Associate Professor, Department of Banking and Financial Management
School of Finance and Statistics, University of Piraeus
Office Address: 80 M. Karaoli & A. Dimitriou St., 18534 Piraeus, Greece
Email Address: georgios.skoulakis@unipi.gr
Oil and equity return predictability: The importance of dissecting oil price changes (with Haibo Jiang and Jinming Xue). SSRN link.
Testing ex-post implications of asset pricing models using individual stocks over short horizons (with Soohun Kim).
Do industry portfolios predict the aggregate market? A replication study (with Lorenzo Garlappi and Jinming Xue).
Investing for the long run while learning about whether returns are predictable (with Lorenzo Garlappi and Chunyu Yang).
Dynamic portfolio choice: parameter uncertainty, learning, and hedging demands.
Simulating from polynomial-normal distributions, Communications in Statistics-Simulation and Computation, 48, 2019, 472-477.
Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach (with Soohun Kim), Journal of Econometrics, 204, 2018, 159-188. Online Appendix
On the quality of Taylor approximations to expected utility, Applied Financial Economics, 22, 2012, 863-876.
Taylor series approximations to expected utility and optimal portfolio choice (with Lorenzo Garlappi), Mathematics and Financial Economics, 5, 2011, 121-156.
Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios (with Gurdip Bakshi and George Panayotov), Journal of Financial Economics, 100, 2011, 475-495.
Do subjective expectations explain asset pricing puzzles? (with Gurdip Bakshi), Journal of Financial Economics, 98, 2010, 462-477.
Time series mixtures of generalized t experts: ML estimation and an application to stock return density forecasting (with Alexandre Carvalho), Econometric Reviews, 29, 2010, 642-687.
Solving consumption and portfolio choice problems: The state variable decomposition method (with Lorenzo Garlappi), Review of Financial Studies, 23, 2010, 3346-3400.
The analysis of the cross section of security returns (with Ravi Jagannathan and Zhenyu Wang), Handbook of Financial Econometrics, Vol. 2, 2009, 73-134, Y. Aït-Sahalia and L. Hansen (eds.).
Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation (with Lorenzo Garlappi), Computational Economics, 33, 2009, 193-207.
A recursive formula for computing central moments of a multivariate lognormal distribution, The American Statistician, 62, 2008, 147-150.
Ergodicity and existence of moments for local mixtures of linear autoregressions (with Alexandre Carvalho), Statistics and Probability Letters, 71, 2005, 313-322.
Generalized method of moments: applications in Finance (with Ravi Jagannathan and Zhenyu Wang), Journal of Business and Economics Statistics, 20, 2002, 470-481.
Superprocesses over a stochastic flow (with Robert Adler), Annals of Applied Probability, 11, 2001, 488-543.
A general shock model for a reliability system, Journal of Applied Probability, 37, 2000, 925-935.