7
H index
6
i10 index
161
Citations
Christina Nikitopoulos-Sklibosios : Citation Profile
University of Technology Sydney (50% share) | RESEARCH PRODUCTION: 16 Articles 22 Papers 2 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
19 years (2003 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Christina Nikitopoulos-Sklibosios. | Is cited by:
| Cites to:
|
Main data
Where Christina Nikitopoulos-Sklibosios has published?
| Journals with more than one article published | # docs |
|---|---|
| Energy Economics | 4 |
| Journal of Futures Markets | 2 |
| Journal of Banking & Finance | 2 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Asia-Pacific Financial Markets | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 21 |
Recent works citing Christina Nikitopoulos-Sklibosios (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers || Download paper |
| 2023 | Directional Spillover of Fossil Fuels Prices on a Hydrothermal Power Generation Market. (2023). Manotas-Duque, Diego Fernando ; Londoo-Hernandez, Sandra Milena ; Oviedo-Gomez, Andres. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-01-12. Full description at Econpapers || Download paper |
| 2023 | The impact of offshore wind energy on Northern European wholesale electricity prices. (2023). Schluter, Jan Chr ; Wacker, Benjamin ; Seebass, Johann V ; Hosius, Emil. In: Applied Energy. RePEc:eee:appene:v:341:y:2023:i:c:s030626192300274x. Full description at Econpapers || Download paper |
| 2023 | Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147. Full description at Econpapers || Download paper |
| 2023 | A weekly structural VAR model of the US crude oil market. (2023). Manera, Matteo ; Bastianin, Andrea ; Valenti, Daniele. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001548. Full description at Econpapers || Download paper |
| 2023 | Structural sources of oil market volatility and correlation dynamics. (2023). Stewart, Shamar ; Liu, Xiaochun ; Harrison, Andre. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001561. Full description at Econpapers || Download paper |
| 2023 | Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices. (2023). Zhang, Alex Hongliang ; Erten, Ibrahim Etem ; Camadan, Ercument ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s030142152300232x. Full description at Econpapers || Download paper |
| 2023 | Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045. Full description at Econpapers || Download paper |
| 2023 | Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455. Full description at Econpapers || Download paper |
| 2023 | The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423. Full description at Econpapers || Download paper |
| 2023 | Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211. Full description at Econpapers || Download paper |
| 2023 | Unveiling commodities-financial markets intersections from a bibliometric perspective. (2023). lucey, brian ; Paltrinieri, Andrea ; Karim, Sitara ; Khan, Muhammad Arif ; Mbarki, Imen. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s030142072300346x. Full description at Econpapers || Download paper |
| 2023 | An analysis of the return–volume relationship in decentralised finance (DeFi). (2023). Zhang, Yuanyuan ; Chan, Stephen ; Chu, Jeffrey. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:236-254. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2023). Dai, Weizhong ; Nwankwo, Chinonso I ; Liu, Ruihua. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10282-2. Full description at Econpapers || Download paper |
Works by Christina Nikitopoulos-Sklibosios:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 2 |
| 2021 | Wind generation and the dynamics of electricity prices in Australia In: Energy Economics. [Full Text][Citation analysis] | article | 7 |
| 2020 | Wind Generation and the Dynamics of Electricity Prices in Australia.(2020) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2022 | Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies In: Energy Economics. [Full Text][Citation analysis] | article | 1 |
| 2013 | Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics. [Full Text][Citation analysis] | article | 15 |
| 2012 | Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2020 | Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics. [Full Text][Citation analysis] | article | 10 |
| 2019 | Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2017 | Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
| 2018 | Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
| 2022 | Forecasting volatility in commodity markets with long-memory models In: Journal of Commodity Markets. [Full Text][Citation analysis] | article | 2 |
| 2003 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 7 |
| 2004 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2009 | Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
| 2009 | Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2003 | An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
| 2015 | Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 3 |
| 2007 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Real-world jump-diffusion term structure models In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
| 2005 | A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions In: PhD Thesis. [Full Text][Citation analysis] | book | 0 |
| 2004 | A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2007 | A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2005 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2011 | Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2012 | Alternative Term Structure Models for Reviewing Expectations Puzzles In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2013 | The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 38 |
| 2016 | The Return–Volatility Relation in Commodity Futures Markets.(2016) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
| 2015 | Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Pricing American Options with Jumps in Asset and Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Impact of Jumps on American Option Pricing: The S&P 100 Options Case In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Forecasting Commodity Markets Volatility: HAR or Rough? In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2020 | The Economic Impact of Volatility Persistence on Energy Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Interest rate risk in long?dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team