George Dotsis

Assistant Professor in Finance
Department of Economics
University of Athens

Senior Research Fellow
Essex Finance Centre
University of Essex


E-mail: gdotsis (at) econ (dot) uoa (dot) gr
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SSRN page
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Published Papers

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

"The Market Price of Risk of the Variance Term Structure,” Journal of Banking and Finance , forthcoming.

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

SPX out-of-the money put option prices do not contain useful information for capturing systematic volatility risk in equity returns, as predicted by theories of demand based option pricing.

Volatility computed from the cross-section of out-of-the-money call option prices subsumes all relevant information for forecasting future equity volatility.


"Volatility Forecasting and Time-Varying Variance Risk Premiums in Grain Commodity Markets," (with A. Triantafyllou and A.H. Sarris)  Journal of Agricultural Economics, 2015.
Empirical evidence of significant variance risk premiums in the grain market linked to monetary variables. Option implied skewness improves variance and return forecasting.


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

Evidence of a value premium type anomaly in the index options markets.High abnormal returns from variance swap strategies on value/growth index options.

"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.
Real options approach applied to emission reduction policies. The possibility of catastrophic events “accelerates” the implementation of abatement policies.

Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix,” (with A. Kourtis and R.N. Markellos) Journal of Banking and Finance, 2012.
"Shrinked" inverse covariance matrix and a three-fund strategy for asset allocation.

"Offshore Petroleum Lease Evaluation under Uncertainty and Volatility Estimation Risk,", (with V. Makropoulou and R.N. Markellos) Applied Economics Letters, 2012.
Volatility estimation risk in real options theory. Confidence intervals for critical project values and option prices.

"
Maximum Likelihood Estimation of Non-Affine Volatility Processes," (with K. Chourdakis) Journal of Empirical Finance, 2011.
A new estimation method  for extracting non-affine latent stochastic volatility and risk premia from measures of model-free realized and risk-neutral integrated volatility.

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

"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.
Statistical and economic significance of forecasts of European football match outcomes. Profits are not fully consistent with weak-form market efficiency.

"Nonlinear Modeling of European Football Scores using Support Vector Machines," (with N. Vlastakis and R.N. Markellos) Applied Economics, 2008.
Weak form efficiency of the UK football betting market. Evidence of nonlinear forecastability of match outcomes.

"An Empirical Comparison of Continuous Time Models of Implied Volatility Indices," (with D. Psychoyios and G. Skiadopoulos) Journal of Banking and
Finance
, 2007.
Continuous-time diffusion and jump-diffusion processes for VIX dynamics. Cited by CBOE

"The Finite Sample Properties of the GARCH Option Pricing Model," (with R.N. Markellos) Journal of Futures Markets, 2007.
Finite sample properties of GARCH option pricing models. A jackknife method reduces bias in OTM option prices.

"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.
Estimation of jump diffusion processes via the characteristic function.

Chapters in Books

"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

"Option Pricing Methods in the Late 19th Century", 2017. Featured in VoxEU, BloombergView

"Implied Comovement," (with J. Coakley, A. Kourtis and D. Psychoyios), 2017, under revision.

"International Evidence on the Determinants of Banks’ Home Sovereign Bond Holdings," (with D.  Chronopoulos and N. Milonas). Grant from the British Academy

"Forecasting Extreme Events in Agricultural Commodity Markets" (with A. Triantafyllou and A. Sarris), 2015.

"Investment Under Uncertainty When Interest Rates Are At the Zero Lower Bound", 2015