Panayiotis Theodossiou : Citation Profile


Are you Panayiotis Theodossiou?

Rutgers University-Camden

10

H index

10

i10 index

406

Citations

RESEARCH PRODUCTION:

16

Articles

2

Papers

RESEARCH ACTIVITY:

   24 years (1991 - 2015). See details.
   Cites by year: 16
   Journals where Panayiotis Theodossiou has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 6 (1.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pth130
   Updated: 2021-10-16    RAS profile: 2016-01-02    
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Relations with other researchers


Works with:

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

Is cited by:

Savva, Christos (14)

McDonald, James (11)

Galbraith, John (6)

Delis, Manthos (5)

faff, robert (5)

Novales, Alfonso (5)

BenSaïda, Ahmed (5)

Osborn, Denise (4)

Mora-Valencia, Andrés (4)

Valadkhani, Abbas (4)

Tsouknidis, Dimitris (4)

Cites to:

McDonald, James (24)

Bollerslev, Tim (10)

Newey, Whitney (8)

Engle, Robert (7)

Schwert, G. (3)

Mandelbrot, Benoît (3)

Hansen, Bruce (3)

Harvey, Campbell (3)

Fiebig, Denzil (3)

Jeon, Bang (2)

French, Kenneth (2)

Main data


Where Panayiotis Theodossiou has published?


Journals with more than one article published# docs
The Financial Review2
Journal of Economics and Business2
Multinational Finance Journal2

Recent works citing Panayiotis Theodossiou (2021 and 2020)


YearTitle of citing document
2020Margin trading and price efficiency: information content or price‐adjustment speed?. (2020). Lv, Dayong ; Wu, Wenfeng. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2889-2918.

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2020Does news travel slowly before a market crash? The role of margin traders. (2020). Li, Yan ; Qian, LI. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:3065-3101.

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2020Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments. (2020). Savva, Christos ; Tsouknidis, Dimitris ; Theodossiou, Panayiotis. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1097-1119.

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2020Clarifying managerial biases using a probabilistic framework. (2020). Theodossiou, Panayiotis ; Mascarenhas, Briance ; Ellina, Polina. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300459.

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2020A two-piece normal measurement error model. (2020). Santoro, Karol ; Ferreira, Clecio S ; Azzalini, Adelchi ; Arellano-Valle, Reinaldo B. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s016794731930218x.

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2021Impulse response analysis in conditional quantile models with an application to monetary policy. (2021). Mizen, Paul ; Kim, Tae-Hwan ; Lee, Dongjin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000373.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2021Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components. (2021). Theodossiou, Panayiotis ; Savva, Christos ; Kosmidou, Kyriaki ; Ioannidis, Filippos. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000153.

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2021The impact of economic policy uncertainty on volatility of China’s financial stocks: An empirical analysis. (2021). Wu, Congxin ; Xu, Yan ; Wang, Zhuqing ; Luo, YI. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319314102.

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2021The impact of the coronavirus crisis on the market price of risk. (2021). Theodossiou, Panayiotis ; Savva, Christos S ; Delis, Manthos D. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301431.

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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.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2020Losing money on the margin. (2020). Rockey, James ; Ladley, Daniel ; Liu, Guanqing. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:172:y:2020:i:c:p:107-136.

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2020Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns. (2020). Atilgan, Yigit ; Demirtas, Ozgur K ; Bali, Turan G ; Gunaydin, Doruk A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:725-753.

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2021Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Shafiullah, Muhammad ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000192.

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2020Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process. (2020). Wyomaska, Agnieszka ; Bielak, Ukasz ; Szarek, Dawid. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303228.

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2020Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?. (2020). Alhadab, Mohammad ; Ahmed, Mohamed S. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:355-371.

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2020Inter- and intra-regional stock market relations for the GCC bloc. (2020). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310013.

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2021Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system. (2021). Naqvi, Bushra ; Abbas, Syed Kumail ; Umar, Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:163:y:2021:i:c:s0040162520312762.

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2021Weighted-average least squares (WALS): Confidence and prediction intervals. (2021). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: EIEF Working Papers Series. RePEc:eie:wpaper:2108.

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2020The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed. (2020). Satchell, Stephen ; Kang, Oh Kang. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:27-:d:316651.

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2021Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic. (2021). Shi, Kai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:112-:d:512945.

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2020A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis. (2020). Sperlich, Stefan ; Jorda, Vanesa ; Prieto, Faustino ; Sarabia, Jose Maria. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:32-:d:341113.

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2020Distributional Assumptions and the Estimation of Contingent Valuation Models. (2020). McDonald, James ; Chia, Bryan ; Walton, Daniel B. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09930-x.

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2020Compound distributions for financial returns. (2020). Nadarajah, Saralees ; Chan, Stephen ; Semeyutin, Artur ; Afuecheta, Emmanuel ; Perez, Diego Andres. In: PLOS ONE. RePEc:plo:pone00:0239652.

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2020A Coronavirus Asset Pricing Model: The Role of Skewness. (2020). Savva, Christos ; Delis, Manthos ; Theodossiou, Panayiotis. In: MPRA Paper. RePEc:pra:mprapa:100877.

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2021Corporate Financial Risk Assessment and Role of Big Data; New Perspective Using Fuzzy Analytic Hierarchy Process. (2021). Blteanu, Alina Mirela ; Wang, Xinyu ; Khurshid, Adnan ; Zhang, Huaiwen. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:181-199.

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2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

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2020A review of Student’s t distribution and its generalizations. (2020). Nadarajah, Saralees ; Li, Rui. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1570-0.

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2021Estimating risk premiums for regulated firms when accounting for reference-day variation and high-order moments of return volatility. (2021). Lye, Jenny ; Hirschberg, Joe. In: Environment Systems and Decisions. RePEc:spr:envsyd:v:41:y:2021:i:3:d:10.1007_s10669-021-09812-4.

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2020Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY. (2020). Huang, Paoyu ; Day, Min-Yuh ; Ni, Yensen. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00190-5.

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2020Margin trade, short sales and financial stability. (2020). Zheng, Huanhuan ; Zhang, Yang ; Sng, Hui Ying. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00256-3.

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2020Exchange-traded funds and FX volatility: Evidence from Turkey. (2020). Ekinci, Aykut ; Sakarya, Burchan . In: Central Bank Review. RePEc:tcb:cebare:v:20:y:2020:i:4:p:205-211.

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2021Weighted-average least squares (WALS): Confidence and prediction intervals. (2021). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210038.

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2020Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets. (2020). Hasan, Mohammad S ; Alexandridis, Antonios K. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:4:p:518-546.

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2021Analysing time difference and volatility linkages between China and the United States during financial crises and stable period using VARX?DCC?MEGARCH model. (2021). Tiwari, Aviral ; Shehzad, Khurram ; Rauf, Abdul ; Arif, Muhammad ; Liu, Xiaoxing. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:814-833.

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2021Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ?CoVaR risk metric?based copula approach. (2021). Yoon, Seongmin ; Mensi, Walid ; Hussain, Syed Jawad ; al Yahyaee, Khamis Hamed ; Alyahyaee, Khamis Hamed. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2904-2926.

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2021Estimating expected shortfall using a quantile function model. (2021). Cai, Yuzhi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4332-4360.

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2021Volatility specifications versus probability distributions in VaR forecasting. (2021). Novales, Alfonso ; Garciajorcano, Laura. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:189-212.

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2020Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy. (2020). Kim, Tae-Hwan ; Mizen, Paul ; Lee, Dong Jin. In: Working papers. RePEc:yon:wpaper:2020rwp-164.

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2020Interbank risk assessment: A simulation approach. (2020). Siemsen, Thomas ; Vilsmeier, Johannes ; Jager, Maximilian. In: Discussion Papers. RePEc:zbw:bubdps:232020.

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Works by Panayiotis Theodossiou:


YearTitleTypeCited
1994The Stochastic Properties of Major Canadian Exchange Rates. In: The Financial Review.
[Citation analysis]
article15
1997Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets. In: The Financial Review.
[Citation analysis]
article32
1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE In: Journal of Financial Research.
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article54
2008Risk Measurement Performance of Alternative Distribution Functions In: Journal of Risk & Insurance.
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article25
1997The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets In: CEPR Discussion Papers.
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paper2
1994Linkages between the U.S. and Japanese stock markets: A bivariate garch-m analysis In: Global Finance Journal.
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article0
2014Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies In: Journal of International Financial Markets, Institutions and Money.
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article0
1991Properties and Stochastic nature of BEAs early estimates of GNP In: Journal of Economics and Business.
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article4
1994Time-varying betas and volatility persistence in International Stock markets In: Journal of Economics and Business.
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article29
1998Financial Data and the Skewed Generalized T Distribution In: Management Science.
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article134
2010Partially Adaptive Econometric Methods For Regression and Classification In: Computational Economics.
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article4
1999Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article19
2009Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application In: Multinational Finance Journal.
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article3
2015Skewed Generalized Error Distribution of Financial Assets and Option Pricing In: Multinational Finance Journal.
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article17
2002The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets In: Review of Financial Studies.
[Citation analysis]
article49
2010Robust estimation with flexible parametric distributions: estimation of utility stock betas In: Quantitative Finance.
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article5
2007Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models In: Economics Discussion Papers.
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paper14
2007Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models.(2007) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
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