Details about Christos Floros

Access statistics for papers by Christos Floros.

Last updated 2023-07-07. Update your information in the RePEc Author Service.

Short-id: pfl33

Working Papers

2020

1. Efficiency in banking: does the choice of inputs and outputs matter?
   Post-Print, HAL View citations (2)
   See also Journal Article Efficiency in banking: does the choice of inputs and outputs matter?, International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd (2020) View citations (2) (2020)
2. On the Stationarity of Futures Hedge Ratios
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article On the stationarity of futures hedge ratios, Operational Research, Springer (2022) (2022)

2018

3. The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis
   BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University
   See also Journal Article The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis, International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd (2019) View citations (2) (2019)

2015

4. Asset prices regime-switching and the role of inflation targeting monetary policy
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Asset prices regime-switching and the role of inflation targeting monetary policy, Global Finance Journal, Elsevier (2017) View citations (7) (2017)
5. Dynamic Connectedness of UK Regional Property Prices
   MPRA Paper, University Library of Munich, Germany
6. Intra-Day Realized Volatility for European and USA Stock Indices
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Intra-day realized volatility for European and USA stock indices, Global Finance Journal, Elsevier (2016) View citations (12) (2016)

2014

7. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
   MPRA Paper, University Library of Munich, Germany View citations (9)
   See also Journal Article A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification, Manchester School, University of Manchester (2014) View citations (8) (2014)
8. Dynamic Spillover Effects in Futures Markets
   MPRA Paper, University Library of Munich, Germany
9. Simplified option pricing techniques
   DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics
   See also Journal Article SIMPLIFIED OPTION PRICING TECHNIQUES, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2019) (2019)

2013

10. Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence
    MPRA Paper, University Library of Munich, Germany View citations (21)
    See also Journal Article Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence, International Review of Financial Analysis, Elsevier (2013) View citations (20) (2013)
11. Modeling CAC40 Volatility Using Ultra-high Frequency Data
    MPRA Paper, University Library of Munich, Germany View citations (8)
    See also Journal Article Modeling CAC40 volatility using ultra-high frequency data, Research in International Business and Finance, Elsevier (2013) View citations (9) (2013)
12. Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment
    MPRA Paper, University Library of Munich, Germany View citations (81)
13. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
    MPRA Paper, University Library of Munich, Germany View citations (109)
    See also Journal Article Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment, Journal of International Financial Markets, Institutions and Money, Elsevier (2013) View citations (107) (2013)
14. Return dispersion, stock market liquidity and aggregate economic activity
    Working Papers, Bank of Greece View citations (1)

2012

15. Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence
    MPRA Paper, University Library of Munich, Germany View citations (15)

2011

16. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
    MPRA Paper, University Library of Munich, Germany View citations (463)
    See also Journal Article Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, International Review of Financial Analysis, Elsevier (2011) View citations (428) (2011)

2010

17. Development of a Computable General Equilibrium (CGE) Model for Fisheries
    EcoMod2004, EcoMod
18. Hedge Ratios in South African Stock Index Futures
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Hedge Ratios in South African Stock Index Futures, Journal of Emerging Market Finance, Institute for Financial Management and Research (2010) View citations (9) (2010)
19. VIX Index in Interday and Intraday Volatility Models
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2023

1. ESG performance, herding behavior and stock market returns: evidence from Europe
   Operational Research, 2023, 23, (1), 1-21 View citations (6)
2. Hurst Exponent Analysis: Evidence from Volatility Indices and the Volatility of Volatility Indices
   JRFM, 2023, 16, (5), 1-15 View citations (6)

2022

3. An Inter-Temporal Computable General Equilibrium Model for Fisheries
   Sustainability, 2022, 14, (11), 1-23
4. Corporate R&D intensity and high cash holdings: post-crisis analysis
   Operational Research, 2022, 22, (4), 3767-3808
5. Eurozone Stock Market Reaction to Monetary Policy Interventions and Other Covariates
   JRFM, 2022, 15, (2), 1-19 View citations (2)
6. Generalized Johnson Distributions and Risk Functionals
   Mathematics, 2022, 10, (17), 1-12
7. Greek Banking Sector Stock Reaction to ECB’s Monetary Policy Interventions
   JRFM, 2022, 15, (10), 1-19
8. On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods
   International Review of Economics & Finance, 2022, 82, (C), 156-176 View citations (7)
9. On the stationarity of futures hedge ratios
   Operational Research, 2022, 22, (3), 2281-2303
   See also Working Paper On the Stationarity of Futures Hedge Ratios, MPRA Paper (2020) (2020)
10. Re-examining Bitcoin Volatility: A CAViaR-based Approach
    Emerging Markets Finance and Trade, 2022, 58, (5), 1320-1338 View citations (8)

2021

11. Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
    IJFS, 2021, 9, (2), 1-13 View citations (2)
12. Financial stress, economic policy uncertainty, and oil price uncertainty
    Energy Economics, 2021, 104, (C) View citations (33)
13. Layoffs and stock market performance during the COVID-19 pandemic: evidence from the US
    Journal of Economic Studies, 2021, 50, (2), 96-108
14. Political uncertainty, COVID-19 pandemic and stock market volatility transmission
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (14)
15. Quantile dependencies between discontinuities and time-varying rare disaster risks
    The European Journal of Finance, 2021, 27, (10), 932-962 View citations (1)
16. Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis
    International Review of Financial Analysis, 2021, 74, (C) View citations (7)
17. Share price informativeness and dividend smoothing behavior in GCC markets
    Journal of Economic Studies, 2021, 49, (6), 978-1001
18. Testing for rational bubbles in the UK housing market
    Applied Economics, 2021, 53, (8), 962-975 View citations (1)
19. The impact of heuristic and herding biases on portfolio construction and performance: the case of Greece
    Review of Behavioral Finance, 2021, 14, (3), 436-462 View citations (4)

2020

20. Abnormal returns and systemic risk: evidence from a non-parametric bootstrap framework during the European sovereign debt crisis
    International Journal of Computational Economics and Econometrics, 2020, 10, (3), 264-290
21. Banking Development and Economy in Greece: Evidence from Regional Data
    JRFM, 2020, 13, (10), 1-13 View citations (2)
22. Bubbles in Crude Oil and Commodity Energy Index: New Evidence
    Energies, 2020, 13, (24), 1-11 View citations (8)
23. Efficiency in banking: does the choice of inputs and outputs matter?
    International Journal of Computational Economics and Econometrics, 2020, 10, (2), 129-148 View citations (2)
    See also Working Paper Efficiency in banking: does the choice of inputs and outputs matter?, Post-Print (2020) View citations (2) (2020)
24. Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility
    Risks, 2020, 8, (2), 1-15 View citations (3)
25. Futures hedging with stochastic volatility: a new method
    International Journal of Computational Economics and Econometrics, 2020, 10, (2), 203-207
26. Greek sovereign crisis and European exchange rates: effects of news releases and their providers
    Annals of Operations Research, 2020, 294, (1), 515-536
27. Realized Measures to Explain Volatility Changes over Time
    JRFM, 2020, 13, (6), 1-19 View citations (8)
28. Taxation avoidance in overtrading firms as determinants of board independence (BvD)
    Operational Research, 2020, 20, (3), 1189-1204

2019

29. Economic News Releases and Financial Markets in South Africa
    Economies, 2019, 7, (4), 1-13
30. Risk, competition and cost efficiency in the Chinese banking industry
    International Journal of Banking, Accounting and Finance, 2019, 10, (2), 144-161 View citations (5)
31. SIMPLIFIED OPTION PRICING TECHNIQUES
    Annals of Financial Economics (AFE), 2019, 14, (01), 1-19
    See also Working Paper Simplified option pricing techniques, DUTH Research Papers in Economics (2014) (2014)
32. The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis
    International Journal of Banking, Accounting and Finance, 2019, 10, (1), 3-38 View citations (2)
    See also Working Paper The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis, BAFES Working Papers (2018) (2018)

2018

33. Macroeconomic and financing determinants of out of pocket payments in health care: Evidence from selected OECD countries
    Journal of Policy Modeling, 2018, 40, (6), 1290-1312 View citations (5)
34. Risk, competition and efficiency in banking: Evidence from China
    Global Finance Journal, 2018, 35, (C), 223-236 View citations (35)
35. The dynamic connectedness of UK regional property returns
    Urban Studies, 2018, 55, (14), 3110-3134 View citations (33)
36. The impact of dividend announcements on share price and trading volume
    Journal of Economic Studies, 2018, 45, (2), 210-230 View citations (1)

2017

37. Asset prices regime-switching and the role of inflation targeting monetary policy
    Global Finance Journal, 2017, 32, (C), 97-112 View citations (7)
    See also Working Paper Asset prices regime-switching and the role of inflation targeting monetary policy, MPRA Paper (2015) (2015)
38. Combined social and private health insurance versus catastrophic out of pocket payments for private hospital care in Greece
    International Journal of Health Economics and Management, 2017, 17, (3), 261-287 View citations (3)
39. The profitability of Chinese banks: impacts of risk, competition and efficiency
    Review of Accounting and Finance, 2017, 16, (1), 86-105 View citations (37)

2016

40. Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom
    International Review of Financial Analysis, 2016, 44, (C), 111-122 View citations (23)
41. Dynamic spillover effects in futures markets: UK and US evidence
    International Review of Financial Analysis, 2016, 48, (C), 406-418 View citations (26)
42. Efficiency, leverage and profitability: the case of Greek manufacturing sector
    Global Business and Economics Review, 2016, 18, (3/4), 385-401
43. Intra-day realized volatility for European and USA stock indices
    Global Finance Journal, 2016, 29, (C), 24-41 View citations (12)
    See also Working Paper Intra-Day Realized Volatility for European and USA Stock Indices, MPRA Paper (2015) (2015)
44. Out of pocket payments and social health insurance for private hospital care: Evidence from Greece
    Health Policy, 2016, 120, (8), 948-959 View citations (10)
45. Volatility, trading volume and open interest in futures markets
    International Journal of Managerial Finance, 2016, 12, (5), 629-653 View citations (12)

2015

46. A note on dynamic hedging
    Journal of Risk Finance, 2015, 16, (2), 190-196
47. Number of ATMs, IT investments, bank profitability and efficiency in Greece
    Global Business and Economics Review, 2015, 17, (2), 217-235 View citations (2)

2014

48. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
    Manchester School, 2014, 82, (1), 71-102 View citations (8)
    See also Working Paper A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification, MPRA Paper (2014) View citations (9) (2014)
49. Calendar anomalies in cash and stock index futures: International evidence
    Economic Modelling, 2014, 37, (C), 216-223 View citations (13)
50. Econometric investigation of internet banking adoption in Greece
    Journal of Economic Studies, 2014, 41, (4), 586-600 View citations (2)
51. Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?
    Journal of Empirical Finance, 2014, 28, (C), 60-77 View citations (16)
52. Risk, profitability, and competition: evidence from the Chinese banking industry
    Journal of Developing Areas, 2014, 48, (3), 303-319 View citations (17)

2013

53. Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market
    International Review of Financial Analysis, 2013, 28, (C), 166-173 View citations (3)
54. Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
    International Review of Financial Analysis, 2013, 27, (C), 21-33 View citations (20)
    See also Working Paper Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence, MPRA Paper (2013) View citations (21) (2013)
55. How the internet affects the financial performance of Greek banks
    International Journal of Financial Services Management, 2013, 6, (2), 170-177 View citations (2)
56. Market power, stability and performance in the Chinese banking industry
    Economic Issues Journal Articles, 2013, 18, (2), 65-90 View citations (9)
57. Modeling CAC40 volatility using ultra-high frequency data
    Research in International Business and Finance, 2013, 28, (C), 68-81 View citations (9)
    See also Working Paper Modeling CAC40 Volatility Using Ultra-high Frequency Data, MPRA Paper (2013) View citations (8) (2013)
58. Moon Phases, Mood and Stock Market Returns
    Journal of Emerging Market Finance, 2013, 12, (1), 107-127 View citations (2)
59. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 175-191 View citations (107)
    See also Working Paper Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment, MPRA Paper (2013) View citations (109) (2013)
60. Risk, capital and efficiency in Chinese banking
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 378-393 View citations (92)

2012

61. Bank profitability and GDP growth in China: a note
    Journal of Chinese Economic and Business Studies, 2012, 10, (3), 267-273 View citations (30)
62. Bank profitability and inflation: the case of China
    Journal of Economic Studies, 2012, 39, (6), 675-696 View citations (56)
63. Stock market volatility and bank performance in China
    Studies in Economics and Finance, 2012, 29, (3), 211-228 View citations (13)
64. Testing dominant theories and assumptions in behavioral finance
    Journal of Risk Finance, 2012, 13, (3), 262-268

2011

65. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
    International Review of Financial Analysis, 2011, 20, (3), 152-164 View citations (428)
    See also Working Paper Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, MPRA Paper (2011) View citations (463) (2011)
66. Dynamic relationships between Middle East stock markets
    International Journal of Islamic and Middle Eastern Finance and Management, 2011, 4, (3), 227-236
67. Hedging with a generalised basis risk: empirical results
    International Journal of Financial Markets and Derivatives, 2011, 2, (3), 244-248
68. On the relationship between weather and stock market returns
    Studies in Economics and Finance, 2011, 28, (1), 5-13 View citations (8)
69. Option listing, returns and volatility: evidence from Greece
    Applied Financial Economics, 2011, 21, (19), 1423-1435 View citations (3)

2010

70. Hedge Ratios in South African Stock Index Futures
    Journal of Emerging Market Finance, 2010, 9, (3), 285-304 View citations (9)
    See also Working Paper Hedge Ratios in South African Stock Index Futures, MPRA Paper (2010) View citations (7) (2010)
71. The impact of the Athens Olympic Games on the Athens Stock Exchange
    Journal of Economic Studies, 2010, 37, (6), 647-657 View citations (5)

2009

72. Internet banking services and fees: the case of Greece
    International Journal of Electronic Finance, 2009, 3, (2), 177-198
73. VAR model training using particle swarm optimisation: evidence from macro-finance data
    International Journal of Computational Economics and Econometrics, 2009, 1, (1), 9-22 View citations (1)

2008

74. LONG MEMORY IN EXCHANGE RATES: INTERNATIONAL EVIDENCE
    The International Journal of Business and Finance Research, 2008, 2, (1), 31-39 View citations (6)

2007

75. Long memory in the Portuguese stock market
    Studies in Economics and Finance, 2007, 24, (3), 220-232 View citations (14)
76. Price and Open Interest in Greek Stock Index Futures Market
    Journal of Emerging Market Finance, 2007, 6, (2), 191-202 View citations (3)
77. The use of GARCH models for the calculation of minimum capital risk requirements
    International Journal of Managerial Finance, 2007, 3, (4), 360-371 View citations (4)

2006

78. Integration and Volatility Spillovers in African Equity Markets: Evidence from Namibia and South Africa
    The African Finance Journal, 2006, 8, (2), 31-51 View citations (4)

2005

79. Forecasting the UK Unemployment Rate: Model Comparisons
    International Journal of Applied Econometrics and Quantitative Studies, 2005, 2, (4), 57-72 View citations (7)
80. Price Linkages Between the US, Japan and UK Stock Markets
    Financial Markets and Portfolio Management, 2005, 19, (2), 169-178 View citations (7)

2004

81. Hedge ratios in Greek stock index futures market
    Applied Financial Economics, 2004, 14, (15), 1125-1136 View citations (20)
82. Seasonaility and Cointegration in the Fishing Industry of Conrwall
    International Journal of Applied Econometrics and Quantitative Studies, 2004, 1, (4), 27-52 View citations (2)
83. Stock Returns and Inflation in Greece
    Applied Econometrics and International Development, 2004, 4, (2) View citations (13)

Books

2015

1. Modelling and Forecasting High Frequency Financial Data
   Palgrave Macmillan Books, Palgrave Macmillan View citations (12)

Edited books

2022

1. Applications in Energy Finance
   Springer Books, Springer View citations (6)

2017

2. The Greek Debt Crisis
   Springer Books, Springer View citations (5)

Chapters

2023

1. Corporate Governance Gender Equality and Firm Financial Performance: The Case of Euronext 100 Index
   Chapter 5 in Governance and Financial Performance Current Trends and Perspectives, 2023, pp 105-119

2022

2. Volatility Contagion Between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19: A TVP-VAR Extended Joint Connectedness Approach
   Springer View citations (4)

2020

3. Forecasting Tourism Demand in Europe
   Springer

2015

4. Intraday Hedge Ratios and Option Pricing
   Palgrave Macmillan
5. Intraday Realized Volatility Measures
   Palgrave Macmillan
6. Introduction to High Frequency Financial Modelling
   Palgrave Macmillan
7. Methods of Volatility Estimation and Forecasting
   Palgrave Macmillan View citations (1)
8. Multiple Model Comparison and Hypothesis Framework Construction
   Palgrave Macmillan
9. Realized Volatility Forecasting: Applications
   Palgrave Macmillan
10. Recent Methods: A Review
    Palgrave Macmillan