Publications

Publications in journals

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market

with George Kapetanios, Michael Neumann and George Skiadopoulos

Journal of Financial Markets, forthcoming

A new predictor of U.S. real economic activity: The S&P 500 option implied risk aversion

with Renato Faccini, George Skiadopoulos and Sylvia Sarantopoulou-Chiourea

Management Science 65, 4927-4949.

• Nominated for the "GARP Risk Management Research Award" (EFMA 2017).
• This research has attracted the interest of media, academics and the industry: Forbes, Wall Street Journal (Real Time Economics Newsletter which summarizes the most important events of the week), Market Watch, Morningstar, Informs, Queen Mary University of London, Kathimerini.

How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap returns

with George Skiadopoulos

Journal of Banking and Finance 62, 62-75.

Volatility spillovers and the effect of news announcements

with George Jiang and George Skiadopoulos

Journal of Banking and Finance 36, 2260-2273.

Are VIX futures predictable? An empirical investigation

with George Skiadopoulos

International Journal of Forecasting 27, 543-560.

Can the evolution of implied volatility be forecasted? Evidence from European and U.S. implied volatility indices

with George Skiadopoulos and Emilia Tzagkaraki

Journal of Banking and Finance 32, 2401-2411

Book chapters

Modelling the dynamics of temperature with a view to weather derivatives

with Garen Papazian and George Skiadopoulos

World Scientific handbook of Futures Markets, A.G. Malliaris, W.T. Ziemba (Editors), World Scientific Publishing, Singapore