16
H index
20
i10 index
828
Citations
University of Piraeus (50% share) | 16 H index 20 i10 index 828 Citations RESEARCH PRODUCTION: 28 Articles 10 Papers 1 Chapters RESEARCH ACTIVITY: 21 years (2000 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psk19 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with George Skiadopoulos. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 9 |
International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
International Journal of Forecasting | 3 |
Year | Title of citing document |
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2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper |
2023 | Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881. Full description at Econpapers || Download paper |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper |
2023 | Psychological barriers and option pricing in a local volatility model. (2023). Xu, Guangli ; Liu, Lixin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001991. Full description at Econpapers || Download paper |
2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper |
2023 | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348. Full description at Econpapers || Download paper |
2023 | Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493. Full description at Econpapers || Download paper |
2023 | Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142. Full description at Econpapers || Download paper |
2023 | Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953. Full description at Econpapers || Download paper |
2023 | Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities. (2023). Aun, Syed ; Islam, Muhammad Umar ; Ali, Mohsin ; Azmi, Wajahat ; Shahid, Muhammad Naeem. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001329. Full description at Econpapers || Download paper |
2023 | Insights of energy and its trade networking impacts on sustainable economic development. (2023). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:265:y:2023:i:c:s0360544222032054. Full description at Econpapers || Download paper |
2023 | The sum of all fears: Forecasting international returns using option-implied risk measures. (2023). Toupin, Dominique ; Power, Gabriel J ; Gagnon, Marie-Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002813. Full description at Econpapers || Download paper |
2023 | GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989. Full description at Econpapers || Download paper |
2023 | Intraday momentum in the VIX futures market. (2023). Yang, Jimmy J ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003260. Full description at Econpapers || Download paper |
2023 | Investment decisions and financial leverage under a potential entry threat. (2023). Kamoto, Shinsuke. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001498. Full description at Econpapers || Download paper |
2023 | Presidential economic approval rating and the cross-section of stock returns. (2023). Wang, Liyao ; Huang, Dashan ; Da, Zhi ; Chen, Zilin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:106-131. Full description at Econpapers || Download paper |
2023 | Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing. (2023). Ye, Jing ; Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006134. Full description at Econpapers || Download paper |
2023 | Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach. (2023). Olson, Dennis ; Mishra, Aswini Kumar ; Patnaik, Debasis ; Arunachalam, Vairam. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001988. Full description at Econpapers || Download paper |
2023 | Dependence and risk management of portfolios of metals and agricultural commodity futures. (2023). Mensi, Walid ; Hanif, Waqas ; Kang, Sang Hoon ; Hernandez, Jose Arreola ; Bensaida, Ahmed ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002787. Full description at Econpapers || Download paper |
2023 | On the efficiency of the gold returns: An econometric exploration for India, USA and Brazil. (2023). Bhatia, Madhur. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002854. Full description at Econpapers || Download paper |
2023 | The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511. Full description at Econpapers || Download paper |
2023 | The predictability of skewness risk premium on stock returns: Evidence from Chinese market. (2023). Wang, Linyu ; Ni, Zhongxin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:576-594. Full description at Econpapers || Download paper |
2023 | An innovative tool for cost control under fragmented scenarios: The container freight index microinsurance. (2023). Yang, MO ; Wang, Xuanhe ; Xiang, Zhiyuan ; Yu, Fangping ; Kuang, Haibo. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:169:y:2023:i:c:s1366554522003520. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Option-Implied Skewness and the Value of Financial Intermediaries. (2023). Weissensteiner, Alex ; Bressan, Silvia. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:2:d:10.1007_s10693-022-00387-y. Full description at Econpapers || Download paper |
2023 | The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure. (2023). Skiadopoulos, George ; Hiraki, Kazuhiro. In: Working Papers. RePEc:qmw:qmwecw:946. Full description at Econpapers || Download paper |
2023 | Investment disputes and their explicit role in option market uncertainty and overall risk instability. (2023). Vitali, Sebastiano ; Peta, Michal ; MacIak, Matu ; Kopa, Milo ; Drabek, Zdenk. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00447-1. Full description at Econpapers || Download paper |
2023 | Implied volatility smoothing at COVID-19 times. (2023). Giana, Gabriele ; Kopa, Milo ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00465-z. Full description at Econpapers || Download paper |
2023 | Multivariate models of commodity futures markets: a dynamic copula approach. (2023). Zhang, Yu Yvette ; Wang, Qiaoyu ; Li, QI ; Chen, Sihong. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02373-2. Full description at Econpapers || Download paper |
2023 | Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis. (2023). Abakah, Emmanuel ; Hammoudeh, Shawkat ; Alagidede, Imhotep Paul ; Tiwari, Aviral Kumar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:3:d:10.1007_s00181-023-02366-1. Full description at Econpapers || Download paper |
2023 | Strategic drivers for sustainable implementation of carbon trading in India. (2023). Maurya, Shipra ; Mukhopadhyay, Mohul ; Bansal, Shashank. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:5:d:10.1007_s10668-022-02205-w. Full description at Econpapers || Download paper |
2023 | Efficiency of Wheat Futures across APMC Mandis. (2023). Singh, Rahul Kumar. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00348-9. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases. (2023). Lopez, Raquel ; Fernandezperez, Adrian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1499-1530. Full description at Econpapers || Download paper |
2023 | Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32. Full description at Econpapers || Download paper |
2023 | A tale of two premiums revisited. (2023). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:580-614. Full description at Econpapers || Download paper |
2023 | Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857. Full description at Econpapers || Download paper |
2023 | The geopolitical risk premium in the commodity futures market. (2023). Pan, Zheyao ; Liao, Yin ; Cheng, Daxuan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1069-1090. Full description at Econpapers || Download paper |
2023 | Commodity momentum and reversal: Do they exist, and if so, why?. (2023). Han, Meng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1204-1237. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2001 | Simulating the Evolution of the Implied Distribution In: European Financial Management. [Full Text][Citation analysis] | article | 1 |
2013 | Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 45 |
2017 | Diversification benefits of commodities: A stochastic dominance efficiency approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 27 |
2016 | Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2008 | Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets In: Energy Economics. [Full Text][Citation analysis] | article | 19 |
2019 | Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 5 |
2016 | The effects of margin changes on commodity futures markets In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 10 |
2014 | The Effects of Margin Changes on Commodity Futures Markets.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2011 | Are VIX futures prices predictable? An empirical investigation In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
2011 | Are VIX futures prices predictable? An empirical investigation.(2011) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
2012 | Are freight futures markets efficient? Evidence from IMAREX In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 14 |
2019 | Capital structure and financial flexibility: Expectations of future shocks In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
2014 | Capital Structure and Financial Flexibility: Expectations of Future Shocks.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2021 | Positive stock information in out-of-the-money option prices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
2018 | Positive Stock Information In Out-Of-The-Money Option Prices.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2004 | A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 29 |
2007 | An empirical comparison of continuous-time models of implied volatility indices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 62 |
2008 | Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 75 |
2011 | Should investors include commodities in their portfolios after all? New evidence In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 204 |
2012 | Volatility spillovers and the effect of news announcements In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 57 |
2014 | Are there common factors in individual commodity futures returns? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 72 |
2016 | How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
2014 | How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2011 | Market Timing with Option-Implied Distributions: A Forward-Looking Approach In: Management Science. [Full Text][Citation analysis] | article | 52 |
2019 | A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion In: Management Science. [Full Text][Citation analysis] | article | 7 |
2018 | A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2000 | The Dynamics of the S&P 500 Implied Volatility Surface In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 21 |
2012 | Investing in commodities: Popular beliefs and misconceptions In: Journal of Asset Management. [Full Text][Citation analysis] | article | 10 |
2018 | The Contribution of Frictions to Expected Returns In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | The Effects of Margin Changes on Commodity Futures Markets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2004 | The Greek implied volatility index: construction and properties In: Applied Financial Economics. [Full Text][Citation analysis] | article | 23 |
2020 | Learning and Index Option Returns In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
2006 | Volatility options: Hedging effectiveness, pricing, and model error In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 16 |
2001 | VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 18 |
2005 | IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 7 |
2008 | MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 10 |
2015 | Modeling the Dynamics of Temperature with a View to Weather Derivatives In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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