4
H index
0
i10 index
45
Citations
Christina Nikitopoulos-Sklibosios : Citation Profile
University of Technology Sydney (50% share) | RESEARCH PRODUCTION: 10 Articles 16 Papers 2 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2003 - 2017). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Christina Nikitopoulos-Sklibosios. | Is cited by:
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Main data
Where Christina Nikitopoulos-Sklibosios has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Asia-Pacific Financial Markets | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 15 |
Recent works citing Christina Nikitopoulos-Sklibosios (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527. Full description at Econpapers || Download paper |
| 2018 | The Samuelson Effect and Seasonal Stochastic Volatility in Agricultural Futures Markets. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Papers. RePEc:arx:papers:1802.01393. Full description at Econpapers || Download paper |
| 2017 | Investigating 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. Full description at Econpapers || Download paper |
| 2017 | Can 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. Full description at Econpapers || Download paper |
| 2017 | The 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. Full description at Econpapers || Download paper |
| 2017 | Pricing 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. Full description at Econpapers || Download paper |
| 2017 | Pricing 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 ; Chiou, Wan-Jiun Paul ; Wan- Jiun Paul Chiou, . In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:261-274. Full description at Econpapers || Download paper |
| 2017 | Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries. (2017). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:311. Full description at Econpapers || Download paper |
| 2018 | Global Commodity Prices and Global Stock Volatility Shocks. (2018). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: MPRA Paper. RePEc:pra:mprapa:84250. Full description at Econpapers || Download paper |
| 2017 | Calibrating 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. Full description at Econpapers || Download paper |
| 2017 | Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37. Full description at Econpapers || Download paper |
| 2017 | Do 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. Full description at Econpapers || Download paper |
Works by Christina Nikitopoulos-Sklibosios:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 1 |
| 2013 | Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics. [Full Text][Citation analysis] | article | 4 |
| 2012 | Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2017 | Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2003 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 6 |
| 2004 | A 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: 6 | paper | |
| 2009 | Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
| 2009 | Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2003 | An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
| 2015 | Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 0 |
| 2007 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Real-world jump-diffusion term structure models In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2005 | A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions In: PhD Thesis. [Full Text][Citation analysis] | book | 0 |
| 2004 | A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2007 | A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2005 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2011 | Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | CREDIT 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 | |
| 2012 | Alternative Term Structure Models for Reviewing Expectations Puzzles In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2013 | The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2016 | The Return–Volatility Relation in Commodity Futures Markets.(2016) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2015 | Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team