Lazaros Symeonidis : Citation Profile


Are you Lazaros Symeonidis?

University of Essex

5

H index

4

i10 index

128

Citations

RESEARCH PRODUCTION:

8

Articles

1

Papers

RESEARCH ACTIVITY:

   7 years (2012 - 2019). See details.
   Cites by year: 18
   Journals where Lazaros Symeonidis has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 3 (2.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psy57
   Updated: 2021-09-25    RAS profile: 2021-02-11    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Prokopczuk, Marcel (3)

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

Is cited by:

GUPTA, RANGAN (13)

Degiannakis, Stavros (13)

Filis, George (10)

Prokopczuk, Marcel (9)

McAleer, Michael (5)

Asai, Manabu (5)

Pierdzioch, Christian (4)

Nikitopoulos-Sklibosios, Christina (3)

Vásquez Cordano, Arturo (3)

Lin, Boqiang (3)

Buncic, Daniel (3)

Cites to:

Bollerslev, Tim (15)

Andersen, Torben (11)

Diebold, Francis (9)

Patton, Andrew (9)

Corsi, Fulvio (7)

Markellos, Raphael (6)

West, Kenneth (6)

Wu, Liuren (6)

Newey, Whitney (6)

Bekaert, Geert (5)

Jagannathan, Ravi (5)

Main data


Where Lazaros Symeonidis has published?


Journals with more than one article published# docs
Journal of Banking & Finance2
Journal of Futures Markets2

Recent works citing Lazaros Symeonidis (2021 and 2020)


YearTitle of citing document
2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

Full description at Econpapers || Download paper

2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

Full description at Econpapers || Download paper

2021Systemic risk and economic policy uncertainty: International evidence from the crude oil market. (2021). Yang, Lu ; Hamori, Shigeyuki. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:142-158.

Full description at Econpapers || Download paper

2021Impacts of asymmetry on forecasting realized volatility in Japanese stock markets. (2021). Ota, Yasushi ; Maki, Daiki. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s026499932100122x.

Full description at Econpapers || Download paper

2020Commodity price volatility and the economic uncertainty of pandemics. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301890.

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

2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

Full description at Econpapers || Download paper

2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

Full description at Econpapers || Download paper

2020Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

Full description at Econpapers || Download paper

2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

Full description at Econpapers || Download paper

2020Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases. (2020). Sousa, Ricardo ; Hammoudeh, Shawkat ; Castro, Vitor ; Agnello, Luca. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302024.

Full description at Econpapers || Download paper

2021A closer look into the global determinants of oil price volatility. (2021). Filis, George ; Gabauer, David ; Filippidis, Michail ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320304321.

Full description at Econpapers || Download paper

2020Commodity prices and GDP growth. (2020). Tang, KE ; Ge, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301563.

Full description at Econpapers || Download paper

2020Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Tang, Linchun ; Liang, Chao ; Wei, YU. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964.

Full description at Econpapers || Download paper

2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379.

Full description at Econpapers || Download paper

2020Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors. (2020). Putnam, Kyle J ; Adhikari, Ramesh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300680.

Full description at Econpapers || Download paper

2020Macro factors and the realized volatility of commodities: A dynamic network analysis. (2020). Zhang, Dayong ; Wei, Lijian ; Ji, Qiang ; Hu, Min. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720303718.

Full description at Econpapers || Download paper

2020The predictive power of oil price shocks on realized volatility of oil: A note. (2020). Shahzad, Syed Jawad Hussain ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874.

Full description at Econpapers || Download paper

2020When US sneezes, clichés spread: How do the commodity index funds react then?. (2020). Phani, B V ; Rahman, Abdul ; Ahmad, Wasim ; Awasthi, Kritika. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308898.

Full description at Econpapers || Download paper

2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

Full description at Econpapers || Download paper

2021Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329.

Full description at Econpapers || Download paper

2021Dynamic impact of the U.S. monetary policy on oil market returns and volatility. (2021). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:159-169.

Full description at Econpapers || Download paper

2021Implied volatility of structured warrants: Emerging market evidence. (2021). Sifat, Imtiaz Mohammad ; Mohamad, Azhar ; Murad, Najmi Ismail. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:464-479.

Full description at Econpapers || Download paper

2020Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

Full description at Econpapers || Download paper

2020Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:291-307.

Full description at Econpapers || Download paper

2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

Full description at Econpapers || Download paper

2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

Full description at Econpapers || Download paper

2020Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets. (2020). el Meslmani, Nabil ; Lee, Seungho ; Switzer, Lorne N. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309808.

Full description at Econpapers || Download paper

2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

Full description at Econpapers || Download paper

2021Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?. (2021). Smutka, Luboš ; Prochazka, Petr ; Wielechowski, Micha ; Czech, Katarzyna ; Kotyza, Pavel. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:2:p:93-:d:484771.

Full description at Econpapers || Download paper

2021The Financialization of Crude Oil Markets and Its Impact on Market Efficiency: Evidence from the Predictive Ability and Performance of Technical Trading Strategies. (2021). ANGHEL, Andrei ; Tudor, Cristiana. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:15:p:4485-:d:600832.

Full description at Econpapers || Download paper

2021Forecasting Commodity Prices: Looking for a Benchmark. (2021). Rubaszek, Micha ; Kwas, Marek. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:27-459:d:577877.

Full description at Econpapers || Download paper

2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bonato, Matteo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539.

Full description at Econpapers || Download paper

2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). Low, Rand ; Rad, Hossein ; Faff, Robert ; Miffre, Joelle. In: Post-Print. RePEc:hal:journl:hal-02868473.

Full description at Econpapers || Download paper

2021The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike G ; Murphy, Anthony. In: Working Papers. RePEc:liv:livedp:202109.

Full description at Econpapers || Download paper

2020Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Lunde, Asger ; Wei, Wei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-10.

Full description at Econpapers || Download paper

2020Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:100705.

Full description at Econpapers || Download paper

2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202009.

Full description at Econpapers || Download paper

2020Short-term price volatility and reversion rate in mineral commodity markets. (2020). Garcia, Diego ; Guzman, Juan Ignacio. In: Mineral Economics. RePEc:spr:minecn:v:33:y:2020:i:1:d:10.1007_s13563-019-00190-7.

Full description at Econpapers || Download paper

2021Forecasting Chinas Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect. (2021). Huang, Dengshi ; M. I. M. Wahab, ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:921-941.

Full description at Econpapers || Download paper

2020Volatility term structures in commodity markets. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:527-555.

Full description at Econpapers || Download paper

2020Volatility forecasts embedded in the prices of crude‐oil options. (2020). Tsiaras, Leonidas ; Gilder, Dudley . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1127-1159.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Volatility?of?volatility risk in the crude oil market. (2021). Zhao, Yang ; Xu, Yahua ; Touranirad, Alireza ; Roh, Taiyong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:245-265.

Full description at Econpapers || Download paper

2020Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data. (2020). Wang, Weining ; Mustafayeva, Konul. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020025.

Full description at Econpapers || Download paper

Works by Lazaros Symeonidis:


YearTitleTypeCited
2015Electricity futures prices in an emissions constrained economy: Evidence from European power markets In: The Energy Journal.
[Full Text][Citation analysis]
article2
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
[Full Text][Citation analysis]
article29
2012Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2019The information content of short-term options In: Journal of Financial Markets.
[Full Text][Citation analysis]
article1
2017Variance risk in commodity markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article16
2018Covariance forecasting in equity markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article3
2019The economic drivers of commodity market volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article9
2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts In: Journal of Futures Markets.
[Full Text][Citation analysis]
article14
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
[Full Text][Citation analysis]
article54

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