Panayiotis Theodossiou : Citation Profile


Are you Panayiotis Theodossiou?

Rutgers University-Camden

10

H index

10

i10 index

352

Citations

RESEARCH PRODUCTION:

16

Articles

2

Papers

RESEARCH ACTIVITY:

   24 years (1991 - 2015). See details.
   Cites by year: 14
   Journals where Panayiotis Theodossiou has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 6 (1.68 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pth130
   Updated: 2020-08-01    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 (9)

Galbraith, John (6)

faff, robert (5)

BenSaïda, Ahmed (5)

Mora-Valencia, Andrés (4)

Valadkhani, Abbas (4)

Osborn, Denise (4)

Pizzutilo, Fabio (3)

Noussair, Charles (3)

Anufriev, Mikhail (3)

Cites to:

McDonald, James (24)

Bollerslev, Tim (10)

Newey, Whitney (8)

Engle, Robert (7)

Hansen, Bruce (3)

Schwert, G. (3)

Harvey, Campbell (3)

Mandelbrot, Benoît (3)

Fiebig, Denzil (3)

Markowitz, Harry (2)

French, Kenneth (2)

Main data


Where Panayiotis Theodossiou has published?


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

Recent works citing Panayiotis Theodossiou (2018 and 2017)


YearTitle of citing document
2017VOLATILITY SPILLOVER BETWEEN OIL PRICES, US DOLLAR EXCHANGE RATES AND INTERNATIONAL AGRICULTURAL COMMODITIES PRICES. (2017). Siami-Namini, Sima ; Hudson, Darren. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252845.

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2018Bulls and Bears and Bankruptcy- An Early Warning of Distress. (2018). Ghani, Erlane K ; Bertuah, Eka. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:962-969.

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2019Bulls and Bears and Bankruptcy- An Early Warning of Distress. (2019). Ghani, Erlane K ; Bertuah, Eka. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2019:p:95-102.

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2018General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences. (2018). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

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2017CONDITIONAL CO-MOVEMENT AND DYNAMIC INTERACTIONS: US AND BRIC EQUITY MARKETS. (2017). Singh, Amanjot. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:212:p:85-112.

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2020Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments. (2020). Savva, Christos ; Theodossiou, Panayiotis ; Tsouknidis, Dimitris. 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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2018Partially Adaptive Econometric Methods and the Modern Obesity Epidemic. (2018). McDonald, James B ; Carson, Scott A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7058.

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2017Comparative Analysis of Market Volatility in Indian Banking and IT Sectors by using Average Decline Model. (2017). Arekar, Kirti ; Jain, Rinku. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2017:i:3:p:20-25.

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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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2019The effect of short selling and borrowing on market prices and traders’ behavior. (2019). Noussair, Charles N ; Hanaki, Nobuyuki ; Guerci, Eric ; Duchene, Sebastien. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:4.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2019Impacts of Chinas crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement. (2019). Huo, Rui ; Ahmed, Abdullahi D. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:28-46.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Using parametric classification trees for model selection with applications to financial risk management. (2017). Adcock, C J ; Meade, N. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:746-765.

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2017Endogenous bank risk and efficiency. (2017). Tsionas, Mike ; Delis, Manthos ; Iosifidi, Maria . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:1:p:376-387.

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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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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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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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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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2019Margin-trading volatility and stock price crash risk. (2019). Wu, Wenfeng ; Lv, Dayong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:179-196.

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2019Stochastic modeling of currency exchange rates with novel validation techniques. (2019). Michalak, Anna ; Sikora, Grzegorz ; Wyomaska, Agnieszka ; Mita, Pawe ; Bielak, Ukasz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1202-1215.

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2018Measuring bank downside systemic risk in Taiwan. (2018). Su, Ender ; Wong, Kai Wen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:172-193.

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2019The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

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2017Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks. (2017). Sun, Lingxia ; Kim, Myeonghyeon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:309-325.

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2018Estimating downside risk in stock returns under structural breaks. (2018). Hood, Matthew ; Malik, Farooq . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:102-112.

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2017Volatility measures as predictors of extreme returns. (2017). Switzer, Lorne N ; Zhao, Yun ; Tahaoglu, Cagdas . In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:1-10.

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2018On using interval response data in experimental economics. (2018). McDonald, James ; Stoddard, Olga ; Walton, Daniel. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:72:y:2018:i:c:p:9-16.

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2019The asymmetric log-Laplace distribution as a limiting case of the generalized beta distribution. (2019). McDonald, James B ; Jensen, Jonathan E ; Higbee, Joshua D. In: Statistics & Probability Letters. RePEc:eee:stapro:v:151:y:2019:i:c:p:73-78.

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2019The Laws of Motion of the Broker Call Rate in the United States. (2019). Garivaltis, Alexander. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:4:p:56-:d:272663.

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2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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2019The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks. (2019). Narayan, Seema. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:160-:d:274897.

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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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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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2018The effect of short selling and borrowing on market prices and traders’ behavior. (2018). Noussair, Charles ; Hanaki, Nobuyuki ; Guerci, Eric ; Duchene, Sebastien. In: Working Papers. RePEc:hal:wpaper:hal-01954924.

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2018The effect of short selling and borrowing on market prices and traders’ behavior. (2018). Noussair, Charles ; Hanaki, Nobuyuki ; Guerci, Eric ; Duchêne, Sébastien ; Duchene, Sebastien. In: CEE-M Working Papers. RePEc:hal:wpceem:hal-01954924.

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2019Buying on Margin and Short Selling in an Artificial Double Auction Market. (2019). Li, Honggang ; Zhou, Xuan. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:4:d:10.1007_s10614-017-9722-4.

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2018Determinants of equity return correlations: a case study of the Amman Stock Exchange. (2018). Tantisantiwong, Nongnuch ; Power, David M ; Alomari, Mohammad . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0622-4.

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2017An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries. (2017). Benlagha, Noureddine ; Mseddi, Slim . In: Multinational Finance Journal. RePEc:mfj:journl:v:21:y:2017:i:2:p:91-132.

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2018Leverage-Induced Fire Sales and Stock Market Crashes. (2018). Zhou, Hao ; He, Zhiguo ; Shue, Kelly ; Bian, Jiangze. In: NBER Working Papers. RePEc:nbr:nberwo:25040.

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2019Heterogeneous Consumer Reactions to Health News. (2019). Hansen, Lars ; Smed, Sinne ; Browning, Martin. In: American Journal of Agricultural Economics. RePEc:oup:ajagec:v:101:y:2019:i:2:p:579-599..

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2019Testing expected shortfall: an application to emerging market stock indices. (2019). Mora-Valencia, Andrés ; Velasquez-Gaviria, Daniel ; Cardona, Emilio. In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:3:d:10.1057_s41283-018-0046-z.

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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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2017A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk. (2017). Li, Longqing. In: MPRA Paper. RePEc:pra:mprapa:85645.

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2018Modeling and Forecasting Naira / USD Exchange Rate In Nigeria: a Box - Jenkins ARIMA approach. (2018). Nyoni, Thabani. In: MPRA Paper. RePEc:pra:mprapa:88622.

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2017Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets. (2017). John (Fedorova), Elena ; Wallenius, Laura ; Collan, Mikael ; Ahmed, Sheraz . In: Prague Economic Papers. RePEc:prg:jnlpep:v:2017:y:2017:i:1:id:594:p:55-71.

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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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2020Margin trade, short sales and financial stability. (2020). Zhang, Yang ; Sng, Hui Ying ; Zheng, Huanhuan. 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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2019The impact of psychological identification with home-name stocks on investor behavior: an empirical and experimental investigation. (2019). Li, Huaxi ; Yuan, Hong ; Wang, Haizhong. In: Journal of the Academy of Marketing Science. RePEc:spr:joamsc:v:47:y:2019:i:6:d:10.1007_s11747-019-00677-3.

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2019A dominance approach for comparing the performance of VaR forecasting models. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1923.

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2019Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924.

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2019Volatility specifications versus probability distributions in VaR forecasting. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1926.

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2019Hyperbolic normal stochastic volatility model. (2019). Liu, Chenru ; Choi, Jaehyuk ; Ki, Byoung. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:2:p:186-204.

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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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2018On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests. (2018). Siemsen, Thomas ; Vilsmeier, Johannes. In: Discussion Papers. RePEc:zbw:bubdps:312018.

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2018Tests on asymmetry for ordered categorical variables. (2018). Doll, Monika ; Klein, Ingo. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:032018.

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Works by Panayiotis Theodossiou:


YearTitleTypeCited
1994The Stochastic Properties of Major Canadian Exchange Rates. In: The Financial Review.
[Citation analysis]
article13
1997Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets. In: The Financial Review.
[Citation analysis]
article30
1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE In: Journal of Financial Research.
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article43
2008Risk Measurement Performance of Alternative Distribution Functions In: Journal of Risk & Insurance.
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article26
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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article25
1998Financial Data and the Skewed Generalized T Distribution In: Management Science.
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article116
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.
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article16
2009Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application In: Multinational Finance Journal.
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article2
2015Skewed Generalized Error Distribution of Financial Assets and Option Pricing In: Multinational Finance Journal.
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article11
2002The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets In: Review of Financial Studies.
[Citation analysis]
article45
2010Robust estimation with flexible parametric distributions: estimation of utility stock betas In: Quantitative Finance.
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article3
2007Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models In: Economics Discussion Papers.
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paper12
2007Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models.(2007) In: Economics - The Open-Access, Open-Assessment E-Journal.
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