ; Pan, Xiongfeng. In: Energy Policy. RePEc:eee:enepol:v:135:y:2019:i:c:s0301421519305828.

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2019A time varying approach on the price elasticity of electricity in India during 1975–2013. (2019). Tiwari, Aviral ; Menegaki, Angeliki N. In: Energy. RePEc:eee:energy:v:183:y:2019:i:c:p:385-397.

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2019Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

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2019Profitability shocks and recovery in time of crisis evidence from European banks. (2019). di Battista, Maria Luisa ; Cucinelli, Doriana ; Bongini, Paola ; Nieri, Laura. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:233-239.

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2019A new macro stress testing approach for financial realignment in the Eurozone. (2019). Apergis, Emmanuel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:52-80.

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2019Corporate governance and financial stability in US banks: Do indirect interlocks matter?. (2019). Salama, Aly ; Abdelbadie, Roba Ashraf. In: Journal of Business Research. RePEc:eee:jbrese:v:104:y:2019:i:c:p:85-105.

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2019Exchange rates, oil prices and world stock returns. (2019). Sakaki, Hamid ; Mollick, Andre Varella. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:585-602.

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2019The impact of social and environmental sustainability on financial performance: A global analysis of the banking sector. (2019). Nagayev, Ruslan ; Dewandaru, Ginanjar ; Ng, Adam ; Nizam, Esma ; Nkoba, Malik Abdulrahman. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:35-53.

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2018Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data. (2018). Kanda, Patrick ; GUPTA, RANGAN ; Burke, Michael. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1060-1080.

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2019Explaining future market return and evaluating market condition with common preferred spread index. (2019). Cho, Poongjin ; Ku, Seungmo ; Lee, Changju ; Chang, Woojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:921-934.

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2018Volatility spillovers between foreign exchange and stock markets in industrialized countries. (2018). Sosvilla-Rivero, Simon ; Morales-Zumaquero, Amalia . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:121-136.

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2020Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies. (2020). Chaiechi, Taha ; Nguyen, Trang ; Low, David ; Eagle, Lynne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:308-324.

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2018Exchange rate volatility and the stability of stock prices. (2018). Blau, Benjamin M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:299-311.

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2017The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. (2017). Berke, Burcu ; Bajo-Rubio, Oscar ; McMillan, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:577-589.

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2018Spillover effect of US dollar on the stock indices of BRICS. (2018). Naresh, G ; Thiyagarajan, S ; Mahalakshmi, S ; Vasudevan, Gopala. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:359-368.

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2019Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies. (2019). Liu, Jingzhen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:243-257.

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2020Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series. (2020). Zhao, Xiaofang ; Ke, Jinchuan ; Xu, Chao. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:4908-:d:372235.

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2017Diversité du conseil dadministration et politique de dividende des grands groupes bancaires systémiques : théories et investigations empiriques. (2017). Dannon, Hodonou ; Dumoulin, Regis ; Vernier, Eric. In: Post-Print. RePEc:hal:journl:hal-01856607.

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2019International Financial US Linkages: Networks Theory and MS-VAR Analyses. (2019). Cabello, Alejandra ; Ortiz, Edgar ; Sosa, Miriam. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:459-584.

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2019Active portfolio management in the Andean countries stock markets with Markov-Switching GARCH models. (2019). Alvarez-Garcia, Jose ; Aguilasocho-Montoya, Dora ; de la Torre-Torres, Oscar V. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:601-616.

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20192000 Families Research: Some Findings and Potential for Future Research. (2019). Guvel, Aye. In: Journal of Economy Culture and Society. RePEc:ist:iujecs:v:60:y:2019:i:1:p:87-104.

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2019Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An MS-VAR Approach. (2019). Gunduz, Lhami ; Kal, Suleyman Hilmi. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:69:y:2019:i:1:p:1-22.

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2018Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia?. (2018). Lau, Wee-Yeap ; Go, You-How. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:2:d:10.1007_s10690-018-9244-7.

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2020The Profitability in the FTSE 100 Index: A New Markov Chain Approach. (2020). Nicolau, Joo ; Riedlinger, Flavio Ivo. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09282-4.

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2017Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria. (2017). Adi, Agya. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:3:y:2017:i:1:p:29-38.

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2017A Study of Granger Causality in Latin American Stock Markets. (2017). Dash, Mihir. In: Journal of Applied Management and Investments. RePEc:ods:journl:v:6:y:2017:i:2:p:82-88.

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2017Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan. (2017). Withanage, Yeshan ; Jayasinghe, Prabhath . In: MPRA Paper. RePEc:pra:mprapa:82782.

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2017The impact of exchange rate volatility on capital flows in BRICS economies. (2017). Bonga-Bonga, Lumengo ; Gnagne, Pascal Xavier. In: MPRA Paper. RePEc:pra:mprapa:84773.

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2017Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Liu, Ruipeng. In: Working Papers. RePEc:pre:wpaper:201728.

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2017Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data. (2017). Kanda, Patrick ; GUPTA, RANGAN ; Burke, Michael. In: Working Papers. RePEc:pre:wpaper:201778.

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2020The Impact of Exchange Rate Volatility on the Security Markets in BRICS Economies. (2020). Bonga-Bonga, Lumengo ; Gnagne, Pascal Xavier. In: Economia Internazionale / International Economics. RePEc:ris:ecoint:0862.

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2019The Asymmetric Impact of Macroeconomic Shocks on Stock Returns in Turkey: A Nonlinear ARDL Approach. (2019). Altintas, Halil ; Yacouba, Kassouri. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2019:i:2:p:98-116.

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2019.

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2019The impact of the US stock market opening on price discovery of government bond futures. (2019). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:779-802.

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2019The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants. (2019). Stolper, Oscar ; Fischer, Henning. In: Discussion Papers. RePEc:zbw:bubdps:082019.

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Works by Angelos Kanas:


YearTitleTypeCited
2005Pure Contagion Effects in International Banking: The Case of BCCI´s Failure In: Journal of Applied Economics.
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article3
2005Pure contagion effects in international banking: The case of BCCIÂ’s failure.(2005) In: Journal of Applied Economics.
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This paper has another version. Agregated cites: 3
article
2002Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries In: The Financial Review.
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article17
2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence In: Journal of Business Finance & Accounting.
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article79
2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence.(2000) In: Journal of Business Finance & Accounting.
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This paper has another version. Agregated cites: 79
article
2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence.(2000) In: Journal of Business Finance & Accounting.
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article
2001VOLATILITY SPILLOVERS BETWEEN THE BLACK MARKET AND OFFICIAL MARKET FOR FOREIGN CURRENCY IN GREECE In: Journal of Financial Research.
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article2
2005MODELLING THE US/UK REAL EXCHANGE RATE-REAL INTEREST RATE DIFFERENTIAL RELATION: A MULTIVARIATE REGIME SWITCHING APPROACH In: Manchester School.
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article2
2001A cointegration approach to the lead-lag effect among size-sorted equity portfolios In: Working Papers.
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paper8
2005A cointegration approach to the lead-lag effect among size-sorted equity portfolios.(2005) In: International Review of Economics & Finance.
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article
2008Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US In: Working Papers.
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paper6
2010Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US.(2010) In: Panoeconomicus.
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1998Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests In: Working Papers.
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1998Linkages between the US and European equity markets: further evidence from cointegration tests.(1998) In: Applied Financial Economics.
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1998Testing for Nonlinear Granger Causality from fundamentals to Exchange Rates in ERM In: Working Papers.
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2000Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM.(2000) In: Journal of International Financial Markets, Institutions and Money.
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1999Volatility Spillovers between the Black and Official Market for foreign Currency in Greece In: Working Papers.
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1999Mean and Variance Causality of Black and Official Exchange Rates: Evidence from four Latin American Countries In: Working Papers.
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2005Regime linkages between the Mexican currency market and emerging equity markets In: Economic Modelling.
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2012Modelling the risk–return relation for the S&P 100: The role of VIX In: Economic Modelling.
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2005Regime (non)stationarity in the US/UK real exchange rate In: Economics Letters.
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article29
2015Dividend policy, managerial ownership and debt financing: A non-parametric perspective In: European Journal of Operational Research.
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2020Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value In: European Journal of Operational Research.
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2005Real or monetary? The US/UK real exchange rate, 1921-2002 In: Journal of International Financial Markets, Institutions and Money.
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2012Revisiting bank profitability: A semi-parametric approach In: Journal of International Financial Markets, Institutions and Money.
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2013U.S. prompt corrective action and bank risk In: Journal of International Financial Markets, Institutions and Money.
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2014Bond futures, inflation-indexed bonds, and inflation risk premium In: Journal of International Financial Markets, Institutions and Money.
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2014Default risk and equity prices in the U.S. banking sector: Regime switching effects of regulatory changes In: Journal of International Financial Markets, Institutions and Money.
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2015Information revelation in the Greek exchange opening call: Daily and intraday evidence In: Journal of International Financial Markets, Institutions and Money.
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2018Macro stress testing the U.S. banking system In: Journal of International Financial Markets, Institutions and Money.
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2008On real interest rate dynamics and regime switching In: Journal of Banking & Finance.
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2013Bank dividends, risk, and regulatory regimes In: Journal of Banking & Finance.
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2000Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM In: Journal of International Money and Finance.
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2005Regime linkages in the US/UK real exchange rate-real interest differential relation In: Journal of International Money and Finance.
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2005Nonlinearity in the stock price-dividend relation In: Journal of International Money and Finance.
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2008Overview of the special issue on Euro area expansion: Current state and future prospects In: Journal of International Money and Finance.
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2007Regime dependence between the official and parallel foreign currency markets for US dollars in Greece In: Journal of Macroeconomics.
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2003Regime Dependence between the Official and Parallel Foreign Currency Markets for US Dollars in Greece.(2003) In: EcoMod2004.
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1997Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis In: Journal of Multinational Financial Management.
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article16
2001Comparing linear and nonlinear forecasts for stock returns In: International Review of Economics & Finance.
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2005Real interest rates linkages between the USA and the UK in the postwar period In: International Journal of Finance & Economics.
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2009Real exchange rates and developing countries In: International Journal of Finance & Economics.
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article1
2009Regime switching in stock index and futures markets: a note on the NIKKEI evidence In: International Journal of Finance & Economics.
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2010Causality from real stock returns to real activity: evidence of regime-dependence In: International Journal of Finance & Economics.
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2001Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece. In: International Journal of Finance & Economics.
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2001Neural Network Linear Forecasts for Stock Returns. In: International Journal of Finance & Economics.
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2004Contagion in banking due to BCCIs failure: evidence from national equity indices In: International Journal of Finance & Economics.
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2003Non-linear forecasts of stock returns In: Journal of Forecasting.
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2004Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting In: Journal of Forecasting.
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2008Modeling regime transition in stock index futures markets and forecasting implications In: Journal of Forecasting.
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2014Uncovering a positive risk-return relation: the role of implied volatility index In: Review of Quantitative Finance and Accounting.
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article1
2014The impact of prompt corrective action on the default risk of the U.S. commercial banking sector In: Review of Quantitative Finance and Accounting.
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2019Semi-parametric real exchange rates dynamics In: Review of Quantitative Finance and Accounting.
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2020Systemic risk-shifting in U.S. commercial banking In: Review of Quantitative Finance and Accounting.
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2006Purchasing Power Parity and Markov Regime Switching In: Journal of Money, Credit and Banking.
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article25
2019Hedge fund activism, voice, and value creation In: MPRA Paper.
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2001Hedging Exchange Rate Economic Exposure: Real Options Or Currency Options? In: Economia Internazionale / International Economics.
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2000Exchange Rate Economic Exposure under Collusive Pricing and Hedging Using Asian Currency Options In: Economia Internazionale / International Economics.
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2007Stock Market and the Macroeconomy: A Regime Switching Approach In: Economia Internazionale / International Economics.
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2004Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios In: Empirical Economics.
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2013The risk-return relation and VIX: evidence from the S&P 500 In: Empirical Economics.
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2009The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006 In: Journal of Economics and Finance.
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2009Real exchange rate, stationarity, and economic fundamentals In: Journal of Economics and Finance.
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2010A note on the relation between the equity risk premium and the term structure In: Journal of Economics and Finance.
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2012Revisiting the forward—spot relation: an application of the nonparametric long-run correlation coefficient In: Journal of Economics and Finance.
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2003Non-linear cointegration between stock prices and dividends In: Applied Economics Letters.
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2016Causality in EU macroeconomic variables In: Applied Economics Letters.
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1997Nonlinear dependence in British pound exchange rates In: Applied Economics Letters.
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1998Long-run benefits from international equity diversification: a note on the Canadian evidence In: Applied Economics Letters.
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1998Testing for a unit root in ERM exchange rates in the presence of structural breaks: evidence from the bootstrap In: Applied Economics Letters.
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1999A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market In: Applied Economics Letters.
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2002Mean and variance spillovers among size-sorted UK equity portfolios In: Applied Economics Letters.
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1997The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis In: Applied Financial Economics.
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1998Volatility spillovers across equity markets: European evidence In: Applied Financial Economics.
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2019A multi-parametric method for bias correction of DEA efficiency estimators In: Journal of the Operational Research Society.
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2013IMPLIED VOLATILITY AND THE RISK‐RETURN RELATION: A NOTE In: International Journal of Finance & Economics.
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2014BANK DIVIDENDS, REAL GDP GROWTH AND DEFAULT RISK In: International Journal of Finance & Economics.
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2017Equity flows, stock returns and exchange rates In: International Journal of Finance & Economics.
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2018Public policy and financial stability: The impact of PCA and TARP on U.S. bank non‐performing loans In: International Journal of Finance & Economics.
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2019Bank competition, stability, and intervention quality In: International Journal of Finance & Economics.
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2004HOW BANKING SYSTEM IN POST-SOVIET ECONOMIES ASSIST TO THEIR DEVELOPMENT. THE CASE STUDY OF ARMENIA In: Econometrics.
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2004TESTING FOR PURE CONTAGION EFFECTS IN INTERNATIONAL BANKING: THE CASE OF BCCIS FAILURE In: International Journal of Theoretical and Applied Finance (IJTAF).
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2008A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT In: International Journal of Theoretical and Applied Finance (IJTAF).
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2001NEURAL NETWORK VS LINEAR MODELS OF STOCK RETURNS: AN APPLICATION TO THE UK AND GERMAN STOCK MARKET INDICES In: World Scientific Book Chapters.
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