Raphael N. Markellos                    

Web page in Greek


Welcome to my personal home page. I am Professor of Finance and Director of Research at Norwich Business School (NBS), University of East Anglia (UEA), UK. NBS is ranked 9th amongst UK Business Schools for research outputs (REF 2014) whilst UEA is a world top 100 university for research excellence (Leiden Ranking 2016). In terms of subject area, Accounting and Finance at UEA is ranked as 6th in the UK (Guardian). I am also Distinguished Professor in the Lee Shau Kee School of Business and Administration, Hong Kong. In the past I held an Associate Professorship at Athens University of Economics and Business and a Royal Economic Society Junior Fellowship at the Department of Economics at Loughborough University.
    I have taught a variety of subjects over the past 20 years in corporate and investment finance, valuation, project finance, entrepreneurial finance, energy finance, financial econometrics, mathematics and statistics. I am a regular speaker at academic and professional conferences and my work has attracted funding in excess of £300,000 and attention by media such as Reuters, Bloomberg, Financial Times, BBC, Daily Telegraph and Daily Mail. I am currently also on the board of the Norwich Financial Industry Group (FIG).
    Through my research I have made contributions in three main areas: information finance (here is my widely cited work on the use of Google Trends to proxy financial information demand), estimation risk (recent work here) and environmental finance (here is my work on carbon asset pricing, Scopus data ranks this as one of the top 60 most cited in finance since 2009 amongst 30,000+ papers). I'm particularly interested in analysing financial information and problems using new types and sources of data such as text and social media. Most of the methodologies that I employ are described in the 3rd edition of the monograph "The Econometric Modelling of Financial Time Series" (by Cambridge University Press) which I have co-authored with Terry Mills (click here to take a peek inside this book). For bibliometrics of my work see SSRN, Google Scholar, IDEAS and ResearchGate. I have 30 papers recorded in Scopus (Google citations) with over 450 (2,600) citations.
    My professional experience includes 20 years of consulting and training for organizations in the US, UK, Germany, Greece and Luxemburg. My interests and expertise are mostly linked to my research. At present, I'm doing work on: car leasing residual value risk management and analytics, asset management applications of estimation risk, and, trading system design using events, social media and big data. Feel free to contact me on my gmail.com address (raphael.markellos prefix) if you need my help with advisory services or training.
    To follow my tweets please visit @UtopianMarket. If you are interested in doing a PhD or research with me at Norwich Business School, please have a look at my papers below and send me an email through my UEA account. You can also have a look at the information of the NBS Finance Group.

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

Recent Key Publications

  1. An International Comparison of Implied, Realized and GARCH Volatility Forecasts (with Lazaros Symeonidis and Apostolos Kourtis), Journal of Futures Markets, 36 (12), 1164–1193, 2016.
  2. Sovereign Debt Markets in Light of the Shadow Economy (with Dimitris Psychoyios and Friedrich Schneider), European Journal of Operational Research, 252 (1), 220-231, 2016.
  3. Dynamic Interaction between Markets for Leasing and Selling Automobiles (with Athanasios Andrikopoulos), Journal of Banking and Finance, 50, 260–270 (Open Access), 2015.
  4. Electricity futures prices in an emissions constrained economy: Evidence from European power markets (with George Daskalakis and Lazaros Symeonidis), Energy Journal, 36 (3), 2015.
  5. Optimal Hedge Ratio Estimation and Effectiveness using ARCD (with Eleftheria Kostika), Journal of Forecasting, 32 (1), 41–50, 2013.
  6. Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs (with Vasiliki Makropoulou and George Dotsis), Quarterly Review of Economics and Finance, 53 (4), 417–428, 2013.
  7. Information Demand and Stock Market Volatility (with Nikolaos Vlastakis), Journal of Banking and Finance, 36 (6), 1808–1821, 2012. Included in most cited paper list produced by journal.
  8. Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix (with Apostolos Kourtis and George Dotsis), Journal of Banking and Finance, 36 (9), 2522–2531, 2012.
  9. Wine Price Risk Management: International Diversification and Derivative Instruments (with Apostolos Kourtis and Dimitris Psychoyios), International Review of Financial Analysis, 22, April 30–37, 2012.
  10. 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.
  11. 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. 
  12. 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.
  13. The Econometric Modelling of Financial Time Series (with Terence Mills), 3rd Edition, Cambridge: Cambridge University Press, 2008.
  14. The Finite Sample Properties of the GARCH Option Pricing Model (with George Dotsis), Journal of Futures Markets, 27 (6), pp. 599-615, 2007.

Other Publications

  1. Investment under uncertainty and volatility estimation risk (with George Dotsis and Vasiliki Makropoulou), Applied Economics Letters, 19 (2), 133-137, 2012.
  2. Nonlinear Cointegration using Lyapunov Stability Theory, in C. Kyrtsou, C. Vorlow (eds.) Progress in Financial Markets Research, , Chapter, 14, pp. 289-310, New York: Nova Science Publishers, New York, 2012.
  3. Optimal Price Setting in Fixed-Odds Betting Markets Under Information Uncertainty (with Vasiliki Makropoulou), Scottish Journal of Political Economy, 58 (4), 519–536, 2011.
  4. Traded American Options are Bermudan (with Apostolos Kourtis), Managerial Finance, 37 (11), 978-984, 2011.
  5. Corporate Real Estate Analysis: Evaluating Telecom Branch Efficiency in Greece (with Manolis Kritikos and Gregory Prastacos), Applied Economics, 42 (9), pp. 1133-1143, 2010.
  6. Does the Weather Affect Stock Market Volatility? (with Lazaros Symeonidis and George Daskalakis), Finance Research Letters, 7, 214–223, 2010. 
  7. 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.    
  8. 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.
  9. Nonlinear Times Series in Financial Economics (with Terence Mills),  in Bruce Mizrach (ed), Encyclopedia of Complexity and Systems Science, Berlin: Springer-Verlag, 2009.
  10. Are the European Carbon Markets Efficient? (with George Daskalakis), Review of Futures Markets  17, 103-128, 2008.
  11. Nonlinear Modeling of European Football Scores using Support Vector Machines (with Nikolaos Vlastakis and George Dotsis), Applied Economics, 40 (1), pp. 111-118, 2008.
  12. Modelling Greek Equity Prices usingJump Diffusion Processes (with George    Dotsis and Dimitris Psychoyios), Operational Research: An International Journal, 6 (2), 131-145, 2006.
  13. Diversification benefits in trading?, Applied Financial Economics, 14 (1), pp. 13-17, 2004.
  14. Asset pricing dynamics (with Terence Mills), European Journal of Finance, 9 (6), pp. 533-556, 2003.
  15. Intradaily Behaviour of Listed andUnlisted Security Basket Indices in the Emerging Greek Stock Market (with Terence Mills and Costas Siriopoulos), Managerial Finance, 29 (9), pp. 29-54, 2003.
  16. Time Series Behavior of Intradaily Data from the Athens Stock Exchange (with Costas Siriopoulos), International Transactions in Operational Research, 9 (5), pp. 619-628, 2002.
  17. Seasonality in the Athens stock exchange (with Terence Mills, Costas Siriopoulos and Dimitris Harizanis), Applied Financial Economics, 10 (2), pp. 137-142, 2000.
  18. Investment strategy evaluation with cointegration, Applied Economics Letters, 6 (3), p. 177, 1999.
  19. High-Frequency Random Walks? (with George Gavridis and Terence Mills), in P. Leqeux (ed.) The Financial Markets Tick by Tick, London: John Wiley & Sons, pp. 227-254, 1999.
  20. Complexity Reduction for Co-trending Variables (with Terence Mills), Journal of Computational Intelligence in Finance, 6 (4), pp. 6-13, 1988. Won the Distinguished Essay on Computational Intelligence in Finance Award for 1998.
  21. Evaluating public transport efficiency with neural network models (with Alvaro Costa), Transportation Research Part C, 5 (5), pp. 301-312, 1997.
  22. Diversification benefits in the smaller European stock markets (with Costas Siriopoulos), International Advances in Economic Research, 3 (2), pp. 142-153, 1997.
  23. Backtesting Trading Systems, Journal of Computational Intelligence in Finance, 5 (6), pp. 5-10, 1997.
  24. Neural Network Model Development and Optimisation (with Costas Siriopoulos), Neurovest Journal, 4 (6), pp. 7-13, 1996.
  25. Nonlinear Error-Correction Models in the Greek Money Market (with Costas Siriopoulos), in Zoupounidis C. (ed.) New Operational Approaches for Financial Modelling. Contributions to Management Science, Heidelberg: Physica, pp. 173-181, New York: Springer-Verlag, 1997.
  26. Applications of Artificial Neural Networks in Emerging Financial Markets (with Costas Siriopoulos and Kostas Sirlantzis), in Refenes, A.P., Abu-Mostafa, Y., Moody, J., Weigend, A., (eds.) Neural Networks in Financial Engineering, 2, pp. 284-302, Singapore: World Scientific, 1996.



Econometrica, Journal of Banking and Finance, Review of Finance, European Economic Review, Economica, Journal of Empirical Finance, Journal of Futures Markets, European Journal of Operational Research, Financial Review, European Journal of Finance, Journal of International Financial Markets, Institutions & Money, International Review of Financial Analysis, Journal of Forecasting, International Journal of Forecasting, Journal of Economic Behavior and Organization, Physica A, Expert Systems with Applications, Quantitative Finance, Computers & Operations Research, Review of International Economics, Economic Modelling, 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 & first placements

  • George Dotsis, Lecturer in Finance, Essex Business School, 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, NBS, UEA
  • Eleftheria Kostika, (continued in) Bank of Greece
  • Apostolos Kourtis, Senior Lecturer in Finance, NBS, UEA
  • Nikos Vlastakis, Lecturer in Finance, Cranfield School of Management
  • Yichun Wang, Lecturer, Nottingham Business School.
  • Efthymia Symitsi (2013-present), PhD candidate NBS, UEA; under faculty scholarship
  • Panayiotis Stamolampros (2016-present), PhD candidate NBS, UEA; under faculty scholarship
  • Trung Le (2016-present), PhD candidate NBS, UEA; under Vietnamese government scholarship
  • Lucia Murgia (2016-present), PhD candidate NBS, UEA; under NBS Graduate Teaching Assistantship (GTA)
  • Saif Al Mutairi (2016-present), PhD candidate NBS, UEA; under Oman government scholarship