Details about George A. Christodoulakis

Access statistics for papers by George A. Christodoulakis.

Last updated 2009-08-26. Update your information in the RePEc Author Service.

Short-id: pch290

Working Papers

2009

1. Labour Market Dynamics in EU: a Bayesian Markov Chain Approach
   Discussion Paper Series, Department of Economics, University of Macedonia

2008

2. Asymmetries in the sport-forward G10 exchange rates: an answer to an old puzzle?
   Discussion Paper Series, Department of Economics, University of Macedonia

2006

3. Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility
   Working Papers, Bank of Greece View citations

2005

4. The European Union GDP Forecast Rationality under Asymmetric Preferences
   Working Papers, Bank of Greece View citations

2002

5. On th Evolution of Global Style Factors in the MSCI Universe of Assets
   Working Papers, Warwick Business School, Financial Econometrics Research Centre
6. Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach
   Working Papers, Warwick Business School, Financial Econometrics Research Centre

2001

7. Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework
   Working Papers, Warwick Business School, Financial Econometrics Research Centre

2000

8. Evolving Systems of Financial Returns: Auto-Regressive Conditional Beta
   Working Papers, Warwick Business School, Financial Econometrics Research Centre

1998

9. Forecasting (LOG) Volatility Models
   Discussion Papers, University of Exeter, School of Business and Economics

1996

10. The Simulation of Option Prices with Application to LIFFE Options on Futures
    Archive Working Papers, Birkbeck, School of Economics, Mathematics & Statistics
    See also Journal Article in European Journal of Operational Research (1999)

Journal Articles

2009

1. Assessing the prudence of economic forecasts in the EU
   Journal of Applied Econometrics, 2009, 24, (4), 583-606 View citations

2008

2. An assessment of the EU growth forecasts under asymmetric preferences
   Journal of Forecasting, 2008, 27, (6), 483-492 View citations
3. Asymmetric rotation of risk factors in a global portfolio
   Journal of Risk Finance, 2008, 9, (4), 391-403

2007

4. Common volatility and correlation clustering in asset returns
   European Journal of Operational Research, 2007, 182, (3), 1263-1284

2006

5. Generalised Rational Bias in Financial Forecasts
   Annals of Finance, 2006, 2, (4), 397-405
6. The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class
   Finance Research Letters, 2006, 3, (4), 273-276

2005

7. Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis
   Finance Research Letters, 2005, 2, (4), 227-233 View citations

2002

8. Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns
   European Journal of Operational Research, 2002, 139, (2), 351-370

1999

9. The simulation of option prices with application to LIFFE options on futures
   European Journal of Operational Research, 1999, 114, (2), 249-262
   See also Working Paper (1996)