Details about Timotheos Angelidis

Access statistics for papers by Timotheos Angelidis.

Last updated 2013-05-16. Update your information in the RePEc Author Service.

Short-id: pan135

Working Papers

2012

1. Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers
   MPRA Paper, University Library of Munich, Germany
2. Revisiting Mutual Fund Performance Evaluation
   MPRA Paper, University Library of Munich, Germany

2010

3. The Use of GARCH Models in VaR Estimation
   Working Papers, University of Peloponnese, Department of Economics View citations (18)

2008

4. Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization
   Working Papers, University of Peloponnese, Department of Economics
   See also Journal Article in New Mathematics and Natural Computation (NMNC) (2009)
5. Idiosyncratic Risk in Emerging Markets
   Working Papers, University of Peloponnese, Department of Economics
   See also Journal Article in The Financial Review (2010)
6. Idiosyncratic risk, returns and liquidity in the London Stock Exchange: a spillover approach
   Working Papers, University of Peloponnese, Department of Economics
   See also Journal Article in International Review of Financial Analysis (2010)

2007

7. Backtesting VaR Models: An Expected Shortfall Approach
   Working Papers, University of Crete, Department of Economics View citations (5)
8. Idiosyncratic Risk in Greece: Properties and Portfolio Implications
   Working Papers, University of Peloponnese, Department of Economics

Undated

9. The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange
   Working Papers, University of Crete, Department of Economics
   See also Journal Article in European Financial Management (2009)

Journal Articles

2010

1. Idiosyncratic Risk in Emerging Markets
   The Financial Review, 2010, 45, (4), 1053-1078 View citations (1)
   See also Working Paper (2008)
2. Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach
   International Review of Financial Analysis, 2010, 19, (3), 214-221 View citations (1)
   See also Working Paper (2008)
3. The efficiency of Greek public pension fund portfolios
   Journal of Banking & Finance, 2010, 34, (9), 2158-2167

2009

4. ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION
   New Mathematics and Natural Computation (NMNC), 2009, 05, (03), 535-555 View citations (2)
   See also Working Paper (2008)
5. Idiosyncratic risk matters! A regime switching approach
   International Review of Economics & Finance, 2009, 18, (1), 132-141 View citations (2)
6. The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange
   European Financial Management, 2009, 15, (1), 112-144
   See also Working Paper

2008

7. Idiosyncratic volatility and equity returns: UK evidence
   International Review of Financial Analysis, 2008, 17, (3), 539-556 View citations (2)
8. MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH
   International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (05), 447-469 View citations (1)
9. Volatility forecasting: Intra-day versus inter-day models
   Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 449-465 View citations (4)

2007

10. A robust VaR model under different time periods and weighting schemes
    Review of Quantitative Finance and Accounting, 2007, 28, (2), 187-201 View citations (9)
11. Does idiosyncratic risk matter? Evidence from European stock markets
    Applied Financial Economics, 2007, 18, (2), 125-137 View citations (1)

2006

12. Liquidity adjusted value-at-risk based on the components of the bid-ask spread
    Applied Financial Economics, 2006, 16, (11), 835-851 View citations (5)

2005

13. Modeling risk for long and short trading positions
    Journal of Risk Finance, 2005, 6, (3), 226-238 View citations (4)