Details about Timotheos Angelidis

Access statistics for papers by Timotheos Angelidis.

Last updated 2023-09-06. Update your information in the RePEc Author Service.

Short-id: pan135

Working Papers

2015

1. US stock market regimes and oil price shocks
   MPRA Paper, University Library of Munich, Germany View citations (37)
   See also Journal Article in Global Finance Journal (2015)

2014

2. Global Style Portfolios Based on Country Indices
   MPRA Paper, University Library of Munich, Germany View citations (3)
3. Global portfolio management under state dependent multiple risk premia
   Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences View citations (10)

2013

4. Oil price shocks and volatility do predict stock market regimes
   Working Papers, Bank of Greece View citations (1)
5. Return dispersion, stock market liquidity and aggregate economic activity
   Working Papers, Bank of Greece View citations (1)

2012

6. Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article in International Review of Financial Analysis (2014)
7. Revisiting Mutual Fund Performance Evaluation
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article in Journal of Banking & Finance (2013)

2010

8. The Use of GARCH Models in VaR Estimation
   Working Papers, University of Peloponnese, Department of Economics
   Also in MPRA Paper, University Library of Munich, Germany (2004) View citations (108)

2008

9. 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)
10. Idiosyncratic Risk in Emerging Markets
    Working Papers, University of Peloponnese, Department of Economics
    See also Journal Article in The Financial Review (2010)
11. 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)
12. Volatility forecasting: Intra-day versus inter-day models
    MPRA Paper, University Library of Munich, Germany View citations (30)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2008)
13. Volatility forecasting: intra-day vs. inter-day models
    MPRA Paper, University Library of Munich, Germany View citations (5)

2007

14. A Robust VaR Model under Different Time Periods and Weighting Schemes
    MPRA Paper, University Library of Munich, Germany View citations (26)
    See also Journal Article in Review of Quantitative Finance and Accounting (2007)
15. Backtesting VaR Models: A Τwo-Stage Procedure
    MPRA Paper, University Library of Munich, Germany View citations (11)
    Also in MPRA Paper, University Library of Munich, Germany (2007)
16. Backtesting VaR Models: An Expected Shortfall Approach
    Working Papers, University of Crete, Department of Economics View citations (14)
17. Idiosyncratic Risk in Greece: Properties and Portfolio Implications
    Working Papers, University of Peloponnese, Department of Economics

2005

18. Modeling Risk for Long and Short Trading Positions
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article in Journal of Risk Finance (2005)

Undated

19. 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

2023

1. Climate uncertainty and marginal climate capital needs
   Finance Research Letters, 2023, 56, (C)

2021

2. The economic gain of being small in the mutual fund industry: U.S. and international evidence
   International Review of Financial Analysis, 2021, 77, (C)

2015

3. Stock market dispersion, the business cycle and expected factor returns
   Journal of Banking & Finance, 2015, 59, (C), 265-279 View citations (21)
4. US stock market regimes and oil price shocks
   Global Finance Journal, 2015, 28, (C), 132-146 View citations (37)
   See also Working Paper (2015)

2014

5. Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers
   International Review of Financial Analysis, 2014, 35, (C), 118-127 View citations (13)
   See also Working Paper (2012)

2013

6. Revisiting mutual fund performance evaluation
   Journal of Banking & Finance, 2013, 37, (5), 1759-1776 View citations (31)
   See also Working Paper (2012)

2010

7. Idiosyncratic Risk in Emerging Markets
   The Financial Review, 2010, 45, (4), 1053-1078 View citations (15)
   See also Working Paper (2008)
8. 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 (8)
   See also Working Paper (2008)
9. The efficiency of Greek public pension fund portfolios
   Journal of Banking & Finance, 2010, 34, (9), 2158-2167 View citations (8)

2009

10. 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 (4)
    See also Working Paper (2008)
11. Idiosyncratic risk matters! A regime switching approach
    International Review of Economics & Finance, 2009, 18, (1), 132-141 View citations (15)
12. The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange
    European Financial Management, 2009, 15, (1), 112-144 View citations (9)
    See also Working Paper

2008

13. Idiosyncratic volatility and equity returns: UK evidence
    International Review of Financial Analysis, 2008, 17, (3), 539-556 View citations (17)
14. 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)
15. Value-at-Risk for Greek Stocks
    Multinational Finance Journal, 2008, 12, (1-2), 67-104 View citations (5)
16. Volatility forecasting: Intra-day versus inter-day models
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 449-465 View citations (35)
    See also Working Paper (2008)

2007

17. A robust VaR model under different time periods and weighting schemes
    Review of Quantitative Finance and Accounting, 2007, 28, (2), 187-201 View citations (28)
    See also Working Paper (2007)

2005

18. Modeling risk for long and short trading positions
    Journal of Risk Finance, 2005, 6, (3), 226-238
    See also Working Paper (2005)