George Skiadopoulos : Citation Profile


Are you George Skiadopoulos?

University of Piraeus (50% share)
Queen Mary University of London (50% share)

12

H index

14

i10 index

513

Citations

RESEARCH PRODUCTION:

25

Articles

10

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 27
   Journals where George Skiadopoulos has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 21 (3.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psk19
   Updated: 2020-08-09    RAS profile: 2020-06-15    
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Relations with other researchers


Works with:

Daskalaki, Charoula (7)

Topaloglou, Nikolas (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with George Skiadopoulos.

Is cited by:

Alexander, Carol (19)

Guidolin, Massimo (19)

Nguyen, Duc Khuong (18)

Bernales, Alejandro (12)

Prokopczuk, Marcel (10)

Chevallier, Julien (10)

Bekiros, Stelios (8)

Uddin, Gazi (8)

AROURI, Mohamed (8)

Darné, Olivier (7)

Hammoudeh, Shawkat (7)

Cites to:

Fama, Eugene (10)

Bollerslev, Tim (9)

Campbell, John (9)

Svensson, Lars (8)

Pedersen, Lasse (8)

French, Kenneth (8)

Söderlind, Paul (8)

Ait-Sahalia, Yacine (7)

Bessembinder, Hendrik (7)

Bekaert, Geert (7)

KOSTAKIS, ALEXANDROS (7)

Main data


Where George Skiadopoulos has published?


Journals with more than one article published# docs
Journal of Banking & Finance8
International Journal of Forecasting3
International Journal of Theoretical and Applied Finance (IJTAF)3

Recent works citing George Skiadopoulos (2020 and 2019)


YearTitle of citing document
2019Benefits and Consequences of Diversification: Evidence from Financialzed Commodity Portfolios. (2019). Ekananda, Mahjus ; Handika, Rangga. In: Asian Business Research Journal. RePEc:ajn:abrjou:2019:p:17-28.

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2020Implied volatility smile dynamics in the presence of jumps. (2017). Kanniainen, Juho ; Barholm, Perttu ; Magris, Martin. In: Papers. RePEc:arx:papers:1711.02925.

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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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2019Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059.

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2020Decision-Making, Sub-Additive Recursive Matching Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences. (2020). Nwogugu, Michael C. In: Papers. RePEc:arx:papers:2005.01708.

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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886.

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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20140.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2018Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760.

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2017Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2018An Analysis of Gold Futures as an Alternative Asset: Evidence from India. (2018). Jaiswal, Ritika ; Uchil, Rashmi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-06-21.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2019Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301496.

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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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2017Hitting SKEW for SIX. (2017). faff, robert ; Liu, Zhangxin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:449-464.

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2019A key determinant of commodity price Co-movement: The role of daily market liquidity. (2019). Scheffel, Eric M ; Ding, Shusheng ; Zhang, Yongmin. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:170-180.

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2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

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2019Time-varying Variance Scaling: Application of the Fractionally Integrated ARMA Model. (2019). Cheng, Lee-Young ; Chang, Hung-Chou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:1-12.

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2019Reasonable evaluation of VIX options for the Taiwan stock index. (2019). Wang, Chiu-Ping ; Lin, Shin-Hung ; Huang, Hung-Hsi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:111-130.

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2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing. (2018). Guidolin, Massimo ; Pedio, Manuela ; Giampietro, Marta. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:685-702.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2018Which is the safe haven for emerging stock markets, gold or the US dollar?. (2018). Wen, Xiaoqian ; Cheng, Hua. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90.

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2018Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Badshah, Ihsan ; Uddin, Gazi Salah ; Lucey, Brian M ; Bekiros, Stelios. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

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2018Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177.

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2018The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments. (2018). Lopez, Raquel. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:356-364.

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2019The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models. (2019). Cagli, Efe Caglar ; Mandaci, Pinar Evrim ; Taskin, Dilvin. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354.

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2019Causality in quantiles and dynamic relations in energy markets: (De)tails matter. (2019). Andersson, Jonas ; Kyritsis, Evangelos. In: Energy Policy. RePEc:eee:enepol:v:133:y:2019:i:c:s0301421519305208.

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2019Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets. (2019). Demirer, Riza ; Hammoudeh, Shawkat ; Balcilar, Mehmet. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s030142151930518x.

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2019Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets. (2019). Goutte, Stéphane ; Jamali, Ibrahim ; Guesmi, Khaled ; Abid, Ilyes. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305403.

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2018Investigating dependencies among oil price and tanker market variables by copula-based multivariate models. (2018). Zhang, YI. In: Energy. RePEc:eee:energy:v:161:y:2018:i:c:p:435-446.

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2018What do we know about oil prices and stock returns?. (2018). Smyth, Russell ; Narayan, Paresh Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:148-156.

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2018Time varying volatility indices and their determinants: Evidence from developed and emerging stock markets. (2018). Prasad, Nalin ; Kim, Suk-Joong ; Grant, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:115-126.

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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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2019Identifying the multiscale financial contagion in precious metal markets. (2019). lucey, brian ; Wang, Xinya ; Huang, Shupei ; Liu, Huifang. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:209-219.

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2019A study of first generation commodity indices: Indices based on financial diversification. (2019). Six, Pierre ; Ahn, Jung-Hyun . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:194-200.

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2019Measuring the hedging effectiveness of commodities. (2019). Pavlova, Ivelina ; de Boyrie, Maria E ; Chunhachinda, Pornchai . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:201-207.

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2019Intraday information from S&P 500 Index futures options. (2019). , Nelson ; Chen, Ying ; Lim, Kian Guan. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55.

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2019Latin American Corporate Emerging Markets Bond Indices (CEMBIs): Their recent evolution. (2019). Santillan-Salgado, Roberto J ; Lopez-Herrera, Francisco ; Cabello, Alejandra. In: Global Finance Journal. RePEc:eee:glofin:v:41:y:2019:i:c:p:104-112.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2019Forecasting returns in the VIX futures market. (2019). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1193-1210.

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2019Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators. (2019). Palladini, Fabio ; Guizzardi, Andrea ; Ballestra, Luca Vincenzo. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1250-1262.

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2020A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2019Implied volatility surface predictability: The case of commodity markets. (2019). Sheenan, Lisa ; Shang, Han Lin ; Kearney, Fearghal. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302328.

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2020Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis. (2020). McGroarty, Frank ; McGee, Richard J ; Goodell, John W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302584.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2018Option-implied objective measures of market risk. (2018). Leiss, Matthias ; Nax, Heinrich H. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:241-249.

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2019Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors. (2019). Idume, Gabriel ; Yuni, Denis ; Anochiwa, Lasbrey ; Urom, Christian. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300246.

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2018Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach. (2018). Shahzad, Syed Jawad Hussain ; Raza, Syed ; Hussain, Syed Jawad ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:10-29.

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2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models. (2019). Ali, Sajid ; Raza, Naveed ; Salman, Aneel ; Ur, Mobeen ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:210-230.

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2019Risk appetite and the prices of precious metals. (2019). Qadan, Mahmoud. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:136-153.

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2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. (2019). Brooks, Robert ; Dash, Saumya Ranjan ; Maitra, Debasish ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912.

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2020Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices. (2020). Zoubi, Taisier A ; Alkhazali, Osamah M. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19303324.

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2020Dynamic return connectedness across global commodity futures markets: Evidence from time and frequency domains. (2020). Chen, Xiaodan ; Li, Xiafei ; Zhang, Zeming ; Wang, Yilin ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319326.

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2018The zero lower bound and market spillovers: Evidence from the G7 and Norway. (2018). Serletis, Apostolos ; Kyritsis, Evangelos . In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:100-123.

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2018Variance risk premium and equity returns. (2018). Papadamou, Stephanos ; Fassas, Athanasios P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:462-470.

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2020Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets. (2020). Mishra, Sibanjan ; Mohanty, Sunil K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918308109.

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2018Shipping risk management practice revisited: A new portfolio approach. (2018). VISVIKIS, ILIAS ; Alexandridis, George ; Song, Dong-Wook ; Sahoo, Satya. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:110:y:2018:i:c:p:274-290.

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2018Dynamic patterns of dry bulk freight spot rates through the lens of a time-varying coefficient model. (2018). Ko, Byoung-Wook. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:118:y:2018:i:c:p:319-330.

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2018A survey of shipping finance research: Setting the future research agenda. (2018). VISVIKIS, ILIAS ; Tsouknidis, Dimitris ; Kavussanos, Manolis ; Kim, Chi Y ; Alexandridis, George. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:115:y:2018:i:c:p:164-212.

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2018Explaining price differences between physical and derivative freight contracts. (2018). Adland, Roar ; Alizadeh, Amir H. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:118:y:2018:i:c:p:20-33.

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2019Crude oil contango arbitrage and the floating storage decision. (2019). Adland, Roar ; Regli, Frederik. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:122:y:2019:i:c:p:100-118.

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2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model. (2020). Angelopoulos, Jason ; Visvikis, Ilias D ; Sahoo, Satya. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311081.

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2020Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war. (2020). Li, Kevin X ; Gong, Yuting ; Shi, Wenming ; Chen, Shu-Ling. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:136:y:2020:i:c:s1366554519310609.

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2019Causality in Quantiles and Dynamic Relations in Energy Markets. (2019). Andersson, Jonas ; Kyritsis, Evangelos. In: Working Papers. RePEc:fer:wpaper:116.

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2019Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?. (2019). Mokni, Khaled ; Youssef, Manel . In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:3:p:70-:d:247077.

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2020Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management. (2020). Yang, Lu ; Hamori, Shigeyuki ; Tian, Shuairu ; Cai, Xiaojing. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:2:p:294-:d:306122.

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2018Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility. (2018). Naifar, Nader. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:72-:d:163414.

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2019Dynamic Responses of Major Equity Markets to the US Fear Index. (2019). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:156-:d:270481.

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2019Macro Asset Allocation with Social Impact Investments. (2019). Marinelli, Nicoletta ; Giacomini, Emanuela ; Cerqueti, Roy ; Biasin, Massimo ; Riccetti, Luca ; Quaranta, Anna Grazia. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3140-:d:237010.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2020Risk Management Opportunities between Socially Responsible Investments and Selected Commodities. (2020). Kuziak, Katarzyna ; Cupriak, Daniel ; Popczyk, Tomasz. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2003-:d:328908.

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2020Speculative Pressure. (2020). Fernandez-Perez, Adrian ; Hua, John ; Miffre, Joelle ; Fuertes, Ana-Maria. In: Post-Print. RePEc:hal:journl:hal-02500777.

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2018Is Commodity Index Investing Profitable?. (2018). Prokopczuk, Marcel ; Fethke, Tobias. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-635.

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2019Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2020Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility. (2020). Ma, Yong-Ki ; Jeon, Jaegi ; Huh, Jeonggyu. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-019-09883-1.

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2019Extreme spillovers of VIX fear index to international equity markets. (2019). Tongurai, Jittima ; Boonchoo, Pattana ; Padungsaksawasdi, Chaiyuth ; Cheuathonghua, Massaporn. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0323-6.

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2018Risk-adjusted option-implied moments. (2018). Brinkmann, Felix ; Korn, Olaf . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9136-4.

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2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

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2019Option-implied Value-at-Risk and the cross-section of stock returns. (2019). Feser, Alexander ; Ammann, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-019-09154-z.

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2018The use of option prices in order to evaluate the skewness risk premium. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas. In: Department of Economics. RePEc:mod:depeco:0132.

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2018The properties of a skewness index and its relation with volatility and returns. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas. In: Department of Economics. RePEc:mod:depeco:0133.

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2018Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339..

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2020Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: MPRA Paper. RePEc:pra:mprapa:100528.

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2018Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:84464.

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2019The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach. (2019). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet. In: Working Papers. RePEc:pre:wpaper:201915.

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2018Volatility persistence and asymmetry under the microscope: The role of information demand for gold and oil. (2018). Panagiotidis, Theodore ; Bampinas, Georgios ; Rouska, Christina. In: Working Paper series. RePEc:rim:rimwps:18-13.

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2018Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX. (2018). Koy, Ayben . In: Business and Economics Research Journal. RePEc:ris:buecrj:0327.

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2019Can commodities dominate stock and bond portfolios?. (2019). Westgaard, Sjur ; Pichler, Alois ; Sonsteng, Tom Erik ; Frydenberg, Stein . In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2996-7.

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2019Intraday forecasts of a volatility index: functional time series methods with dynamic updating. (2019). Kearney, Fearghal ; Yang, Yang ; Shang, Han Lin. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3108-4.

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2020Co-movements in commodity markets and implications in diversification benefits. (2020). Hamori, Shigeyuki ; Tian, Shuairu ; Chang, Youngho ; Fang, Zheng ; Cai, Xiao Jing. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:2:d:10.1007_s00181-018-1551-3.

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2019Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis. (2019). Fazelabdolabadi, Babak. In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0128-2.

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2020Tradability, closeness to market prices, and expected profit: their measurement for a binomial model of options pricing in a heterogeneous market. (2020). Herbon, Avi ; Shvimer, Yossi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00259-0.

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2020Hedging ship price risk using freight derivatives in the drybulk market. (2020). Bornes, Eirik A ; Ameln, Haakon ; Adland, Roar. In: Journal of Shipping and Trade. RePEc:spr:josatr:v:5:y:2020:i:1:d:10.1186_s41072-019-0056-3.

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2019Spillover across Eurozone credit market sectors and determinants. (2019). Bouri, Elie ; Bekiros, Stelios ; Roubaud, David ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Applied Economics. RePEc:taf:applec:v:51:y:2019:i:59:p:6333-6349.

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2017Arithmetic variance swaps. (2017). Leontsinis, Stamatis ; Alexander, Carol. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:551-569.

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2019Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:02.

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More than 100 citations found, this list is not complete...

Works by George Skiadopoulos:


YearTitleTypeCited
2001Simulating the Evolution of the Implied Distribution In: European Financial Management.
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article1
2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options In: Journal of Financial and Quantitative Analysis.
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article28
2017Diversification benefits of commodities: A stochastic dominance efficiency approach In: Journal of Empirical Finance.
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article8
2016Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach.(2016) In: Working Papers.
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2016Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 8
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2008Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets In: Energy Economics.
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article15
2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market In: Journal of Financial Markets.
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article0
2016The effects of margin changes on commodity futures markets In: Journal of Financial Stability.
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article3
2014The Effects of Margin Changes on Commodity Futures Markets.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 3
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2014The Effects of Margin Changes on Commodity Futures Markets.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2011Are VIX futures prices predictable? An empirical investigation In: International Journal of Forecasting.
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article12
2011Are VIX futures prices predictable? An empirical investigation.(2011) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 12
article
2012Are freight futures markets efficient? Evidence from IMAREX In: International Journal of Forecasting.
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article10
2019Capital structure and financial flexibility: Expectations of future shocks In: Journal of Banking & Finance.
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article0
2014Capital Structure and Financial Flexibility: Expectations of Future Shocks.(2014) In: Working Papers.
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2004A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options In: Journal of Banking & Finance.
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article22
2007An empirical comparison of continuous-time models of implied volatility indices In: Journal of Banking & Finance.
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article48
2008Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices In: Journal of Banking & Finance.
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article60
2011Should investors include commodities in their portfolios after all? New evidence In: Journal of Banking & Finance.
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article132
2012Volatility spillovers and the effect of news announcements In: Journal of Banking & Finance.
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article37
2014Are there common factors in individual commodity futures returns? In: Journal of Banking & Finance.
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article38
2016How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns In: Journal of Banking & Finance.
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article8
2014How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2011Market Timing with Option-Implied Distributions: A Forward-Looking Approach In: Management Science.
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article35
2000The Dynamics of the S&P 500 Implied Volatility Surface In: Review of Derivatives Research.
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article15
2018A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion In: Working Papers.
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2018Positive Stock Information In Out-Of-The-Money Option Prices In: Working Papers.
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paper1
2018The Contribution of Frictions to Expected Returns In: Working Papers.
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2004The Greek implied volatility index: construction and properties In: Applied Financial Economics.
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article19
2020Learning and Index Option Returns In: Journal of Business & Economic Statistics.
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article0
2006Volatility options: Hedging effectiveness, pricing, and model error In: Journal of Futures Markets.
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article12
2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY In: International Journal of Theoretical and Applied Finance (IJTAF).
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article3
2005IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2
2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH In: International Journal of Theoretical and Applied Finance (IJTAF).
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article4
2015Modeling the Dynamics of Temperature with a View to Weather Derivatives In: World Scientific Book Chapters.
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