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Details about Raphael Nicholas Markellos

E-mail:
Homepage:http://raphael.markellos.googlepages.com
Workplace:Norwich Business School, University of East Anglia, (more information at EDIRC)

Access statistics for papers by Raphael Nicholas Markellos.

Last updated 2017-02-20. Update your information in the RePEc Author Service.

Short-id: pma607


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Working Papers

2012

  1. Dynamic interaction between markets for leasing and selling automobiles
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Banking & Finance (2015)

2009

  1. Does the weather affect stock market volatility?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2010)

Journal Articles

2016

  1. An International Comparison of Implied, Realized, and GARCH Volatility Forecasts
    Journal of Futures Markets, 2016, 36, (12), 1164-1193 Downloads View citations (11)
  2. Sovereign debt markets in light of the shadow economy
    European Journal of Operational Research, 2016, 252, (1), 220-231 Downloads View citations (5)

2015

  1. Dynamic interaction between markets for leasing and selling automobiles
    Journal of Banking & Finance, 2015, 50, (C), 260-270 Downloads View citations (1)
    See also Working Paper (2012)
  2. Electricity futures prices in an emissions constrained economy: Evidence from European power markets
    The Energy Journal, 2015, Volume 36, (Number 3) Downloads View citations (2)

2013

  1. Environmental policy implications of extreme variations in pollutant stock levels and socioeconomic costs
    The Quarterly Review of Economics and Finance, 2013, 53, (4), 417-428 Downloads
  2. Optimal Hedge Ratio Estimation and Effectiveness Using ARCD
    Journal of Forecasting, 2013, 32, (1), 41-50 View citations (1)

2012

  1. Information demand and stock market volatility
    Journal of Banking & Finance, 2012, 36, (6), 1808-1821 Downloads View citations (119)
  2. Investment under uncertainty and volatility estimation risk
    Applied Economics Letters, 2012, 19, (2), 133-137 Downloads
  3. Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix
    Journal of Banking & Finance, 2012, 36, (9), 2522-2531 Downloads View citations (24)
  4. Wine price risk management: International diversification and derivative instruments
    International Review of Financial Analysis, 2012, 22, (C), 30-37 Downloads View citations (15)

2011

  1. OPTIMAL PRICE SETTING IN FIXED‐ODDS BETTING MARKETS UNDER INFORMATION UNCERTAINTY
    Scottish Journal of Political Economy, 2011, 58, (4), 519-536 View citations (4)
  2. Traded American options are Bermudan
    Managerial Finance, 2011, 37, (11), 978-984 Downloads

2010

  1. A jump diffusion model for VIX volatility options and futures
    Review of Quantitative Finance and Accounting, 2010, 35, (3), 245-269 Downloads View citations (18)
  2. Corporate real estate analysis: evaluating telecom branch efficiency in Greece
    Applied Economics, 2010, 42, (9), 1133-1143 Downloads View citations (2)
  3. Does the weather affect stock market volatility?
    Finance Research Letters, 2010, 7, (4), 214-223 Downloads View citations (16)
    See also Working Paper (2009)

2009

  1. Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext
    Energy Policy, 2009, 37, (7), 2594-2604 Downloads View citations (33)
  2. How efficient is the European football betting market? Evidence from arbitrage and trading strategies
    Journal of Forecasting, 2009, 28, (5), 426-444 Downloads View citations (21)
  3. Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme
    Journal of Banking & Finance, 2009, 33, (7), 1230-1241 Downloads View citations (165)

2008

  1. Nonlinear modelling of European football scores using support vector machines
    Applied Economics, 2008, 40, (1), 111-118 Downloads View citations (3)

2007

  1. The finite sample properties of the GARCH option pricing model
    Journal of Futures Markets, 2007, 27, (6), 599-615 Downloads

2004

  1. Diversification benefits in trading?
    Applied Financial Economics, 2004, 14, (1), 13-17 Downloads

2003

  1. Asset pricing dynamics
    The European Journal of Finance, 2003, 9, (6), 533-556 Downloads View citations (1)

2001

  1. Unit roots in the CAPM?
    Applied Economics Letters, 2001, 8, (8), 499-502 Downloads View citations (3)

2000

  1. Seasonality in the Athens stock exchange
    Applied Financial Economics, 2000, 10, (2), 137-142 Downloads View citations (19)

1999

  1. Investment strategy evaluation with cointegration
    Applied Economics Letters, 1999, 6, (3), 177-179 Downloads View citations (1)

1997

  1. Diversification benefits in the smaller European stock markets
    International Advances in Economic Research, 1997, 3, (2), 142-153 Downloads View citations (2)

Books

2008

  1. The Econometric Modelling of Financial Time Series
    Cambridge Books, Cambridge University Press View citations (35)
 
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