Details about George Skiadopoulos

Access statistics for papers by George Skiadopoulos.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: psk19

Working Papers

2023

1. The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)

2018

2. A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
   See also Journal Article A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion, Management Science, INFORMS (2019) View citations (9) (2019)
3. Positive Stock Information In Out-Of-The-Money Option Prices
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
   See also Journal Article Positive stock information in out-of-the-money option prices, Journal of Banking & Finance, Elsevier (2021) View citations (5) (2021)
4. The Contribution of Frictions to Expected Returns
   Working Papers, Queen Mary University of London, School of Economics and Finance

2016

5. Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach
   Working Papers, Queen Mary University of London, School of Economics and Finance
   See also Journal Article Diversification benefits of commodities: A stochastic dominance efficiency approach, Journal of Empirical Finance, Elsevier (2017) View citations (31) (2017)

2014

6. Capital Structure and Financial Flexibility: Expectations of Future Shocks
   Working Papers, Queen Mary University of London, School of Economics and Finance
   See also Journal Article Capital structure and financial flexibility: Expectations of future shocks, Journal of Banking & Finance, Elsevier (2019) View citations (4) (2019)
7. How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
   See also Journal Article How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns, Journal of Banking & Finance, Elsevier (2016) View citations (15) (2016)
8. The Effects of Margin Changes on Commodity Futures Markets
   Working Papers, Queen Mary University of London, School of Economics and Finance
   See also Journal Article The effects of margin changes on commodity futures markets, Journal of Financial Stability, Elsevier (2016) View citations (12) (2016)

Journal Articles

2023

1. Dissecting climate risks: Are they reflected in stock prices?
   Journal of Banking & Finance, 2023, 155, (C) View citations (45)

2021

2. Positive stock information in out-of-the-money option prices
   Journal of Banking & Finance, 2021, 128, (C) View citations (5)
   See also Working Paper Positive Stock Information In Out-Of-The-Money Option Prices, Working Papers (2018) View citations (1) (2018)

2020

3. Learning and Index Option Returns
   Journal of Business & Economic Statistics, 2020, 38, (2), 327-339 View citations (1)

2019

4. A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion
   Management Science, 2019, 65, (10), 4927-4949 View citations (9)
   See also Working Paper A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion, Working Papers (2018) View citations (2) (2018)
5. Capital structure and financial flexibility: Expectations of future shocks
   Journal of Banking & Finance, 2019, 104, (C), 1-18 View citations (4)
   See also Working Paper Capital Structure and Financial Flexibility: Expectations of Future Shocks, Working Papers (2014) (2014)
6. Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market
   Journal of Financial Markets, 2019, 46, (C) View citations (7)

2017

7. Diversification benefits of commodities: A stochastic dominance efficiency approach
   Journal of Empirical Finance, 2017, 44, (C), 250-269 View citations (31)
   See also Working Paper Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach, Working Papers (2016) (2016)

2016

8. How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
   Journal of Banking & Finance, 2016, 62, (C), 62-75 View citations (15)
   See also Working Paper How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns, Working Papers (2014) View citations (2) (2014)
9. The effects of margin changes on commodity futures markets
   Journal of Financial Stability, 2016, 22, (C), 129-152 View citations (12)
   See also Working Paper The Effects of Margin Changes on Commodity Futures Markets, Working Papers (2014) (2014)

2014

10. Are there common factors in individual commodity futures returns?
    Journal of Banking & Finance, 2014, 40, (C), 346-363 View citations (84)

2013

11. Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options
    Journal of Financial and Quantitative Analysis, 2013, 48, (3), 947-977 View citations (51)

2012

12. Are freight futures markets efficient? Evidence from IMAREX
    International Journal of Forecasting, 2012, 28, (3), 644-659 View citations (14)
13. Investing in commodities: Popular beliefs and misconceptions
    Journal of Asset Management, 2012, 13, (2), 77-83 View citations (11)
14. Volatility spillovers and the effect of news announcements
    Journal of Banking & Finance, 2012, 36, (8), 2260-2273 View citations (60)

2011

15. Are VIX futures prices predictable? An empirical investigation
    International Journal of Forecasting, 2011, 27, (2), 543-560 View citations (17)
    Also in International Journal of Forecasting, 2011, 27, (2), 543-560 (2011) View citations (18)
16. Market Timing with Option-Implied Distributions: A Forward-Looking Approach
    Management Science, 2011, 57, (7), 1231-1249 View citations (64)
17. Should investors include commodities in their portfolios after all? New evidence
    Journal of Banking & Finance, 2011, 35, (10), 2606-2626 View citations (217)

2008

18. Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets
    Energy Economics, 2008, 30, (3), 962-985 View citations (22)
19. Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices
    Journal of Banking & Finance, 2008, 32, (11), 2401-2411 View citations (87)
20. 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 (11)

2007

21. An empirical comparison of continuous-time models of implied volatility indices
    Journal of Banking & Finance, 2007, 31, (12), 3584-3603 View citations (69)

2006

22. Volatility options: Hedging effectiveness, pricing, and model error
    Journal of Futures Markets, 2006, 26, (1), 1-31 View citations (16)

2005

23. IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (08), 1085-1106 View citations (7)

2004

24. A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options
    Journal of Banking & Finance, 2004, 28, (7), 1499-1520 View citations (34)
25. The Greek implied volatility index: construction and properties
    Applied Financial Economics, 2004, 14, (16), 1187-1196 View citations (23)

2003

26. A Review of Stochastic Volatility Processes: Properties and Implications
    Journal of Risk Finance, 2003, 4, (3), 43-59

2001

27. Simulating the Evolution of the Implied Distribution
    European Financial Management, 2001, 7, (4), 497-522 View citations (2)
28. VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (03), 403-437 View citations (20)

2000

29. The Dynamics of the S&P 500 Implied Volatility Surface
    Review of Derivatives Research, 2000, 3, (3), 263-282 View citations (22)

Chapters

2015

1. Modeling the Dynamics of Temperature with a View to Weather Derivatives
   Chapter 17 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 511-544