Vasiliki Skintzi : Citation Profile


Are you Vasiliki Skintzi?

University of the Peloponnese

5

H index

3

i10 index

129

Citations

RESEARCH PRODUCTION:

9

Articles

2

Papers

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 8
   Journals where Vasiliki Skintzi has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 1 (0.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psk22
   Updated: 2021-10-16    RAS profile: 2020-02-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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

Is cited by:

Kollias, Christos (4)

Papadamou, Stephanos (4)

GUPTA, RANGAN (3)

Conrad, Christian (3)

McAleer, Michael (3)

Weber, Enzo (3)

Hakim, Abdul (3)

Yoon, Seong-Min (3)

Novales, Alfonso (3)

Mensi, walid (2)

Jansen, W. Jos (2)

Cites to:

Bollerslev, Tim (11)

Engle, Robert (8)

Andersen, Torben (7)

Diebold, Francis (7)

Campbell, John (4)

Bekaert, Geert (4)

Corsi, Fulvio (4)

Wu, Eliza (3)

Baele, Lieven (3)

Harvey, Campbell (3)

Kim, Suk-Joong (3)

Main data


Where Vasiliki Skintzi has published?


Journals with more than one article published# docs
International Review of Financial Analysis3

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany2

Recent works citing Vasiliki Skintzi (2021 and 2020)


YearTitle of citing document
2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

Full description at Econpapers || Download paper

2021Feasible Implied Correlation Matrices from Factor Structures. (2021). Schadner, Wolfgang. In: Papers. RePEc:arx:papers:2107.00427.

Full description at Econpapers || Download paper

2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

Full description at Econpapers || Download paper

2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157.

Full description at Econpapers || Download paper

2021Dynamic spillover and connectedness between oil futures and European bonds. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302278.

Full description at Econpapers || Download paper

2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

Full description at Econpapers || Download paper

2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49.

Full description at Econpapers || Download paper

2020Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302015.

Full description at Econpapers || Download paper

2021A network perspective of comovement and structural change: Evidence from the Chinese stock market. (2021). Yang, Xin ; Cao, Jinde ; Deng, Yunke ; Huang, Chuangxia. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001125.

Full description at Econpapers || Download paper

2020Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects. (2020). Gokmenoglu, Korhan ; al Al, Abobaker. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318307323.

Full description at Econpapers || Download paper

2020Stochastic volatility models for the implied correlation index.. (2020). Escobar Anel, Marcos ; Fang, Lin. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930056x.

Full description at Econpapers || Download paper

2020Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach. (2020). Echaust, Krzysztof ; Just, Magorzata. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612320315890.

Full description at Econpapers || Download paper

2021Flight-to-quality between global stock and bond markets in the COVID era. (2021). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Fassas, Athanasios P ; Papadamou, Stephanos. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316664.

Full description at Econpapers || Download paper

2021Trade policy uncertainty and its impact on the stock market -evidence from China-US trade conflict. (2021). Wang, Ziwei ; Lucey, Brian ; He, Feng. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320309715.

Full description at Econpapers || Download paper

2021Ex-Ante Risk Factors and Required Structures of the Implied Correlation Matrix. (2021). Schadner, Wolfgang. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s154461232031669x.

Full description at Econpapers || Download paper

2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

Full description at Econpapers || Download paper

2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

Full description at Econpapers || Download paper

2020Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Corbet, Shaen ; Akyildirim, Erdinc. In: International Review of Law and Economics. RePEc:eee:irlaec:v:63:y:2020:i:c:s0144818819301991.

Full description at Econpapers || Download paper

2021Who is the center of local currency Asian government bond markets?. (2021). Miyakoshi, Tatsuyoshi ; Tsukuda, Yoshihiko ; Shimada, Junji. In: Japan and the World Economy. RePEc:eee:japwor:v:59:y:2021:i:c:s0922142521000220.

Full description at Econpapers || Download paper

2021The numerical simulation of Quanto option prices using Bayesian statistical methods. (2021). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309274.

Full description at Econpapers || Download paper

2021Multiscale stock-bond correlation: Implications for risk management. (2021). McMillan, David ; Alomari, Mohammad ; al Rababaa, Abdel Razzaq. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000568.

Full description at Econpapers || Download paper

2021Who’s behind the wheel? The role of social and media news in driving the stock–bond correlation. (2021). Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababaa, Abdel Razzaq ; Alomari, Mohammad. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:3:d:10.1007_s11156-021-00967-4.

Full description at Econpapers || Download paper

2020Asymmetric Return and Volatility Transmission in Euro Zone and Baltic Countries Stock Markets. (2020). Chirila, Ciprian. In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xx:y:2020:i:2:p:2-11.

Full description at Econpapers || Download paper

2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Working Papers. RePEc:ucr:wpaper:202009.

Full description at Econpapers || Download paper

2020Managing Exchange Rate Risk with Derivatives: An Application of the Hedge Ratio. (2020). BELASCU, LUCIAN ; Popescu, Consuela-Elena ; Horobet, Alexandra ; Vrinceanu, Georgiana. In: Izvestiya. RePEc:vrn:journl:y:2020:i:3:p:316-327.

Full description at Econpapers || Download paper

2020Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602.

Full description at Econpapers || Download paper

Works by Vasiliki Skintzi:


YearTitleTypeCited
2014Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article9
2012Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2016Realized hedge ratio: Predictability and hedging performance In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article2
2019Determinants of stock-bond market comovement in the Eurozone under model uncertainty In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article10
2017Determinants of stock-bond market comovement in the Eurozone under model uncertainty.(2017) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2006Volatility spillovers and dynamic correlation in European bond markets In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article60
2016On the predictability of model-free implied correlation In: International Journal of Forecasting.
[Full Text][Citation analysis]
article3
2007Evaluation of correlation forecasting models for risk management In: Journal of Forecasting.
[Full Text][Citation analysis]
article2
2017High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article5
2020Predictive ability and economic gains from volatility forecast combinations In: Journal of Forecasting.
[Full Text][Citation analysis]
article1
2005Implied correlation index: A new measure of diversification In: Journal of Futures Markets.
[Full Text][Citation analysis]
article37

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team