Details about Dimitris Georgoutsos

Access statistics for papers by Dimitris Georgoutsos.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pge234

Working Papers

2020

1. On the informative value of the EU-wide stress tests and the determinants of banks’ stock return reactions
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article On the informative value of the EU-wide stress tests and the determinants of banks’ stock return reactions, Empirica, Springer (2021) (2021)

2018

2. Risk perceptions and fundamental effects on sovereign spreads
   Working Papers, Bank of Greece View citations (1)

2012

3. Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
   Working Papers, Bank of Greece View citations (7)
   See also Journal Article Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?, Journal of Banking & Finance, Elsevier (2013) View citations (47) (2013)

2010

4. European sovereign bond spreads: monetary unification, market conditions and financial integration
   Working Papers, Bank of Greece View citations (10)

2009

5. Benchmark bonds interactions under regime shifts
   Working Papers, Bank of Greece View citations (8)
   See also Journal Article Benchmark Bonds Interactions under Regime Shifts, European Financial Management, European Financial Management Association (2012) View citations (4) (2012)

2006

6. Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
   See also Journal Article Direction-of-change forecasting using a volatility-based recurrent neural network, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) View citations (11) (2008)
7. Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (1)

2001

8. A MULTIVARIATE I(2) COINTEGRATION ANALYSIS OF GERMAN HYPERINFLATION
   Working Papers, University of Crete, Department of Economics
   See also Journal Article A Multivariate I(2) cointegration analysis of German hyperinflation, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (7) (2004)
9. COMMON STOCHASTIC TRENDS IN INTERNATIONAL STOCK MARKETS: TESTING IN AN INTEGRATED FRAMEWORK
   Working Papers, University of Crete, Department of Economics View citations (9)
10. The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America
    Working Papers, University of Crete, Department of Economics View citations (1)

Undated

11. COINTEGRATION TESTS OF FORWARD MARKET EFFICIENCY DURING THE 1920s
    Working Papers, University of Crete, Department of Economics
12. COINTEGRATION TESTS OF THE MONETARY EXCHANGE RATE MODEL: THE CANADIAN-U.S. DOLLAR, 1970 - 1994
    Working Papers, University of Crete, Department of Economics
13. Interest Parity, the Term Structure and Cointegration: an Integrated Approach
    Working Papers, University of Crete, Department of Economics
14. LONG-RUN PURCHASING POWER PARITY: HOW SURE ARE WE THAT COINTEGRATION EXISTS?
    Working Papers, University of Crete, Department of Economics
15. TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS
    Working Papers, University of Crete, Department of Economics View citations (3)
    See also Journal Article Temporal aggregation in structural VAR models, Applied Stochastic Models and Data Analysis, John Wiley & Sons (1998) View citations (2) (1998)
16. THE MONETARY APPROACH TO THE EXCHANGE RATE: LONG-RUN RELATIONSHIPS, IDENTIFICATION AND TEMPORAL STABILITY
    Working Papers, University of Crete, Department of Economics View citations (1)
    See also Journal Article The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability, Journal of Macroeconomics, Elsevier (1998) View citations (17) (1998)
17. THE MONETARY EXCHANGE RATE MODEL: FRAGILE EVIDENCE FROM COINTEGRATION TESTS
    Working Papers, University of Crete, Department of Economics
18. THE POUND STERLING AND FRANC POINCARE IN THE 1920S: LONG-RUN RELATIONSHIPS, SPECULATION AND TEMPORAL STABILITY
    Working Papers, University of Crete, Department of Economics
    See also Journal Article The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability, Applied Financial Economics, Taylor & Francis Journals (2000) (2000)
19. The Monetary Model in the Presence of I (2) Components: A Cointegration Analysis
    Working Papers, University of Crete, Department of Economics View citations (2)

Journal Articles

2021

1. On the informative value of the EU-wide stress tests and the determinants of banks’ stock return reactions
   Empirica, 2021, 48, (4), 977-1008
   See also Working Paper On the informative value of the EU-wide stress tests and the determinants of banks’ stock return reactions, MPRA Paper (2020) (2020)

2019

2. Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices
   JRFM, 2019, 12, (4), 1-20 View citations (5)

2017

3. Bank-sovereign contagion in the Eurozone: A panel VAR Approach
   Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 146-159 View citations (10)
4. The Relevance of the Monetary Model for the Euro / USD Exchange Rate Determination: a Long Run Perspective
   Open Economies Review, 2017, 28, (5), 989-1010

2016

5. Interest parity, cointegration, and the term structure: Testing in an integrated framework
   International Review of Financial Analysis, 2016, 46, (C), 281-294 View citations (2)
6. Treasury yields and credit spread dynamics: A regime-switching approach
   The Journal of Economic Asymmetries, 2016, 14, (PA), 39-51 View citations (2)

2013

7. European sovereign bond spreads: financial integration and market conditions
   Applied Financial Economics, 2013, 23, (20), 1609-1621 View citations (2)
8. Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
   Journal of Banking & Finance, 2013, 37, (11), 4650-4664 View citations (47)
   See also Working Paper Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?, Working Papers (2012) View citations (7) (2012)

2012

9. Benchmark Bonds Interactions under Regime Shifts
   European Financial Management, 2012, 18, (3), 389-409 View citations (4)
   See also Working Paper Benchmark bonds interactions under regime shifts, Working Papers (2009) View citations (8) (2009)

2008

10. Direction-of-change forecasting using a volatility-based recurrent neural network
    Journal of Forecasting, 2008, 27, (5), 407-417 View citations (11)
    See also Working Paper Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network, CeNDEF Working Papers (2006) (2006)
11. Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index
    The European Journal of Finance, 2008, 14, (5), 397-408 View citations (6)
12. Testing the forward rate unbiasedness hypothesis during the 1920s
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (4), 358-373 View citations (3)
13. The extreme-value dependence of Asia-Pacific equity markets
    Journal of Multinational Financial Management, 2008, 18, (3), 197-208 View citations (8)

2007

14. Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus
    Applied Financial Economics, 2007, 18, (3), 239-254 View citations (6)

2005

15. Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (3), 209-228 View citations (26)

2004

16. A Multivariate I(2) cointegration analysis of German hyperinflation
    Applied Financial Economics, 2004, 14, (1), 29-41 View citations (7)
    See also Working Paper A MULTIVARIATE I(2) COINTEGRATION ANALYSIS OF GERMAN HYPERINFLATION, Working Papers (2001) (2001)

2002

17. Cointegration, Uncoverd Interest Parity and the Term Structure of Interest Rates: Some International Evidence
    European Research Studies Journal, 2002, V, (1-2), 7-22 View citations (2)

2000

18. The monetary model in the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the Greek drachma
    Journal of International Money and Finance, 2000, 19, (6), 917-941 View citations (12)
19. The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability
    Applied Financial Economics, 2000, 10, (5), 471-482
    See also Working Paper THE POUND STERLING AND FRANC POINCARE IN THE 1920S: LONG-RUN RELATIONSHIPS, SPECULATION AND TEMPORAL STABILITY, Working Papers

1998

20. Temporal aggregation in structural VAR models
    Applied Stochastic Models and Data Analysis, 1998, 14, (1), 19-34 View citations (2)
    See also Working Paper TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS, Working Papers View citations (3)
21. The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability
    Journal of Macroeconomics, 1998, 20, (4), 741-766 View citations (17)
    See also Working Paper THE MONETARY APPROACH TO THE EXCHANGE RATE: LONG-RUN RELATIONSHIPS, IDENTIFICATION AND TEMPORAL STABILITY, Working Papers View citations (1)

1997

22. The monetary model of the exchange rate and the Greek drachma in the 1920s
    Applied Financial Economics, 1997, 7, (5), 507-515 View citations (1)

1990

23. Monopolistic competition and the Q theory of investment
    European Economic Review, 1990, 34, (5), 1061-1078 View citations (36)

Chapters

2024

1. The Sovereign Rating Channel in the European Debt Crisis: Spillover Effects on Sovereign CDS and Other Systemic Risk Indicators
   Chapter 60 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, 2024, pp 1929-1959

2021

2. Regime Switches in the Yield Curve-Credit Spread Relationship and the Prediction of Recessions
   Springer

2020

3. Determinants of Euro-Area Bank CDS Spreads
   Chapter 60 in HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, 2020, pp 2161-2198

1996

4. Empirical issues of the sterling-Deutschmark exchange rate behaviour before and after the September 1992 crisis
   Chapter 8 in Economic Integration and Public Policy in the European Union, 1996, pp 101-111