Ραφαήλ Μάρκελλος


 Homepage in English

Καλώς ήρθατε στην προσωπική μου ιστοσελίδα. Είμαι Καθηγητής στο Norwich Business School του University of East Anglia (UEA) όπου κατέχω την έδρα της Χρηματοοικονομικής και τη θέση του Διευθυντή Ερευνών (Director of Research). Το Norwich Business School κατατάχθηκε πρόσφατα στην 9η θέση από 103 σχολές διοίκησης επιχειρήσεων της Μεγάλης Βρετανίας ως προς την ποιότητα του δημοσιευμένου ερευνητικού έργου (REF 2014). To UEA συγκαταλέγεται ανάμεσα στα καλύτερα 100 πανεπιστήμια του κόσμου ως προς την ποιότητα έρευνας (Leiden Ranking 2016) και το ανώτερο εκαστημόριο 1% παγκοσμίως (Times Higher Education World Rankings 2015-16). Κατατάσσεται στα 15 καλύτερα πανεπιστήμια στη Μ. Βρεταννία (Complete University Guide 2017) και στα 5 καλύτερα για ικανοποίηση φοιτητών (National Student Survey, 2005-2016). Κατέχω επίσης την θέση διακεκριμένου καθηγητή στο Lee Shau Kee School of Business and Administration, Hong Kong. Στο παρελθόν διετέλεσα Αναπληρωτής Καθηγητής Ποσοτικής Χρηματοοικονομικής στο Τμήμα Διοικητικής Επιστήμης και Τεχνολογίας του Οικονομικού Πανεπιστημίου Αθηνών (πρώην ΑΣΟΕΕ) και Δόκιμος Υφηγητής (Junior Fellow) του Royal Economic Society. Τα ερευνητικά μου ενδιαφέροντα είναι στο χώρο των χρηματοοικονομικών και της οικονομετρίας χρονοσειρών με έμφαση στο ρόλο του κινδύνου εκτίμησης και της πληροφορίας στις χρηματαγορές. Oι πρόσφατες δημοσιεύσεις μου αφορούν διάφορα θέματα σε αποτίμηση, κατανομή επενδύσεων, μεταβλητότητα, λήψη αποφάσεων υπό καθεστώς αβεβαιότητας και αγορές αερίων ρύπων. Για βιβλιομετρικά στατιστικά των επιστημονικών μου εργασιών δείτε το λογαριασμό μου σε SSRN, Google Scholar και IDEAS. Πατήσε εδώ για μια επισκόπηση της 3ης έκδοσης του βιβλίου "The Econometric Modelling of Financial Time Series" (εκδότης: Cambridge University Press) την οποία πρόσφατα συνέγραψα με τον Terry Mills. Μπορείτε να παρακολουθείτε τις αναφορές μου στο Twitter στη διεύθυνση @UtopianMarket

 

Books

  1. The Econometric Modelling of Financial Time Series (with Terence Mills), 3rd Edition, Cambridge: Cambridge University Press, 2008.


Journal 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. Electricity futures prices in an emissions constrained economy: Evidence from European power markets (with George Daskalakis and Lazaros Symeonidis), Energy Journal, 36 (3), 2015.
  4. Dynamic Interaction between Markets for Leasing and Selling Automobiles (with Athanasios Andrikopoulos), Journal of Banking and Finance, 50, 260–270 (Open Access), 2015.
  5. 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.
  6. Optimal Hedge Ratio Estimation and Effectiveness using ARCD (with Eleftheria Kostika), Journal of Forecasting, 32 (1), 41–50, 2013.
  7. 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.
  8. Information Demand and Stock Market Volatility (with Nikolaos Vlastakis), Journal of Banking and Finance, 36 (6), 1808–1821, 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. Investment under uncertainty and volatility estimation risk (with George Dotsis and Vasiliki Makropoulou), Applied Economics Letters, 19 (2), 133-137, 2012.
  11. Optimal Price Setting in Fixed-Odds Betting Markets Under Information Uncertainty (with Vasiliki Makropoulou), Scottish Journal of Political Economy, 58 (4), 519–536, 2011.
  12. Traded American Options are Bermudan (with Apostolos Kourtis), Managerial Finance, 37 (11), 978-984, 2011.
  13. 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.
  14. 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. For a long period the second most cited paper since 2009 in JBF.
  15. Corporate Real Estate Analysis: Evaluating Telecom Branch Efficiency in Greece (with Manolis Kritikos and Gregory Prastacos), Applied Economics, 42 (9), pp. 1133-1143, 2010.
  16. Does the Weather Affect Stock Market Volatility? (with Lazaros Symeonidis and George Daskalakis), Finance Research Letters, 7, 214–223, 2010. Sixth most cited paper published in Journal since 2010, see list by publisher.
  17. 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.    
  18. 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.
  19. Are the European Carbon Markets Efficient? (with George Daskalakis), Review of Futures Markets  17, 103-128, 2008.
  20. Nonlinear Modeling of European Football Scores using Support Vector Machines (with Nikolaos Vlastakis and George Dotsis), Applied Economics, 40 (1), pp. 111-118, 2008.
  21. The Finite Sample Properties of the GARCH Option Pricing Model (with George Dotsis), Journal of Futures Markets, 27 (6), pp. 599-615, 2007.
  22. Modelling Greek Equity Prices usingJump Diffusion Processes (with George    Dotsis and Dimitris Psychoyios), Operational Research: An International Journal, 6 (2), 131-145, 2006.
  23. Diversification benefits in trading?, Applied Financial Economics, 14 (1), pp. 13-17, 2004.
  24. Asset pricing dynamics (with Terence Mills), European Journal of Finance, 9 (6), pp. 533-556, 2003.
  25. 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.
  26. 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.
  27. Seasonality in the Athens stock exchange (with Terence Mills, Costas Siriopoulos and Dimitris Harizanis), Applied Financial Economics, 10 (2), pp. 137-142, 2000.
  28. Investment strategy evaluation with cointegration, Applied Economics Letters, 6 (3), p. 177, 1999.
  29. 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.
  30. Evaluating public transport efficiency with neural network models (with Alvaro Costa), Transportation Research Part C, 5 (5), pp. 301-312, 1997.
  31. Diversification benefits in the smaller European stock markets (with Costas Siriopoulos), International Advances in Economic Research, 3 (2), pp. 142-153, 1997.
  32. Backtesting Trading Systems, Journal of Computational Intelligence in Finance, 5 (6), pp. 5-10, 1997.
  33. Neural Network Model Development and Optimisation (with Costas Siriopoulos), Neurovest Journal, 4 (6), pp. 7-13, 1996.

Other Publications

  1. 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.
  2. 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.
  3. Nonlinear Times Series in Financial Economics (with Terence Mills),  in Bruce Mizrach (ed), Encyclopedia of Complexity and Systems Science, Berlin: Springer-Verlag, 2009.
  4. 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. 
  5. 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.
  6. 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.


Επιλογή άρθρων, συνεντεύξεων και ομιλιών