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

4

i10 index

116

Citations

RESEARCH PRODUCTION:

13

Articles

19

Papers

2

Books

RESEARCH ACTIVITY:

   17 years (2003 - 2020). See details.
   Cites by year: 6
   Journals where Christina Nikitopoulos-Sklibosios has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 23 (16.55 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni44
   Updated: 2021-10-16    RAS profile: 2020-12-11    
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Relations with other researchers

Works with:

Schlogl, Erik (7)

Prokopczuk, Marcel (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)

Balcilar, Mehmet (3)

GUPTA, RANGAN (3)

Roubaud, David (3)

Chen, Yu-Fu (3)

Bouri, Elie (3)

Mu, Xiaoyi (3)

Cites to:

Chiarella, Carl (64)

Platen, Eckhard (28)

Jarrow, Robert (26)

Cao, Charles (22)

Chen, Zhiwu (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
Journal of Futures Markets2
Asia-Pacific Financial Markets2
Journal of Banking & Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2
Energy Economics2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney18

Recent works citing Christina Nikitopoulos-Sklibosios (2021 and 2020)

YearTitle of citing document
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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2020Existence of equivalent local martingale deflators in semimartingale market models. (2020). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2006.01572.

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2020The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838.

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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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2021Explicit 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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2020Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects. (2020). Plastun, Alex ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8445.

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2020Global commodity prices and global stock market volatility shocks: Effects across countries. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:71:y:2020:i:c:s1049007820301299.

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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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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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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). Li, Xiuming ; Gao, Cuixia ; Sun, Mei ; He, Huizi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004192.

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2020Did China’s ICO ban alter the Bitcoin market?. (2020). Lin, Boqiang ; Okorie, David. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:977-993.

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

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2020Revising the Impact of Global Commodity Prices and Global Stock Market Volatility Shocks: Effects across Countries*. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Bd, Ronald Ratti ; Kang, Wensheng . In: Working Papers. RePEc:hal:wpaper:hal-03071532.

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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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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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2020Gold Prices Volatility among Major Events and During the Current COVID-19 Outbreak. (2020). Badkook, Roaa Osama ; Lamouchi, Rim Ammar. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_4.

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2020Revising the impact of global commodity prices and global stock market volatility shocks: effects across countries. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Working Papers. RePEc:tas:wpaper:34827.

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2020Information Leakage in Energy Derivatives around News Announcements. (2020). Patel, Vinay ; Bohmann, Marc. In: Published Paper Series. RePEc:uts:ppaper:2020-2.

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2020Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:412.

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2020The theory of storage in the crude oil futures market, the role of financial conditions. (2020). Manera, Matteo ; Behmiri, Niaz Bashiri ; Ahmadi, Maryam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1160-1175.

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2020Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns. (2020). Diner, Hasan ; Alhan, Mehmet Ali ; Pinarbai, Fatih ; Yuksel, Serhat. In: World Scientific Book Chapters. RePEc:wsi:wschap:9789811210242_0006.

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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]		article15
2012Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series.
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2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
[Full Text][Citation analysis]		article2
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: 2		paper
2017Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
2003A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article7
2004A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		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]		article13
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).
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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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2013The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper28
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]		paper4
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.
[Full Text][Citation analysis]		paper0
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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