Christina Nikitopoulos-Sklibosios : Citation Profile


Are you Christina Nikitopoulos-Sklibosios?

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

4

H index

0

i10 index

45

Citations

RESEARCH PRODUCTION:

10

Articles

16

Papers

2

Books

RESEARCH ACTIVITY:

   14 years (2003 - 2017). See details.
   Cites by year: 3
   Journals where Christina Nikitopoulos-Sklibosios has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 18 (28.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni44
   Updated: 2018-11-17    RAS profile: 2017-11-13    
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Relations with other researchers


Works with:

Schlogl, Erik (5)

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:

Vespignani, Joaquin (4)

Schlogl, Erik (4)

Platen, Eckhard (4)

Ratti, Ronald (4)

Gnoatto, Alessandro (3)

Pallavicini, Andrea (2)

Bouri, Elie (1)

Akahori, Jiro (1)

Balcilar, Mehmet (1)

Brigo, Damiano (1)

Xia, Xiao-Hua (1)

Cites to:

Chiarella, Carl (40)

Platen, Eckhard (28)

Jarrow, Robert (19)

Duffie, Darrell (15)

Cao, Charles (12)

Schlogl, Erik (12)

Chen, Zhiwu (12)

Singleton, Kenneth (11)

White, Alan (9)

Кабанов, Юрий (9)

White, Alan (8)

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 Markets2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney15

Recent works citing Christina Nikitopoulos-Sklibosios (2018 and 2017)


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

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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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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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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 ; 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.

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2017Global 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.

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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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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:37.

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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.
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article1
2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
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article4
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: 4
paper
2017Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance.
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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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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.
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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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book0
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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article6
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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paper1
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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paper9
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: 9
article
2015Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series.
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paper2
2016Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series.
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paper2
2016Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series.
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paper0
2016Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series.
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paper2
2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series.
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paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team