Christina Nikitopoulos-Sklibosios : Citation Profile

Are you Christina Nikitopoulos-Sklibosios?

University of Technology Sydney (50% share)
University of Technology Sydney (50% share)

7

H index

5

i10 index

152

Citations

RESEARCH PRODUCTION:

16

Articles

22

Papers

2

Books

RESEARCH ACTIVITY:

   19 years (2003 - 2022). See details.
   Cites by year: 8
   Journals where Christina Nikitopoulos-Sklibosios has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 25 (14.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni44
   Updated: 2023-11-04    RAS profile: 2023-01-04    
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Relations with other researchers

Works with:

Schlogl, Erik (3)

Prokopczuk, Marcel (2)

Konstandatos, Otto (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christina Nikitopoulos-Sklibosios.

Is cited by:

Ratti, Ronald (12)

Vespignani, Joaquin (12)

Schlogl, Erik (9)

Platen, Eckhard (7)

Gnoatto, Alessandro (4)

Ewald, Christian-Oliver (3)

Bouri, Elie (3)

Chen, Yu-Fu (3)

Balcilar, Mehmet (3)

Mu, Xiaoyi (3)

Roubaud, David (3)

Cites to:

Platen, Eckhard (36)

Jarrow, Robert (28)

Schlogl, Erik (22)

Cao, Charles (22)

Chen, Zhiwu (22)

Duffie, Darrell (21)

White, Alan (16)

Singleton, Kenneth (16)

Kang, Boda (14)

Kilian, Lutz (14)

Prokopczuk, Marcel (12)

Main data

Where Christina Nikitopoulos-Sklibosios has published?

Journals with more than one article published# docs
Energy Economics4
Asia-Pacific Financial Markets2
International Journal of Theoretical and Applied Finance (IJTAF)2
Journal of Banking & Finance2
Journal of Futures Markets2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney21

Recent works citing Christina Nikitopoulos-Sklibosios (2023 and 2022)

YearTitle of citing document
2022Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2012.09820.

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2022Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913.

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2023Directional 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.

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2022A pattern classification methodology for interval forecasts of short-term electricity prices based on hybrid deep neural networks: A comparative analysis. (2022). Zhou, Kaile ; Zheng, Qingru ; Yang, Yudie ; Shao, Zhen ; Liu, Chen. In: Applied Energy. RePEc:eee:appene:v:327:y:2022:i:c:s0306261922013721.

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2023The 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.

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2022Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274.

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2022Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2022). Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:958-974.

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2022The evolution of day-of-the-week and the implications in crude oil market. (2022). Nor, Normaziah Mohd ; Wen, Fenghua ; Zhu, QI ; Li, Wenhui. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832200007x.

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2022Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. (2022). Wong, Patrick ; Ignatieva, Katja. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000561.

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2022Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249.

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2022Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?. (2022). Stordal, Stle ; Lien, Gudbrand ; Haugom, Erik ; Ewald, Christian-Oliver ; Wu, Yuexiang. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004534.

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2023Modelling 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.

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2023A 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.

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2023Structural 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.

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2022Investor sentiment and machine learning: Predicting the price of Chinas crude oil futures market. (2022). Zhang, Lin ; Wen, BO ; Owen, B ; Jiang, Zhe. In: Energy. RePEc:eee:energy:v:247:y:2022:i:c:s0360544222003747.

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2023Volatility 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.

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2023Random 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.

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2022Effects of fundamentals, geopolitical risk and expectations factors on crude oil prices. (2022). Visalakshmi, S ; Manickavasagam, Jeevananthan ; Gkillas, Konstantinos. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003324.

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2022On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis. (2022). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003727.

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2022Does the SDR stabilize investing in commodities?. (2022). Xu, Yang ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:160-172.

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2023An 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.

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2022Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842.

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2022Risk premia in the term structure of crude oil futures: long-run and short-run volatility components. (2022). Liu, Rui ; Boyd, Naomi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01032-w.

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2022Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. (2022). Westgaard, Sjur ; Ouyang, Ruolan ; Ewald, Christian ; Chen, Jilong ; Xiao, Xiaoxia. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04198-7.

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Works by Christina Nikitopoulos-Sklibosios:

YearTitleTypeCited
2006First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]		article2
2021Wind generation and the dynamics of electricity prices in Australia In: Energy Economics.
[Full Text][Citation analysis]		article6
2020Wind Generation and the Dynamics of Electricity Prices in Australia.(2020) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2022Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies In: Energy Economics.
[Full Text][Citation analysis]		article1
2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
[Full Text][Citation analysis]		article15
2012Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
[Full Text][Citation analysis]		article8
2019Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2017Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2022Forecasting volatility in commodity markets with long-memory models In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article1
2003A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article7
2004A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2009Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article0
2009Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series.
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This paper has another version. Agregated cites: 0		paper
2003An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003.
[Citation analysis]		paper0
2015Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		book3
2007A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2010Real-world jump-diffusion term structure models In: Quantitative Finance.
[Full Text][Citation analysis]		article14
2005A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions In: PhD Thesis.
[Full Text][Citation analysis]		book0
2004A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2007A 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 another version. Agregated cites: 2		article
2005A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2007Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2010Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility In: Research Paper Series.
[Full Text][Citation analysis]		paper7
2011Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2013CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2012Alternative Term Structure Models for Reviewing Expectations Puzzles In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2013The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper35
2016The Return–Volatility Relation in Commodity Futures Markets.(2016) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
2015Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2016Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2016Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series.
[Full Text][Citation analysis]		paper5
2016Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2018Pricing American Options with Jumps in Asset and Volatility In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2019The Impact of Jumps on American Option Pricing: The S&P 100 Options Case In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2020Forecasting Commodity Markets Volatility: HAR or Rough? In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2020The Economic Impact of Volatility Persistence on Energy Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2019Interest rate risk in long?dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0

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