Research
Articles
Johansen-type Cointegration Tests with a Fourier Function , joint with Junsoo Lee, Saban Nazlioglu and Olivia Lu, Journal of Time Series Analysis, 2022, Vol 43, Issue 5, 828 - 852. Online Appendix.
Increasing the Information Dynamics of Realized Volatility Forecasts, joint with Ryan Poirier, Journal of Financial Econometrics, December 2021.
"Transatlantic Trade and Investment Partnership, and Environmental Consequences", with Dhimitri Qirjo and Robert Christopherson, Journal of Economic Integration, November 2021, 549-606.
”The Low Risk Anomaly: How Much is a Good Risk Estimate Worth?”, with Ryan Poirier and Tony Barchetto, Journal of Portfolio Management, November 2020, 47 (1 ), 88 - 106.
”Would economic growth affect air pollution in light of the potential transatlantic trade and investment partnership?”, with Dhimitri Qirjo, International Economics and Economic Policy, 18, pages 127–156 (2021).
”The Role of TTIP on the Environment”, with Dhimitri Qirjo, Southern Economic Journal, Vol. 85, Issue 4, January 2019, 1262-1285.
”An Application of Sensitivity Analysis to Hedge Funds”, with Greg N. Gregoriou, The Journal of Risk Model Validation, Vol. 1, No. 1 (March 2016), 21-45.
"Bootstrapping the Relative Performance of Yield Curve Strategies", with Ryan Poirier, Journal of Investment Strategies, Vol. 4, No. 2 (March 2015)
"Pretesting For Multi-Step Ahead Forecasts with STAR Models", with Walter Enders, International Journal of Forecasting , Vol. 31, Issue 2, April-June 2015, pages 473-487.
"Public Enforcement of Securities Market Rules: Resource-based evidence from the Securities and Exchange Commission" (with Tim Lohse and Christian Thomann), Journal of Economic Behavior & Organization, (2014), Vol. 106, 197-212.
"Recruitment of Seemingly Overeducated Personnel: Insider-Outsider Effects on Fair Employee Selection Practices", (with Oliver Fabel), International Journal of the Economics of Business, (2013) Vol. 20, February, Issue 1, 57-82.
"Corporate Management of Highly Dynamic Risks: The Case of Terrorism Insurance in Germany", (with Christian Thomann and J.-Matthias Graf von der Schulenburg), The Geneva Risk and Insurance Review, 2012, Vol. 37, 57-82.
"Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?", (with Stephen J. Brown and Greg N. Gregoriou), The Review of Asset Pricing Studies , 2012, Vol. 2, Issue 1, 89-110.
"Joint Survival Analysis of Hedge Funds and Funds of Funds Using Copulas", (with Greg N. Gregoriou), Managerial Finance, 2012, 38 (1), 82-100.
"An Empirical Analysis of Us Dollar Trading Newcits", Journal of Wealth Management, 2011, 14 (3), 84-94.
"Congestion in Commodity Trading Advisors", (with Greg N. Gregoriou and Yao Chen), INFOR: Information Systems and Operations Research , 2011, 49 (1/2), 63-74.
"Unconditional Mean, Volatility and the Fourier-Garch Representation", (with Christian Thomann and Greg N. Gregoriou), AESTIMATIO, the IEB International Journal of Finance, 2010, Issue 1.
"An empirical analysis of short-biased hedge funds' risk-adjusted performance: A panel approach", (with Greg N. Gregoriou). Journal of Derivatives and Hedge Funds, 2010, Vol. 16, 176-190.
"Selecting Prior Year's Top Fund of Hedge Funds as This Year's Choice", (with Greg N. Gregoriou), The Journal of Wealth Management, 2010, Vol. 13, No. 2: pp. 69-75
"Unit Root Tests with Smooth Breaks: An Application to the Nelson-Plosser Dataset", Applied Economics Letters, 2008, 99999(1), 1-6
Working Papers
The Impact of Debt Write-offs on Firm Performance: How Effective Are They?, joint with Hjalti Már Hauksson
The Performance of SEC Investigated Hedge Funds, joint with Greg N. Gregoriou and Ryan Poirier
Books
Gregoriou, G.N. and R. Pascalau (eds.) Financial Econometrics Modelling: Derivatives Pricing, Hedge Funds and Term Structure Models , Palgrave-MacMillan, 2010.
Gregoriou, G.N. and R. Pascalau (eds.) Financial Econometrics Modelling: Market Microstructure Dynamics, Single and Multifactor Pricing Models and Financial Risk Measures , Palgrave-MacMillan, 2010.
Gregoriou, G.N. and R. Pascalau (eds.) Non Linear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration , Palgrave-MacMillan, 2010.
Gregoriou, G.N. and R. Pascalau (eds.) Non Linear Financial Econometrics: Forecasting Models, Computational and Bayesian Models , Palgrave-MacMillan, 2010.
Chapters in Books
How Geography, Flows, and Size Affect the Risk-Adjusted Performance of UCITS III Funds of Hedge Funds, with Greg N. Gregoriou and Dieter Kaiser, in Reconsidering Funds of Hedge Funds, Elsevier 2013.
Risk Management and Hedge Funds, in Investment Risk Management, edited by Greg Filbeck and Kent Baker, Oxford University Press 2015.