Research
Working PapersÂ
Choosing between persistent and stationary large dimensional volatility,
with George Kapetanios and Elias Chronopoulos.
Published Papers
1. Measuring the Default Risk of Small Business Loans: Improved Credit Risk Prediction Using Deep Learning, with E. Tzavalis, and A. Cheimarioti. Journal of Forecasting, 2025.
2. The Single Supervisory Mechanism and its implications for the profitability of European Banks, with Ioanna Avgeri and Helen Louri, Journal of International Financial Markets, Institutions & Money, 2022.
3. Estimation of time-varying covariance matrices for large datasets, with Liudas Giraitis and George Kapetanios, Econometric Theory, 2022.
4. A similarity-based approach for macroeconomic forecasting, with George Kapetanios and Massimiliano Marcellino, Journal of the Royal Statistical Society: Series A, 2020.
5. Predicting default risk under asymmetric binary link functions, with Elias Tzavalis, Petros Varthalitis, and Eleni Athanasiou, International Journal of Forecasting, 2020.
6. Understanding technology ownership to reveal adoption trends for energy efficiency measures in the Greek residential sector, with Niki-Artemis Spyridaki, Vassilis Stavrakas, and Alexandros Flamos, Energy Policy, 2020.
7. Credit Risk Modelling Under Recessionary and Financially Distressed Conditions, with Elias Tzavalis and George Adraktas, Journal of Banking and Finance, 2018.
8. Shifts in Volatility Driven by Large Stock Market Shocks, with George Kapetanios and Elias Tzavalis, Journal of Economic Dynamics and Control, 2015.
9. Level Shifts in Stock Returns Driven by Large Shocks, with George Kapetanios and Elias Tzavalis, Journal of Empirical Finance, 2014.
10. Are regime-shift sources of risk priced in the market?, with Elias Tzavalis and Kyriakos Chourdakis, Journal of Empirical Finance, 2014.
11. Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations, with Elias Tzavalis and Giles Spungin, Journal of Forecasting, 2014,