George Dotsis

History of Option Pricing Website

Published Papers

The Variance Risk Premium over Trading and Non-Trading Periods, (with L. Papagelis), Journal of Futures Markets, 2025.

Assessing Housing Market Crashes over the Past 150 years (with P. Petris and D. Psychoyios), Journal of Real Estate Finance and Economics, 2025.

Monetary Policy Effects on Freight Rates,  (with E. Kostika and G. Siameti), International Economics, 2025. 

Do Mortgage Buy-to-Let Investors Pay More or Less for Properties? Empirical Evidence from the UK Residential Market, (with P. Petris and P. Alexakis), International Journal of Finance and Economics, 2025.

A New Index of Option Implied Absolute Deviation, Journal of Futures Markets, 2024.

Negative Rates and Bank Profit and Cost Efficiency: Evidence for Eurozone, (with D. Chronopoulos and G. Siameti), European Journal of Finance, 2024. 

Factor Returns and FOMC Announcements : The Role of Sentiment, (with C. Rosa), Quarterly Review of Economics and Finance, 2024.

The S&P 500 Index Inclusion Effect: Evidence from the Options Market , (with J. Coakley, A. Kourtis and D. Psychoyios), International Journal of Finance and Economics, 2024. 

Contingent Claim Analysis and Minsky’s Financial Instability Hypothesis (with K. Loizos), Journal of Post Keynesian Economics, 2024. 

Bank Capital Regulation and the Modigliani-Miller Theorem: A Post-Keynesian Perspective, (with K. Loizos),  Journal of Post Keynesian Economics, 2023. 

The Great Divergence Between the USO and WTI Spot Prices  (with D. Psychoyios), Applied Economics Letters, 2022.

Bubble Tests in the London Housing Market: A Borough Level Analysis, (with P. Petris and P. Alexakis), International Journal of Finance and Economics, 2022. 

Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets,  (with A. Triantafyllou and A. Sarris), Journal of Agricultural Economics, 2020.

The “Flats for Land” Exchange System in Greece. An Idiosyncratic Equity Financing Mechanism in the Early Post–War Period, (with P. Petris and P. Alexakis), Journal of the European Economic History, 2020.

Investment Under Uncertainty  with a Zero Lower Bound on  Interest Rates,  Economics Letters, 2020.

Option Pricing Methods in the City of London during the  the Late 19th Century,  Featured in VoxEU, BloombergView,  Quantitative Finance, Lead Article, 2020.

International Evidence on the Determinants of Domestic Sovereign Debt Bank Holdings , (with D.  Chronopoulos and N. Milonas, Grant from the British Academy) Journal of Financial Services Research, 2019.

The Competitiveness of the European ICT Industry, (with D. Psychoyios) Review of Economic Analysis, 2018.

Option-Implied Expectations in Commodity Markets and Monetary Policy, (with A. Triantafyllou) Journal of International Money and Finance, 2017.

The Market Price of Risk of the Variance Term Structure, Journal of Banking and Finance , 2017.

Corridor Volatility Risk and Expected Returns, (with N. Vlastakis) Journal of Futures Markets, 2016.

Volatility Forecasting and Time-Varying Variance Risk Premiums in Grain Commodity Markets, (with A. Triantafyllou and A.H. Sarris)  Journal of Agricultural Economics, 2015.

Investor Sentiment and Value and Growth Stock Index Options, (with J. Coakley, H. Liu and J. Zhai) European Journal of Finance, 2014.

Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs, (with V. Makropoulou and R.N. Markellos) Quarterly Review of Economics and Finance, 2013.

Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix, (with A. Kourtis and R.N. Markellos) Journal of Banking and Finance, 2012.

Offshore Petroleum Lease Evaluation under Uncertainty and Volatility Estimation Risk, (with V. Makropoulou and R.N. Markellos) Applied Economic Letters, 2012.

Maximum Likelihood Estimation of Non-Affine Volatility Processes, (with K. Chourdakis) Journal of Empirical Finance, 2011.

A Jump Diffusion Model for VIX Options and Futures, (with D. Psychoyios and R.N. Markellos) Review of Quantitative Finance and Accounting, 2010.

How Efficient is the European Football Betting Market? Evidence from Arbitrage and Trading Strategies, (with N. Vlastakis and R.N. Markellos) Journal of Forecasting, 2009.

Nonlinear Modeling of European Football Scores using Support Vector Machines, (with N. Vlastakis and R.N. Markellos) Applied Economics, 2008.

An Empirical Comparison of Continuous Time Models of Implied Volatility Indices, (with D. Psychoyios and G. Skiadopoulos) Journal of Banking and Finance, 2007. Cited by CBOE

The Finite Sample Properties of the GARCH Option Pricing Model, (with R.N. Markellos) Journal of Futures Market, 2007.

Modelling Greek Equity Prices Using Jump Diffusion Processes, (with D. Psychoyios and R.N. Markellos) Operational Research (Journal of the Hellenic Operational Research Society), 2006.

Chapters in Books

Implied Moments Across Asset Classes (with L. Papagelis), Encyclopedia of Monetary Policy, Financial Markets and Banking, forthcoming, 2024.

Extreme Volatility in Agricultural Commodity Markets and Implications for Food Security (with A. Triantafyllou and A. Sarris) in G. Mergos and M. Papanastassiou (eds), Investment and Financing along Agro-food Value Chains  for Food Security and Sustainability, Palgrave, 2016.

Estimation of Continuous-Time Stochastic Volatility Models, (with T.C. Mills and R.N. Markellos) in T.C. Mills and K. Patterson (eds), Handbook of Econometrics, Vol. II, Palgrave, 2009.

Working Papers

Q&A on Money, Banking and Cryptocurrencies, 2024

How Does the Shadow Economy Affect Housing Prices? (with R. Markellos, P.Petris and F. Schneider), 2024. Funded by the British Academy under award SRG2223\231402. 

Sectoral Balances and Financial Crises in the Last 150 Years, 2024, submitted.

The Effect of Monetary Policy on US Real Estate Option Implied Expectations, (with P. Petris and A. Triantafyllou ), 2024, submitted.