Details about Vassilis Polimenis

Access statistics for papers by Vassilis Polimenis.

Last updated 2022-08-08. Update your information in the RePEc Author Service.

Short-id: ppo227

Working Papers

2022

1. The Lepto-Variance of Stock Returns
   Papers, arXiv.org

2020

2. Trading on the Floor after Sweeping the Book
   Papers, arXiv.org
3. Uncovering a factor-based expected return conditioning structure with Regression Trees jointly for many stocks
   Papers, arXiv.org

2019

4. Non-Stationary Dividend-Price Ratios
   Papers, arXiv.org
   See also Journal Article in Journal of Asset Management (2019)

2005

5. Affine Model for Credit Risk Analysis
   Working Papers, Center for Research in Economics and Statistics View citations (3)
   See also Journal Article in The Journal of Financial Econometrics (2006)

2002

6. Affine Term Structure Models
   Working Papers, Center for Research in Economics and Statistics View citations (22)

Journal Articles

2019

1. A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps
   Journal of Applied Statistics, 2019, 46, (12), 2180-2197
2. Non-stationary dividend-price ratios
   Journal of Asset Management, 2019, 20, (7), 552-567
   See also Working Paper (2019)

2016

3. The modified dividend–price ratio
   International Review of Financial Analysis, 2016, 45, (C), 31-38 View citations (3)

2012

4. Day-of-the-week effect around the 2008 financial crisis
   Global Business and Economics Review, 2012, 14, (4), 283-307

2011

5. The critical stock price for the American put option
   Finance Research Letters, 2011, 8, (1), 8-14 View citations (1)

2008

6. Optimal portfolio allocation with higher moments
   Annals of Finance, 2008, 4, (1), 1-28 View citations (39)

2006

7. Affine Models for Credit Risk Analysis
   The Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations (28)
   See also Working Paper (2005)

2005

8. A realistic model of market liquidity and depth
   Journal of Futures Markets, 2005, 25, (5), 443-464 View citations (2)
9. Slow and fast markets
   Journal of Economics and Business, 2005, 57, (6), 576-593