George Skiadopoulos : Citation Profile

Are you George Skiadopoulos?

University of Piraeus (50% share)
Queen Mary University of London (50% share)

16

H index

21

i10 index

899

Citations

RESEARCH PRODUCTION:

30

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (2000 - 2023). See details.
   Cites by year: 39
   Journals where George Skiadopoulos has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 28 (3.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psk19
   Updated: 2024-12-03    RAS profile: 2024-03-07    
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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 George Skiadopoulos.

Is cited by:

Guidolin, Massimo (33)

Nguyen, Duc Khuong (28)

Alexander, Carol (28)

Prokopczuk, Marcel (14)

Bernales, Alejandro (14)

Kearney, Fearghal (11)

Chevallier, Julien (11)

Power, Gabriel (10)

faff, robert (10)

Shang, Han Lin (10)

Walther, Thomas (9)

Cites to:

Fama, Eugene (21)

French, Kenneth (20)

Campbell, John (19)

Pedersen, Lasse (19)

KOSTAKIS, ALEXANDROS (18)

Bollerslev, Tim (14)

Söderlind, Paul (12)

Svensson, Lars (12)

Wu, Liuren (11)

Bessembinder, Hendrik (11)

Bekaert, Geert (11)

Main data

Where George Skiadopoulos has published?

Journals with more than one article published# docs
Journal of Banking & Finance10
International Journal of Theoretical and Applied Finance (IJTAF)3
International Journal of Forecasting3

Recent works citing George Skiadopoulos (2024 and 2023)

YearTitle of citing document
2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023.

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2024Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2024). Liberati, Danilo ; Marinelli, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_832_24.

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2024.

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2023Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2024Does climate risk impact firms ESG performance? Evidence from China. (2024). Anh, Ngoc Quang ; Narayan, Seema ; Ren, Yi-Shuai ; Chen, Yongtai. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:683-695.

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2023Psychological 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.

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2023Forecasting 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.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024Economic and financial consequences of water risks: The case of hydropower. (2024). von Jagow, Adrian ; Goel, Skand ; Senni, Chiara Colesanti. In: Ecological Economics. RePEc:eee:ecolec:v:218:y:2024:i:c:s0921800923003117.

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2024How does climate policy uncertainty affect financial markets? Evidence from Europe. (2024). Tedeschi, Marco ; Foglia, Matteo ; Dai, Peng-Fei ; Bouri, Elie. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s016517652300469x.

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2023Improved 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.

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2023Hedging 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.

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2023Empirical 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.

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2023Futures contract collateralization and its implications. (2023). Jarrow, Robert ; Kwok, Simon S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000890.

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2023Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments. (2023). Liu, Qianqiu ; Yang, Ping ; Ming, Lei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001068.

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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2023Co-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.

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2023Uncovering 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.

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2024Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition. (2024). Esparcia, Carlos ; Lopez, Raquel ; Jareo, Francisco ; Sevillano, Maria Caridad. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324001063.

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2024How do climate risks impact the contagion in Chinas energy market?. (2024). Lei, Lei ; Ma, Dandan ; Kang, Yuxin ; Guo, Kun. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001580.

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2023Insights 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.

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2023A bibliometric review of portfolio diversification literature. (2023). Paltrinieri, Andrea ; Goodell, John W ; Migliavacca, Milena. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003526.

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2024Heterogeneous impacts of climate change news on Chinas financial markets. (2024). Ji, Qiang ; Zhang, Yunhan ; Ma, Dandan ; Zhai, Pengxiang ; Zhao, Wan-Li. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005239.

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2024Abnormal temperature and the cross-section of stock returns in China. (2024). Wang, Yudong ; He, Mengxi ; Song, Bingheng ; Zhang, Yaojie. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002060.

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2024The shape of the Treasury yield curve and commodity prices. (2024). Qadan, Mahmoud ; Bayaa, Yasmeen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002436.

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2023Climate change news risk and corporate bond returns in China. (2023). Lin, Chuyin ; Liu, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s154461232300898x.

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2024Heterogeneous impacts of multiple climate policies on the chinese stock market. (2024). Chen, Yunyue ; Zeng, Zheyu. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011881.

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2024Building a sustainable future: The role of corporate social responsibility in climate policy uncertainty management. (2024). Phan, Hieu V ; Nguyen, Tien ; Vo, Hong. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012035.

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2024What drives green betas? Climate uncertainty or speculation. (2024). Demirer, Riza ; Eki, Brahim Halil ; Polat, Onur. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012424.

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2024How much does climate-related risk impact stock and commodity markets: A comparative study of the US and China. (2024). Sharma, Aarzoo ; Chen, Yanhua. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001648.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Forecasting international financial stress: The role of climate risks. (2024). Pierdzioch, Christian ; Gupta, Rangan ; del Fava, Santino ; Rognone, Lavinia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000416.

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2023The 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.

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2023GARCH 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.

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2023Intraday 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.

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2023Investment 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.

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2023Presidential 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.

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2023The evolution of commodity market financialization: Implications for portfolio diversification. (2023). Fry-McKibbin, Renee ; McKinnon, Kate. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000508.

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2023The Fortune and crash of common risk factors in Chinese commodity markets. (2023). Zhao, Yuqian ; Liu, Zhenya. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000521.

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2024Revisiting the pricing impact of commodity market spillovers on equity markets. (2024). Hyde, Stuart ; Bowe, Michael ; Pinto-Avalos, Francisco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594.

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2023Precious 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.

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2023Dynamic 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.

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2023Dependence 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.

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2023On 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.

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2023The 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.

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2023The 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.

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2024Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Zhou, Xin ; Jiang, Zhengyun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:378-399.

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2024Climate policy uncertainty and the U.S. economic cycle. (2024). Liang, Chao ; Dong, Dayong ; Yang, Jinyu. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:202:y:2024:i:c:s0040162524001409.

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2023An 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.

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2023.

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2023Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach. (2023). Tessmann, Mathias ; Carrasco-Gutierrez, Carlos ; Lima, Alexandre Vasconcelos. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:15:y:2023:i:1:p:65.

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2023Option-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.

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2024Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks. (2024). GUPTA, RANGAN ; Caraiani, Petre ; Cepni, Oguzhan ; Caporin, Massimiliano. In: Working Papers. RePEc:pre:wpaper:202407.

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2024Can Municipal Bonds Hedge US State-Level Climate Risks?. (2024). GUPTA, RANGAN ; Ji, Qiang ; Cepni, Oguzhan ; Polat, Onur. In: Working Papers. RePEc:pre:wpaper:202419.

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2024Analyzing the Performance of Diversified Commodity Derivatives Portfolios in Brazil. (2024). Kerbeg, Marco Antnio ; de Oliveira, Glauco Fonteles ; Tessmann, Mathias Schneid ; da Silva, Vincius. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:11:y:2024:i:1:p:21-31.

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2024Commodity and Stock Market Interlinkages: Opportunities and Challenges for Investors in Indian Market. (2024). Suresh, Sandra ; Jhunjhunwala, Shital. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:2_suppl:p:s42-s58.

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2023Investment 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.

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2023Implied 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.

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2023Multivariate 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.

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2023Nonlinearity 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.

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2023Strategic 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.

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2023Efficiency 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.

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2023.

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2024Which implied volatilities contain more information? Evidence from China. (2024). Ni, Zhongxin ; Ji, Yifan ; Wang, Linyu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1896-1919.

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2024Breaks in term structures: Evidence from the oil futures markets. (2024). Miller, Curtis ; Liu, Zhenya ; Horvath, Lajos ; Tang, Weiqing. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2317-2341.

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2024Hedge and safe haven role of commodities for the US and Chinese equity markets. (2024). Naifar, Nader ; Siddique, Asima ; Mujtaba, Ghulam ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2381-2414.

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2023The 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.

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2023Industry 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.

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2023A 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.

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2023Term 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.

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2023The 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.

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2023Commodity 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.

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2024Early exercise, implied volatility spread and future stock return: Jumps bind them all. (2024). Gazi, Adnan ; Garrett, Ian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:720-743.

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More than 100 citations found, this list is not complete...

Works by George Skiadopoulos:

YearTitleTypeCited
2001Simulating the Evolution of the Implied Distribution In: European Financial Management.
[Full Text][Citation analysis]		article1
2013Predictable 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]		article46
2017Diversification benefits of commodities: A stochastic dominance efficiency approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article31
2016Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2008Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets In: Energy Economics.
[Full Text][Citation analysis]		article20
2019Jumps 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]		article7
2016The effects of margin changes on commodity futures markets In: Journal of Financial Stability.
[Full Text][Citation analysis]		article11
2014The Effects of Margin Changes on Commodity Futures Markets.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2011Are VIX futures prices predictable? An empirical investigation In: International Journal of Forecasting.
[Full Text][Citation analysis]		article17
2011Are VIX futures prices predictable? An empirical investigation.(2011) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2012Are freight futures markets efficient? Evidence from IMAREX In: International Journal of Forecasting.
[Full Text][Citation analysis]		article14
2019Capital structure and financial flexibility: Expectations of future shocks In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2014Capital 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
2021Positive stock information in out-of-the-money option prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2018Positive Stock Information In Out-Of-The-Money Option Prices.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2023Dissecting climate risks: Are they reflected in stock prices? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article35
2004A 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]		article31
2007An empirical comparison of continuous-time models of implied volatility indices In: Journal of Banking & Finance.
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2008Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices In: Journal of Banking & Finance.
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2011Should investors include commodities in their portfolios after all? New evidence In: Journal of Banking & Finance.
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2012Volatility spillovers and the effect of news announcements In: Journal of Banking & Finance.
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2014Are there common factors in individual commodity futures returns? In: Journal of Banking & Finance.
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2016How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns In: Journal of Banking & Finance.
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2014How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns.(2014) In: Working Papers.
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2003A Review of Stochastic Volatility Processes: Properties and Implications In: Journal of Risk Finance.
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2011Market Timing with Option-Implied Distributions: A Forward-Looking Approach In: Management Science.
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2019A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion In: Management Science.
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2018A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion.(2018) In: Working Papers.
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2000The Dynamics of the S&P 500 Implied Volatility Surface In: Review of Derivatives Research.
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2012Investing in commodities: Popular beliefs and misconceptions In: Journal of Asset Management.
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2018The Contribution of Frictions to Expected Returns In: Working Papers.
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2023The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure In: Working Papers.
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2014How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns In: Working Papers.
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2014The Effects of Margin Changes on Commodity Futures Markets In: Working Papers.
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2016Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach In: Working Papers.
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2004The Greek implied volatility index: construction and properties In: Applied Financial Economics.
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2020Learning and Index Option Returns In: Journal of Business & Economic Statistics.
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2006Volatility options: Hedging effectiveness, pricing, and model error In: Journal of Futures Markets.
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2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY In: International Journal of Theoretical and Applied Finance (IJTAF).
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2005IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015Modeling the Dynamics of Temperature with a View to Weather Derivatives In: World Scientific Book Chapters.
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