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Details about Dimitris Georgoutsos

Workplace:Department of Accounting and Finance, Athens University of Economics and Business (AUEB), (more information at EDIRC)

Access statistics for papers by Dimitris Georgoutsos.

Last updated 2021-12-14. Update your information in the RePEc Author Service.

Short-id: pge234


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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 Downloads
    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) Downloads (2021)

2018

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

2012

  1. Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
    Working Papers, Bank of Greece Downloads 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) Downloads View citations (42) (2013)

2010

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

2009

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

2006

  1. 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 Downloads
    See also Journal Article Direction-of-change forecasting using a volatility-based recurrent neural network, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) Downloads View citations (11) (2008)
  2. 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 Downloads View citations (1)

2001

  1. A MULTIVARIATE I(2) COINTEGRATION ANALYSIS OF GERMAN HYPERINFLATION
    Working Papers, University of Crete, Department of Economics Downloads
    See also Journal Article A Multivariate I(2) cointegration analysis of German hyperinflation, Applied Financial Economics, Taylor & Francis Journals (2004) Downloads View citations (7) (2004)
  2. COMMON STOCHASTIC TRENDS IN INTERNATIONAL STOCK MARKETS: TESTING IN AN INTEGRATED FRAMEWORK
    Working Papers, University of Crete, Department of Economics Downloads View citations (8)
  3. 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 Downloads View citations (1)

Undated

  1. COINTEGRATION TESTS OF FORWARD MARKET EFFICIENCY DURING THE 1920s
    Working Papers, University of Crete, Department of Economics
  2. COINTEGRATION TESTS OF THE MONETARY EXCHANGE RATE MODEL: THE CANADIAN-U.S. DOLLAR, 1970 - 1994
    Working Papers, University of Crete, Department of Economics
  3. Interest Parity, the Term Structure and Cointegration: an Integrated Approach
    Working Papers, University of Crete, Department of Economics
  4. LONG-RUN PURCHASING POWER PARITY: HOW SURE ARE WE THAT COINTEGRATION EXISTS?
    Working Papers, University of Crete, Department of Economics
  5. 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) Downloads View citations (2) (1998)
  6. 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) Downloads View citations (15) (1998)
  7. THE MONETARY EXCHANGE RATE MODEL: FRAGILE EVIDENCE FROM COINTEGRATION TESTS
    Working Papers, University of Crete, Department of Economics
  8. 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) Downloads (2000)
  9. 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 Downloads
    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) Downloads (2020)

2019

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

2017

  1. Bank-sovereign contagion in the Eurozone: A panel VAR Approach
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 146-159 Downloads View citations (8)
  2. 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 Downloads

2016

  1. Interest parity, cointegration, and the term structure: Testing in an integrated framework
    International Review of Financial Analysis, 2016, 46, (C), 281-294 Downloads View citations (1)
  2. Treasury yields and credit spread dynamics: A regime-switching approach
    The Journal of Economic Asymmetries, 2016, 14, (PA), 39-51 Downloads View citations (2)

2013

  1. European sovereign bond spreads: financial integration and market conditions
    Applied Financial Economics, 2013, 23, (20), 1609-1621 Downloads View citations (2)
  2. 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 Downloads View citations (42)
    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) Downloads View citations (7) (2012)

2012

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

2008

  1. Direction-of-change forecasting using a volatility-based recurrent neural network
    Journal of Forecasting, 2008, 27, (5), 407-417 Downloads View citations (11)
    See also Working Paper Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network, CeNDEF Working Papers (2006) Downloads (2006)
  2. 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 Downloads View citations (5)
  3. Testing the forward rate unbiasedness hypothesis during the 1920s
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (4), 358-373 Downloads View citations (3)
  4. The extreme-value dependence of Asia-Pacific equity markets
    Journal of Multinational Financial Management, 2008, 18, (3), 197-208 Downloads View citations (8)

2007

  1. 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 Downloads View citations (6)

2005

  1. 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 Downloads View citations (26)

2004

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

2002

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

2000

  1. 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 Downloads View citations (12)
  2. 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 Downloads
    See also Working Paper THE POUND STERLING AND FRANC POINCARE IN THE 1920S: LONG-RUN RELATIONSHIPS, SPECULATION AND TEMPORAL STABILITY, Working Papers

1998

  1. Temporal aggregation in structural VAR models
    Applied Stochastic Models and Data Analysis, 1998, 14, (1), 19-34 Downloads View citations (2)
    See also Working Paper TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS, Working Papers View citations (3)
  2. The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability
    Journal of Macroeconomics, 1998, 20, (4), 741-766 Downloads View citations (15)
    See also Working Paper THE MONETARY APPROACH TO THE EXCHANGE RATE: LONG-RUN RELATIONSHIPS, IDENTIFICATION AND TEMPORAL STABILITY, Working Papers View citations (1)

1997

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

1990

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

Chapters

2021

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

2020

  1. Determinants of Euro-Area Bank CDS Spreads
    Chapter 60 in HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, 2020, pp 2161-2198 Downloads
 
Page updated 2024-05-12