Christina Nikitopoulos-Sklibosios : Citation Profile

Are you Christina Nikitopoulos-Sklibosios?

University of Technology Sydney (50% share)
University of Technology Sydney (50% share)

5

H index

2

i10 index

76

Citations

RESEARCH PRODUCTION:

12

Articles

18

Papers

2

Books

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 4
   Journals where Christina Nikitopoulos-Sklibosios has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 22 (22.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni44
   Updated: 2020-08-09    RAS profile: 2020-05-06    
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Relations with other researchers

Works with:

Schlogl, Erik (8)

Chiarella, Carl (3)

Kang, Boda (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christina Nikitopoulos-Sklibosios.

Is cited by:

Schlogl, Erik (6)

Platen, Eckhard (5)

Ratti, Ronald (4)

Gnoatto, Alessandro (4)

Vespignani, Joaquin (4)

Pallavicini, Andrea (2)

Bouri, Elie (2)

Roubaud, David (2)

GUPTA, RANGAN (2)

Dimpfl, Thomas (2)

Balcilar, Mehmet (2)

Cites to:

Chiarella, Carl (61)

Platen, Eckhard (28)

Jarrow, Robert (26)

Chen, Zhiwu (22)

Cao, Charles (22)

Duffie, Darrell (20)

Schlogl, Erik (18)

White, Alan (16)

Singleton, Kenneth (14)

Kang, Boda (12)

White, Alan (11)

Main data

Where Christina Nikitopoulos-Sklibosios has published?

Journals with more than one article published# docs
Journal of Banking & Finance2
Asia-Pacific Financial Markets2
Journal of Futures Markets2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney17

Recent works citing Christina Nikitopoulos-Sklibosios (2019 and 2018)

YearTitle of citing document
2017Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527.

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2018Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Tavin, Bertrand ; Schneider, Lorenz. In: Papers. RePEc:arx:papers:1802.01393.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Papers. RePEc:arx:papers:1810.09112.

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2019Term structure modeling for multiple curves with stochastic discontinuities. (2019). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1810.09882.

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2019Real-world forward rate dynamics with affine realizations. (2019). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.05072.

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2020Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2019). Liu, Ruihua ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:1908.04900.

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2019Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:568-611.

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2019Determination of Causality in Prices of Crude Oil. (2019). Sarwat, Salman ; Ahmed, Farhan ; Aqil, Muhammad ; Kashif, Muhammad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-37.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017The asymmetric volatility in the gold market revisited. (2017). Todorova, Neda. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:138-141.

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2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

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2019A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:23-33.

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2017Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method. (2017). Ewald, Christian-Oliver ; Chen, Jilong. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:144-151.

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2018From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:185-202.

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2019A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jimmy E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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2019Assessing the relationship between dependence and volume in stock markets: A dynamic analysis. (2019). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:90-97.

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2017Pricing corporate bonds and constructing credit curves in a developing country: The case of the Taiwan bond fund crisis. (2017). Lee, Shyan Yuan ; Chung, Yi-Fang ; Wan- Jiun Paul Chiou, . In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:261-274.

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2017Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries. (2017). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Globalization Institute Working Papers. RePEc:fip:feddgw:311.

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2019Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks. (2019). Hamori, Shigeyuki ; Kinkyo, Takuji ; Takiguchi, Tetsuya ; Tanaka, Katsuyuki ; Cai, Xiaojing ; Luo, Zhaojie. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:9-:d:195801.

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2019Generalized Mean-Reverting 4/2 Factor Model. (2019). Gong, Zhenxian ; Escobar-Anel, Marcos ; Cheng, Yuyang. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:159-:d:274079.

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2019Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function. (2019). Kapusta-Duch, Joanna ; Niemiec, Marcin ; Kubo, Maciej ; Sikora, Jakub ; Szelg-Sikora, Anna ; Kajrunajtys, Danuta ; Malik, Gabriela ; Grodek-Szostak, Zofia. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:15:p:4144-:d:253615.

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2018Global Commodity Prices and Global Stock Volatility Shocks. (2018). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: MPRA Paper. RePEc:pra:mprapa:84250.

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2019Adjustment to Risk Free Rate/ Violation of Put-Call Parity. (2019). Simozar, Saied. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:6:y:2019:i:6:p:80-96.

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2020Term structure modelling for multiple curves with stochastic discontinuities. (2020). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5.

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2017Calibrating a market model with stochastic volatility to commodity and interest rate risk. (2017). Schlogl, Erik ; Pilz, K F ; Karlsson, P. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:907-925.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:2-2017.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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2019Solving Selected Problems on American Option Pricing with the Method of Lines. (2019). Taruvinga, Belssing. In: PhD Thesis. RePEc:uts:finphd:4-2019.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395.

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2017Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?. (2017). Chan, Kam Fong ; Gray, Philip. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:1:p:71-89.

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Works by Christina Nikitopoulos-Sklibosios:

YearTitleTypeCited
2006First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]		article2
2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
[Full Text][Citation analysis]		article8
2012Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series.
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2017Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2003A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article6
2004A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series.
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This paper has another version. Agregated cites: 6		paper
2009Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article0
2009Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series.
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This paper has another version. Agregated cites: 0		paper
2003An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003.
[Citation analysis]		paper0
2015Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		book0
2007A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2010Real-world jump-diffusion term structure models In: Quantitative Finance.
[Full Text][Citation analysis]		article11
2005A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions In: PhD Thesis.
[Full Text][Citation analysis]		book0
2004A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2007A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2005A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2007Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2010Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility In: Research Paper Series.
[Full Text][Citation analysis]		paper7
2011Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2013CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2012Alternative Term Structure Models for Reviewing Expectations Puzzles In: Research Paper Series.
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2013The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper13
2016The Return–Volatility Relation in Commodity Futures Markets.(2016) In: Journal of Futures Markets.
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2015Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2016Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2016Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2016Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2018Pricing American Options with Jumps in Asset and Volatility In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2019The Impact of Jumps on American Option Pricing: The S&P 100 Options Case In: Research Paper Series.
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2019Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0

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