Details about Ilias Tsiakas

Access statistics for papers by Ilias Tsiakas.

Last updated 2024-10-31. Update your information in the RePEc Author Service.

Short-id: pts77

Working Papers

2020

1. Equity Premium Prediction and the State of the Economy
   Working Paper series, Rimini Centre for Economic Analysis
   See also Journal Article Equity premium prediction and the state of the economy, Journal of Empirical Finance, Elsevier (2020) View citations (11) (2020)

2016

2. Equity Premium Prediction: The Role of Economic and Statistical Constraints
   Working Paper series, Rimini Centre for Economic Analysis View citations (2)
   See also Journal Article Equity premium prediction: The role of economic and statistical constraints, Journal of Financial Markets, Elsevier (2017) View citations (50) (2017)

2015

3. Carbon Emissions and Stock Returns: Evidence from the EU Emissions Trading Scheme
   Working Paper series, Rimini Centre for Economic Analysis View citations (152)
   See also Journal Article Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme, Journal of Banking & Finance, Elsevier (2015) View citations (105) (2015)
4. What Drives International Portfolio Flows?
   Working Paper series, Rimini Centre for Economic Analysis View citations (7)
   See also Journal Article What drives international portfolio flows?, Journal of International Money and Finance, Elsevier (2016) View citations (63) (2016)

2014

5. Foreign Exchange Risk and the Predictability of Carry Trade Returns
   Working Paper series, Rimini Centre for Economic Analysis View citations (49)
   See also Journal Article Foreign exchange risk and the predictability of carry trade returns, Journal of Banking & Finance, Elsevier (2014) View citations (48) (2014)
6. Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
   Working Paper series, Rimini Centre for Economic Analysis View citations (14)
   See also Journal Article Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?, Journal of Financial Econometrics, Oxford University Press (2015) View citations (44) (2015)

2010

7. Spot and Forward Volatility in Foreign Exchange
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article Spot and forward volatility in foreign exchange, Journal of Financial Economics, Elsevier (2011) View citations (44) (2011)

2007

8. An Economic Evaluation of Empirical Exchange Rate Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (66)
   See also Journal Article An Economic Evaluation of Empirical Exchange Rate Models, The Review of Financial Studies, Society for Financial Studies (2009) View citations (142) (2009)

2004

9. Analysis of the predictive ability of information accumulated over nights, weekends and holidays
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)

Journal Articles

2024

1. Carbon emissions and firm profitability
   Journal of Sustainable Finance & Investment, 2024, 14, (4), 766-786

2023

2. On the Direction of Causality between Business and Financial Cycles
   JRFM, 2023, 16, (10), 1-26 View citations (1)

2021

3. Economic fundamentals and the long-run correlation between exchange rates and commodities
   Global Finance Journal, 2021, 49, (C) View citations (1)
4. Volatility cascades in cryptocurrency trading
   Journal of Empirical Finance, 2021, 62, (C), 252-265 View citations (10)

2020

5. Equity premium prediction and the state of the economy
   Journal of Empirical Finance, 2020, 58, (C), 75-95 View citations (11)
   See also Working Paper Equity Premium Prediction and the State of the Economy, Working Paper series (2020) (2020)

2017

6. Equity premium prediction: The role of economic and statistical constraints
   Journal of Financial Markets, 2017, 36, (C), 56-75 View citations (50)
   See also Working Paper Equity Premium Prediction: The Role of Economic and Statistical Constraints, Working Paper series (2016) View citations (2) (2016)

2016

7. What drives international portfolio flows?
   Journal of International Money and Finance, 2016, 60, (C), 53-72 View citations (63)
   See also Working Paper What Drives International Portfolio Flows?, Working Paper series (2015) View citations (7) (2015)

2015

8. Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme
   Journal of Banking & Finance, 2015, 58, (C), 294-308 View citations (105)
   See also Working Paper Carbon Emissions and Stock Returns: Evidence from the EU Emissions Trading Scheme, Working Paper series (2015) View citations (152) (2015)
9. Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
   Journal of Financial Econometrics, 2015, 13, (2), 293-341 View citations (44)
   See also Working Paper Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?, Working Paper series (2014) View citations (14) (2014)

2014

10. Foreign exchange risk and the predictability of carry trade returns
    Journal of Banking & Finance, 2014, 42, (C), 302-313 View citations (48)
    See also Working Paper Foreign Exchange Risk and the Predictability of Carry Trade Returns, Working Paper series (2014) View citations (49) (2014)

2011

11. Spot and forward volatility in foreign exchange
    Journal of Financial Economics, 2011, 100, (3), 496-513 View citations (44)
    See also Working Paper Spot and Forward Volatility in Foreign Exchange, CEPR Discussion Papers (2010) View citations (2) (2010)

2010

12. THE ECONOMIC GAINS OF TRADING STOCKS AROUND HOLIDAYS
    Journal of Financial Research, 2010, 33, (1), 1-26 View citations (6)

2009

13. An Economic Evaluation of Empirical Exchange Rate Models
    The Review of Financial Studies, 2009, 22, (9), 3491-3530 View citations (142)
    See also Working Paper An Economic Evaluation of Empirical Exchange Rate Models, CEPR Discussion Papers (2007) View citations (66) (2007)

2008

14. Overnight information and stochastic volatility: A study of European and US stock exchanges
    Journal of Banking & Finance, 2008, 32, (2), 251-268 View citations (42)

2006

15. Periodic Stochastic Volatility and Fat Tails
    Journal of Financial Econometrics, 2006, 4, (1), 90-135 View citations (30)