Christina Nikitopoulos-Sklibosios : Citation Profile


Are you Christina Nikitopoulos-Sklibosios?

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

7

H index

5

i10 index

140

Citations

RESEARCH PRODUCTION:

16

Articles

22

Papers

2

Books

RESEARCH ACTIVITY:

   19 years (2003 - 2022). See details.
   Cites by year: 7
   Journals where Christina Nikitopoulos-Sklibosios has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 23 (14.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni44
   Updated: 2023-01-28    RAS profile: 2023-01-04    
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Relations with other researchers


Works with:

Schlogl, Erik (3)

Prokopczuk, Marcel (2)

Konstandatos, Otto (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:

Ratti, Ronald (12)

Vespignani, Joaquin (12)

Schlogl, Erik (8)

Platen, Eckhard (7)

Gnoatto, Alessandro (4)

Mu, Xiaoyi (3)

Balcilar, Mehmet (3)

GUPTA, RANGAN (3)

Bouri, Elie (3)

Chen, Yu-Fu (3)

Roubaud, David (3)

Cites to:

Chiarella, Carl (66)

Platen, Eckhard (35)

Jarrow, Robert (28)

Chen, Zhiwu (22)

Cao, Charles (22)

Duffie, Darrell (21)

Schlogl, Erik (20)

White, Alan (16)

Singleton, Kenneth (15)

Kang, Boda (14)

Kilian, Lutz (13)

Main data


Where Christina Nikitopoulos-Sklibosios has published?


Journals with more than one article published# docs
Energy Economics4
Asia-Pacific Financial Markets2
Journal of Futures Markets2
Journal of Banking & Finance2
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, Sydney21

Recent works citing Christina Nikitopoulos-Sklibosios (2022 and 2021)


YearTitle of citing document
2021Multigrid Iterative Algorithms based on Compact Finite Difference Schemes and Hermite interpolation for Solving Regime Switching American Options. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2008.00925.

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2022Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2012.09820.

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2021Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556.

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2021On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01881.

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2021On Modelling of Crude Oil Futures in a Bivariate State-Space Framework. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01886.

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2021Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141.

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2021Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287.

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2022Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913.

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2022Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274.

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2022Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2022). Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:958-974.

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2022The evolution of day-of-the-week and the implications in crude oil market. (2022). Nor, Normaziah Mohd ; Wen, Fenghua ; Zhu, QI ; Li, Wenhui. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832200007x.

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2022Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. (2022). Wong, Patrick ; Ignatieva, Katja. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000561.

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2022Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249.

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2021The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Liang, Chao ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255.

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2022Investor sentiment and machine learning: Predicting the price of Chinas crude oil futures market. (2022). Zhang, Lin ; Wen, BO ; Owen, B ; Jiang, Zhe. In: Energy. RePEc:eee:energy:v:247:y:2022:i:c:s0360544222003747.

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2021Terrorist attacks and oil prices: Hypothesis and empirical evidence. (2021). Gong, Qiang ; Narayan, Paresh Kumar ; Bach, Dinh Hoang. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000120.

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2021Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes. (2021). Ndubuisi, Gideon ; Ozor, Jude ; Urom, Christian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:51-66.

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2021Speculation and informational efficiency in commodity futures markets. (2021). Bonnier, Jean-Baptiste. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s026156062100108x.

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2021Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167.

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2022Effects of fundamentals, geopolitical risk and expectations factors on crude oil prices. (2022). Visalakshmi, S ; Manickavasagam, Jeevananthan ; Gkillas, Konstantinos. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003324.

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2021Volatility regime, inverted asymmetry, contagion, and flights in the gold market. (2021). Tian, Yuan ; Chen, Meng-Wei ; Kung, Chih-Chun ; Chang, Meng-Shiuh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000299.

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2021Detecting lag linkage effect between economic policy uncertainty and crude oil price: A multi-scale perspective. (2021). Sun, Mei ; He, Huizi ; Li, Xiuming ; Gao, Cuixia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004192.

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2022On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis. (2022). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003727.

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2022Does the SDR stabilize investing in commodities?. (2022). Xu, Yang ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:160-172.

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2021Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy. (2021). Garcia, Fausto Pedro ; Acarolu, Hakan. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:22:p:7473-:d:675237.

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2022Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842.

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2021Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2021). Schlogl, Erik ; Rudd, Ralph ; Feng, YU ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:13-:d:474489.

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2021Gold and oil prices: abnormal returns, momentum and contrarian effects. (2021). Plastun, Alex ; Caporale, Guglielmo Maria. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-021-00380-w.

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2022Risk premia in the term structure of crude oil futures: long-run and short-run volatility components. (2022). Liu, Rui ; Boyd, Naomi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01032-w.

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2021Time Series Dynamics of Short Term Interest Rates in Turkey. (2021). Siklar, Ilyas. In: Business and Economic Research. RePEc:mth:ber888:v:11:y:2021:i:1:p:92-108.

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2022Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. (2022). Westgaard, Sjur ; Ouyang, Ruolan ; Ewald, Christian ; Chen, Jilong ; Xiao, Xiaoxia. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04198-7.

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2021Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model. (2021). Wen, Fenghua ; Yan, Lizhao ; Zhang, Ziting ; Liu, Jian. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00292-8.

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Works by Christina Nikitopoulos-Sklibosios:


YearTitleTypeCited
2006First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications.
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article2
2021Wind generation and the dynamics of electricity prices in Australia In: Energy Economics.
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article2
2020Wind Generation and the Dynamics of Electricity Prices in Australia.(2020) In: Research Paper Series.
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This paper has another version. Agregated cites: 2
paper
2022Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies In: Energy Economics.
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article0
2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
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article15
2012Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series.
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This paper has another version. Agregated cites: 15
paper
2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
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article6
2019Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series.
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This paper has another version. Agregated cites: 6
paper
2017Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance.
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article12
2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance.
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article14
2022Forecasting volatility in commodity markets with long-memory models In: Journal of Commodity Markets.
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article0
2003A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets.
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article7
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: 7
paper
2009Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets.
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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.
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paper0
2015Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance.
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book3
2007A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance.
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article0
2010Real-world jump-diffusion term structure models In: Quantitative Finance.
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article14
2005A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions In: PhD Thesis.
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book0
2004A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series.
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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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This paper has another version. Agregated cites: 2
article
2005A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series.
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paper0
2007Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series.
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paper2
2010Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility In: Research Paper Series.
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paper7
2011Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series.
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paper1
2013CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
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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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paper0
2013The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series.
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paper33
2016The Return–Volatility Relation in Commodity Futures Markets.(2016) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 33
article
2015Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series.
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paper4
2016Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series.
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paper3
2016Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series.
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paper5
2016Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series.
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paper3
2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series.
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paper3
2018Pricing American Options with Jumps in Asset and Volatility In: Research Paper Series.
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paper0
2019The Impact of Jumps on American Option Pricing: The S&P 100 Options Case In: Research Paper Series.
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2020Forecasting Commodity Markets Volatility: HAR or Rough? In: Research Paper Series.
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paper2
2020The Economic Impact of Volatility Persistence on Energy Markets In: Research Paper Series.
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paper0
2019Interest rate risk in long?dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets.
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article0

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