Ilias Tsiakas : Citation Profile


Are you Ilias Tsiakas?

University of Guelph

7

H index

5

i10 index

174

Citations

RESEARCH PRODUCTION:

9

Articles

10

Papers

RESEARCH ACTIVITY:

   12 years (2004 - 2016). See details.
   Cites by year: 14
   Journals where Ilias Tsiakas has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 7 (3.87 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pts77
   Updated: 2017-04-29    RAS profile: 2017-03-16    
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Relations with other researchers


Works with:

Sarno, Lucio (4)

Cenedese, Gino (2)

Ulloa, Barbara (2)

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

Is cited by:

Sarno, Lucio (24)

Valente, Giorgio (10)

Wagner, Christian (9)

Sojli, Elvira (9)

MacDonald, Ronald (7)

cerrato, mario (5)

Kozhan, Roman (5)

Lombardi, Marco (4)

Salmon, Mark (3)

Buncic, Daniel (3)

Mody, Ashoka (3)

Cites to:

Sarno, Lucio (15)

West, Kenneth (6)

Schrimpf, Andreas (5)

Schmeling, Maik (5)

Verdelhan, Adrien (5)

Menkhoff, Lukas (5)

French, Kenneth (5)

Hodrick, Robert (4)

Bekaert, Geert (4)

Campbell, John (4)

Rebelo, Sergio (3)

Main data


Where Ilias Tsiakas has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper Series / The Rimini Centre for Economic Analysis5
Working Papers / Warwick Business School, Finance Group2

Recent works citing Ilias Tsiakas (2017 and 2016)


YearTitle of citing document
2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2017Towards efficient capital flow management. (2017). Viani, Francesca ; Molina Sánchez, Luis ; Sanchez, Paula . In: Economic Bulletin. RePEc:bde:journl:y:2017:i:1:d:aa:n:4.

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2016Forecasting exchange rates using multivariate threshold models. (2016). Huber, Florian ; Florian, Huber . In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:16:y:2016:i:1:p:193-210:n:8.

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2016A coupled component GARCH model for intraday and overnight volatility. (2016). LINTON, OLIVER ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1671.

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2016Robustness in Foreign Exchange Rate Forecasting Models: Economics-Based Modelling After the Financial Crisis. (2016). Medel, Carlos A. ; Kania, Stefan ; Hsu, Hsiang-Ling ; Camilleri, Gilmour ; Touloumtzoglou, Miltiadis . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:784.

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2016Point, interval and density forecasts of exchange rates with time-varying parameter models. (2016). Marcellino, Massimiliano ; Abbate, Angela . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11559.

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2016The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility. (2016). Hamzaoui, Nessrine ; Regaieg, Boutheina . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-42.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016The short trading day anomaly. (2016). Kliger, Doron ; Qadan, Mahmoud . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:62-80.

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2016Evidence of risk premiums in emerging market carry trade currencies. (2016). Coelho, Marcelo Bittencourt ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:103-115.

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2016Can currency-based risk factors help forecast exchange rates?. (2016). Valente, Giorgio ; Liu, Xiaoquan ; Ahmed, Shamim . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:75-97.

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2016The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

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2016Volatility risk premia and exchange rate predictability. (2016). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:21-40.

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2016Forecasting exchange rates under parameter and model uncertainty. (2016). Beckmann, Joscha ; Schussler, Rainer . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:267-288.

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2016Hot money in bank credit flows to emerging markets during the banking globalization era. (2016). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:29-52.

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2016Heterogeneous agents, the financial crisis and exchange rate predictability. (2016). Buncic, Daniel ; Piras, Gion Donat . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:313-359.

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2016On the correlation between commodity and equity returns: Implications for portfolio allocation. (2016). Lombardi, Marco ; Ravazzolo, Francesco . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:2:y:2016:i:1:p:45-57.

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2016Do socially (ir)responsible investments pay? New evidence from international ESG data. (2016). Auer, Benjamin R ; Schuhmacher, Frank . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:51-62.

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2016Do carry trade returns show signs of long memory?. (2016). Hoffmann, Andreas ; Auer, Benjamin R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:201-208.

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2017On the predictability of carry trade returns: The case of the Chinese Yuan. (2017). Sinnakkannu, Jothee ; Ramasamy, Sockalingam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:358-376.

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2016Timing Foreign Exchange Markets. (2016). Malone, Samuel ; Gramacy, Robert B. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:15-:d:65565.

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2016Timing Foreign Exchange Markets. (2016). Gramacy, Robert B. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:15:d:65565.

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2016Forecasting the Allocative Efficiency of Carbon Emission Allowance Financial Assets in China at the Provincial Level in 2020. (2016). Zeng, Shihong ; Li, Qirong ; Wang, Liming ; Xu, Yan . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:5:p:329-:d:69380.

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2016Forecasting the Allocative Efficiency of Carbon Emission Allowance Financial Assets in China at the Provincial Level in 2020. (2016). Wang, Li Ming ; Xu, Yan ; Li, Qirong . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:5:p:329:d:69380.

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2016Are Emissions Trading Policies Sustainable? A Study of the Petrochemical Industry in Korea. (2016). Choi, Yongrok ; Lee, Hyoung Seok . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:11:p:1110-:d:81694.

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2016Impact of Carbon Quota Allocation Mechanism on Emissions Trading: An Agent-Based Simulation. (2016). Liu, Xiang ; Jiang, Wei . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:8:p:826-:d:76471.

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2016Does Non-Fossil Energy Usage Lower CO 2 Emissions? Empirical Evidence from China. (2016). Li, Deshan ; Yang, Degang . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:9:p:874-:d:77002.

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2017The Allocation of Carbon Intensity Reduction Target by 2020 among Industrial Sectors in China. (2017). Yang, Baochen ; Jing, Xin ; Su, Yunpeng ; Liu, Chuanze . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:1:p:148-:d:88390.

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2017The Diversification Benefits of Including Carbon Assets in Financial Portfolios. (2017). Zhang, Yinpeng ; Yu, Xueying ; Liu, Zhixin . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:3:p:437-:d:93470.

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2016Still crazy after all these years: the returns on carry trade. (2016). Roberto, Rossignoli ; Gianfranco, Forte ; Emilio, Colombo . In: Working Papers. RePEc:mib:wpaper:327.

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2016Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence. (2016). Thomadakis, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:71589.

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2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim . In: MPRA Paper. RePEc:pra:mprapa:75770.

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2017The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve. (2017). Iyke, Bernard Njindan ; Ho, Sin-Yu . In: MPRA Paper. RePEc:pra:mprapa:78211.

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2016Exchange Rates Forecasting: Can Jump Models Combined with Macroeconomic Fundamentals Help?. (2016). Bunak, Toma . In: Prague Economic Papers. RePEc:prg:jnlpep:v:2016:y:2016:i:5:id:581:p:527-546.

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2016Volatility Risk Pass-Through. (2016). Liu, Yang ; Colacito, Ric ; Shaliastovich, Ivan ; Croce, Mariano . In: 2016 Meeting Papers. RePEc:red:sed016:135.

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2016Macro uncertainty and currency premia. (2016). Della Corte, Pasquale ; Krecetovs, Aleksejs . In: 2016 Meeting Papers. RePEc:red:sed016:624.

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2016Testing Exchange Rate Models in a Small Open Economy: an SVR Approach. (2016). Plakandaras, Vasilios ; Gogas, Periklis ; Papadimitriou, Theophilos . In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:3:y:2016:i:2:p:9-29.

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2017Portfolio flows and the US dollar–yen exchange rate. (2017). Spagnolo, Nicola ; Menla Ali, Faek. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1075-7.

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2016The Efficiency of Monetary Policy when Guiding Inflation Expectations. (2016). Bauer, Christian ; Weber, Sebastian . In: Research Papers in Economics. RePEc:trr:wpaper:201614.

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2016Point, interval and density forecasts of exchange rates with time-varying parameter models. (2016). Marcellino, Massimiliano ; Abbate, Angela. In: Discussion Papers. RePEc:zbw:bubdps:192016.

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2016Transmission of global financial shocks to EMU member states: The role of monetary policy and national factors. (2016). Reitz, Stefan ; JOCHEM, Axel. In: Discussion Papers. RePEc:zbw:bubdps:232016.

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Works by Ilias Tsiakas:


YearTitleTypeCited
2010THE ECONOMIC GAINS OF TRADING STOCKS AROUND HOLIDAYS In: Journal of Financial Research.
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article3
2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
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paper90
2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90
article
2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
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paper21
2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 21
article
2004Analysis of the predictive ability of information accumulated over nights, weekends and holidays In: Econometric Society 2004 Australasian Meetings.
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paper1
2008Overnight information and stochastic volatility: A study of European and US stock exchanges In: Journal of Banking & Finance.
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article15
2014Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance.
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article8
2014Foreign Exchange Risk and the Predictability of Carry Trade Returns.(2014) In: Working Paper Series.
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This paper has another version. Agregated cites: 8
paper
2015Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme In: Journal of Banking & Finance.
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article7
2015Carbon Emissions and Stock Returns: Evidence from the EU Emissions Trading Scheme.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2016What drives international portfolio flows? In: Journal of International Money and Finance.
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article5
2015What Drives International Portfolio Flows?.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2015Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? In: Journal of Financial Econometrics.
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article10
2014Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2006Periodic Stochastic Volatility and Fat Tails In: Journal of Financial Econometrics.
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article13
2004Periodic Stochastic Volatility and Fat Tails.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 13
paper
2016Equity Premium Prediction: The Role of Economic and Statistical Constraints In: Working Paper Series.
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paper0
2004Is Seasonal Heteroscedasticity Real? An International Perspective In: Working Papers.
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paper1

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