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Details about Timotheos Angelidis

E-mail:
Homepage:http://econ.uop.gr/~tangel/inden.html
Workplace:Department of Economics, University of Peloponnese, (more information at EDIRC)

Access statistics for papers by Timotheos Angelidis.

Last updated 2017-12-01. Update your information in the RePEc Author Service.

Short-id: pan135


Jump to Journal Articles

Working Papers

2015

  1. US stock market regimes and oil price shocks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Global Finance Journal (2015)

2014

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

2013

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

2012

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

2010

  1. The Use of GARCH Models in VaR Estimation
    Working Papers, University of Peloponnese, Department of Economics Downloads View citations (27)

2008

  1. Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization
    Working Papers, University of Peloponnese, Department of Economics Downloads
    See also Journal Article in New Mathematics and Natural Computation (NMNC) (2009)
  2. Idiosyncratic Risk in Emerging Markets
    Working Papers, University of Peloponnese, Department of Economics Downloads
    See also Journal Article in The Financial Review (2010)
  3. Idiosyncratic risk, returns and liquidity in the London Stock Exchange: a spillover approach
    Working Papers, University of Peloponnese, Department of Economics Downloads
    See also Journal Article in International Review of Financial Analysis (2010)
  4. Volatility forecasting: intra-day vs. inter-day models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2007

  1. A Robust VaR Model under Different Time Periods and Weighting Schemes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)
    See also Journal Article in Review of Quantitative Finance and Accounting (2007)
  2. Backtesting VaR Models: A Τwo-Stage Procedure
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Backtesting VaR Models: An Expected Shortfall Approach
    Working Papers, University of Crete, Department of Economics Downloads View citations (12)
  4. Idiosyncratic Risk in Greece: Properties and Portfolio Implications
    Working Papers, University of Peloponnese, Department of Economics Downloads

2005

  1. Modeling Risk for Long and Short Trading Positions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

Undated

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

Journal Articles

2015

  1. Stock market dispersion, the business cycle and expected factor returns
    Journal of Banking & Finance, 2015, 59, (C), 265-279 Downloads View citations (3)
  2. US stock market regimes and oil price shocks
    Global Finance Journal, 2015, 28, (C), 132-146 Downloads View citations (6)
    See also Working Paper (2015)

2014

  1. Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers
    International Review of Financial Analysis, 2014, 35, (C), 118-127 Downloads View citations (1)
    See also Working Paper (2012)

2013

  1. Revisiting mutual fund performance evaluation
    Journal of Banking & Finance, 2013, 37, (5), 1759-1776 Downloads View citations (9)
    See also Working Paper (2012)

2010

  1. Idiosyncratic Risk in Emerging Markets
    The Financial Review, 2010, 45, (4), 1053-1078 Downloads View citations (13)
    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 Downloads View citations (3)
    See also Working Paper (2008)
  3. The efficiency of Greek public pension fund portfolios
    Journal of Banking & Finance, 2010, 34, (9), 2158-2167 Downloads View citations (3)

2009

  1. ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION
    New Mathematics and Natural Computation (NMNC), 2009, 05, (03), 535-555 Downloads
    See also Working Paper (2008)
  2. Idiosyncratic risk matters! A regime switching approach
    International Review of Economics & Finance, 2009, 18, (1), 132-141 Downloads View citations (11)
  3. The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange
    European Financial Management, 2009, 15, (1), 112-144 Downloads View citations (5)
    See also Working Paper

2008

  1. Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market
    Managerial Finance, 2008, 34, (7), 489-497 Downloads View citations (5)
  2. Idiosyncratic volatility and equity returns: UK evidence
    International Review of Financial Analysis, 2008, 17, (3), 539-556 Downloads View citations (10)
  3. 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 Downloads
  4. Value-at-Risk for Greek Stocks
    Multinational Finance Journal, 2008, 12, (1-2), 67-104 Downloads View citations (5)
  5. Volatility forecasting: Intra-day versus inter-day models
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 449-465 Downloads View citations (18)

2007

  1. A robust VaR model under different time periods and weighting schemes
    Review of Quantitative Finance and Accounting, 2007, 28, (2), 187-201 Downloads View citations (20)
    See also Working Paper (2007)
  2. Does idiosyncratic risk matter? Evidence from European stock markets
    Applied Financial Economics, 2007, 18, (2), 125-137 Downloads View citations (2)

2006

  1. Liquidity adjusted value-at-risk based on the components of the bid-ask spread
    Applied Financial Economics, 2006, 16, (11), 835-851 Downloads View citations (9)
 
Page updated 2017-12-07