Details about Raphael Nicholas Markellos

Access statistics for papers by Raphael Nicholas Markellos.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pma607

Working Papers

2012

1. Dynamic interaction between markets for leasing and selling automobiles
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Dynamic interaction between markets for leasing and selling automobiles, Journal of Banking & Finance, Elsevier (2015) View citations (2) (2015)

2009

2. Does the weather affect stock market volatility?
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Does the weather affect stock market volatility?, Finance Research Letters, Elsevier (2010) View citations (38) (2010)

Journal Articles

2024

1. Can we price beauty? Aesthetics and digital art markets
   Economics Letters, 2024, 235, (C)

2023

2. Human resources turnover as an asset acquisition and divestiture process: Evidence from the U.K. football industry
   International Journal of Finance & Economics, 2023, 28, (3), 2696-2711
3. Modeling skewness in portfolio choice
   Journal of Futures Markets, 2023, 43, (6), 734-770

2022

4. Keyword portfolio optimization in paid search advertising
   European Journal of Operational Research, 2022, 303, (2), 767-778 View citations (2)

2018

5. Covariance forecasting in equity markets
   Journal of Banking & Finance, 2018, 96, (C), 153-168 View citations (6)
6. Interest rate volatility and risk management: Evidence from CBOE Treasury options
   The Quarterly Review of Economics and Finance, 2018, 68, (C), 190-202 View citations (7)
7. Is there an Olympic gold medal rush in the stock market?
   The European Journal of Finance, 2018, 24, (17), 1631-1648 View citations (5)

2016

8. An International Comparison of Implied, Realized, and GARCH Volatility Forecasts
   Journal of Futures Markets, 2016, 36, (12), 1164-1193 View citations (29)
9. Sovereign debt markets in light of the shadow economy
   European Journal of Operational Research, 2016, 252, (1), 220-231 View citations (12)

2015

10. Dynamic interaction between markets for leasing and selling automobiles
    Journal of Banking & Finance, 2015, 50, (C), 260-270 View citations (2)
    See also Working Paper Dynamic interaction between markets for leasing and selling automobiles, MPRA Paper (2012) (2012)
11. Electricity Futures Prices in an Emissions Constrained Economy: Evidence from European Power Markets
    The Energy Journal, 2015, 36, (3), 1-34 View citations (2)
    Also in The Energy Journal, 2015, Volume 36, (Number 3) (2015) View citations (6)

2013

12. 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
13. Optimal Hedge Ratio Estimation and Effectiveness Using ARCD
    Journal of Forecasting, 2013, 32, (1), 41-50 View citations (5)

2012

14. Information demand and stock market volatility
    Journal of Banking & Finance, 2012, 36, (6), 1808-1821 View citations (242)
15. Investment under uncertainty and volatility estimation risk
    Applied Economics Letters, 2012, 19, (2), 133-137
16. Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix
    Journal of Banking & Finance, 2012, 36, (9), 2522-2531 View citations (39)
17. Wine price risk management: International diversification and derivative instruments
    International Review of Financial Analysis, 2012, 22, (C), 30-37 View citations (24)

2011

18. OPTIMAL PRICE SETTING IN FIXED‐ODDS BETTING MARKETS UNDER INFORMATION UNCERTAINTY
    Scottish Journal of Political Economy, 2011, 58, (4), 519-536 View citations (8)

2010

19. A jump diffusion model for VIX volatility options and futures
    Review of Quantitative Finance and Accounting, 2010, 35, (3), 245-269 View citations (38)
20. Corporate real estate analysis: evaluating telecom branch efficiency in Greece
    Applied Economics, 2010, 42, (9), 1133-1143 View citations (3)
21. Does the weather affect stock market volatility?
    Finance Research Letters, 2010, 7, (4), 214-223 View citations (38)
    See also Working Paper Does the weather affect stock market volatility?, MPRA Paper (2009) View citations (1) (2009)

2009

22. Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext
    Energy Policy, 2009, 37, (7), 2594-2604 View citations (42)
23. How efficient is the European football betting market? Evidence from arbitrage and trading strategies
    Journal of Forecasting, 2009, 28, (5), 426-444 View citations (58)
24. Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme
    Journal of Banking & Finance, 2009, 33, (7), 1230-1241 View citations (214)

2008

25. Nonlinear modelling of European football scores using support vector machines
    Applied Economics, 2008, 40, (1), 111-118 View citations (7)

2007

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

2004

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

2003

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

2001

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

2000

30. Seasonality in the Athens stock exchange
    Applied Financial Economics, 2000, 10, (2), 137-142 View citations (20)

1999

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

1997

32. Diversification benefits in the smaller European stock markets
    International Advances in Economic Research, 1997, 3, (2), 142-153 View citations (4)

Books

2008

1. The Econometric Modelling of Financial Time Series
   Cambridge Books, Cambridge University Press View citations (51)

Chapters

2009

1. Estimation of Continuous-Time Stochastic Volatility Models
   Palgrave Macmillan