Welcome to my personal home page. My research interests are in the area of finance and time series econometrics while my recent work is mainly on financial decision making in the presence of estimation risk and abrupt changes. I'm also looking into various issues related to asset pricing and market behavior (for volatility, information, carbon, sports bets and HR). Click here to have a look inside the 3rd edition of the "The Econometric Modelling of Financial Time Series" (by Cambridge University Press) which I have co-authored with Terry Mills. For bibliometrics see my accounts at SSRN, Google Scholar and IDEAS.

Working Papers (click on title to view abstract and download from SSRN)

• Asset Selection with Estimation Risk (with Apostolos Kourtis)
• Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix (with Apostolos Kourtis and George Dotsis)
• Sovereign Debt Markets in Light of the Shadow Economy (with Dimitris Psychoyios and Vassilis Tsilibis)
  
• Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options (with Dimitris Psychoyios)
  
• Information Demand and Stock Market Volatility (with Nikolaos Vlastakis)
  
• Human Resources Turnover as an Asset Acquisition, Accumulation and Divesture Process (with Maria Fotaki and Maria Mania)
  
• Wine Price Risk Management: International Diversification and Derivative Instruments (with Apostolos Kourtis and Dimitris Psychoyios)
  
• Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs (with Vasiliki Makropoulou and George Dotsis)
• An Application of Statistical Bootstrapping in Option Pricing (with George Dotsis)

 

Recent and Forthcoming Publications

• Optimal Hedge Ratio Estimation and Effectiveness using ARCD (with Eleftheria Kostika), Journal of Forecasting (forthcoming).
  
• Optimal Price Setting in Fixed-Odds Betting Markets Under Information Uncertainty (with Vasiliki Makropoulou), Scottish Journal of Political Economy, 58 (4), 519–536, 2011.
• Modeling CO₂ Emission Allowance Prices and Derivatives: Evidence from the European Trading Scheme (with George Daskalakis and Dimitris Psychoyios), Journal of Banking and Finance, 33 (7), 1230–1241, 2009.
  
• A Jump Diffusion Model for VIX Volatility Options and Futures (with Dimitris Psychoyios and George Dotsis), Review of Quantitative Finance and Accounting, 35 (3), 245-269, 2010.
  
• Does the Weather Affect Stock Market Volatility? (with Lazaros Symeonidis and George Daskalakis), Finance Research Letters, 7, 214–223, 2010.
• Investment under uncertainty and volatility estimation risk (with George Dotsis and Vasiliki Makropoulou), Applied Economics Letters, 19 (2), 133-137, 2012.
• Are Electricity Risk Premia Affected by Emission Allowance Prices? Evidence from the EEX, Nord Pool and Powernext (with George Daskalakis), Energy Policy, 37 (7), pp. 2594-2604, 2009.    
• How Efficient is the European Football Betting Market? Evidence from Arbitrage and Trading Strategies (with Nikolaos Vlastakis and George Dotsis), Journal of Forecasting, 28 (5), pp.426-444, 2009.
  
• Corporate Real Estate Analysis: Evaluating Telecom Branch Efficiency in Greece (with Manolis Kritikos and Gregory Prastacos), Applied Economics, 42 (9), pp. 1133-1143, 2010.
• Estimation of Continuous-Time Stochastic Volatility Models (with George Dotsis and Terence Mills), in T.C. Mills and K. Patterson (eds), Handbook of Econometrics, Vol. II, Palgrave, 2009. 
  
• Nonlinear Times Series in Financial Economics (with Terence Mills), in Bruce Mizrach (ed), Encyclopedia of Complexity and Systems Science, Berlin: Springer, 2009.
  
• The Econometric Modelling of Financial Time Series (with Terence Mills), 3rd Edition, Cambridge: Cambridge University Press, 2008.
• Are the European Carbon Markets Efficient? (with George Daskalakis), Review of Futures Markets  17, 103-128, 2008.
• Nonlinear Modeling of European Football Scores using Support Vector Machines (with Nikolaos Vlastakis and George Dotsis), Applied Economics, 40 (1), pp. 111-118, 2008.
  
• The Finite Sample Properties of the GARCH Option Pricing Model (with George Dotsis), Journal of Futures Markets, 27 (6), pp. 599-615, 2007.

 

Refereeing & Research Evaluation

Econometrica, Journal of Banking & Finance, Financial Review, Quantitative Finance, European Journal of Finance, Journal of International Financial Markets, Institutions & Money, Journal of Forecasting, International Journal of Forecasting, European Journal of Operational Research, Review of International Economics, Empirical Economics, Energy Journal, Energy Policy, Energy Economics, Resource and Energy Economics, Quarterly Review of Economics and Finance, Applied Economics, Applied Financial Economics, Scottish Journal of Political Economy, Journal of Policy Modeling, Bulletin of Economic Research, Journal of Sports Economics, Energy & Environment, Ekonomia, EFA 2008/2009/2010, Cambridge University Press, Elsevier, Research Grants Council of Hong Kong/China, Research Promotion Foundation of Cyprus.

PhD students advised & first placements

• George Dotsis, Lecturer in Finance, Essex Finance Center, University of Essex
• Dimitris Psychoyios, Lecturer in Finance, Manchester Business School
• Vasiliki Makropoulou, Assistant Professor, Utrecht School of Economics, Universiteit Utrecht
• George Daskalakis, Lecturer in Finance, Norwich Business School, University of East Anglia
• Eleftheria Kostika, (continued in) Bank of Greece
• Apostolos Kourtis, Lecturer in Finance, Norwich Business School, University of East Anglia
• Nikos Vlastakis, Lecturer in Finance, Cranfield School of Management

My current PhD students & topic of research

• Thanos Andrikopoulos, Interacting Markets