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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 2021-03-09. 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

2018

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

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 in Journal of Banking & Finance (2013)

2010

  1. European sovereign bond spreads: monetary unification, market conditions and financial integration
    Working Papers, Bank of Greece Downloads View citations (9)

2009

  1. Benchmark bonds interactions under regime shifts
    Working Papers, Bank of Greece Downloads View citations (8)
    See also Journal Article in European Financial Management (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 in Journal of Forecasting (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 in Applied Financial Economics (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 (7)
  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 in Applied Stochastic Models and Data Analysis (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 in Journal of Macroeconomics (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 in Applied Financial Economics (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

2019

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

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 (4)
  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
  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 (1)
  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 (31)
    See also Working Paper (2012)

2012

  1. Benchmark Bonds Interactions under Regime Shifts
    European Financial Management, 2012, 18, (3), 389-409 Downloads View citations (1)
    See also Working Paper (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 (8)
    See also Working Paper (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 (3)
  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 (7)

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 (23)

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 (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 (1)

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

1998

  1. Temporal aggregation in structural VAR models
    Applied Stochastic Models and Data Analysis, 1998, 14, (1), 19-34 Downloads
    See also Working Paper
  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 (16)
    See also Working Paper

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 (34)

Chapters

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
 
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