Details about Vassilis Polimenis

Access statistics for papers by Vassilis Polimenis.

Last updated 2024-04-08. 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 View citations (1)
   See also Journal Article Non-stationary dividend-price ratios, Journal of Asset Management, Palgrave Macmillan (2019) View citations (1) (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 Affine Models for Credit Risk Analysis, Journal of Financial Econometrics, Oxford University Press (2006) View citations (30) (2006)

2002

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

Journal Articles

2022

1. Modified ratios and the cyclically adjusted price-earnings ratio
   Global Business and Economics Review, 2022, 27, (2), 209-231

2019

2. 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
3. Non-stationary dividend-price ratios
   Journal of Asset Management, 2019, 20, (7), 552-567 View citations (1)
   See also Working Paper Non-Stationary Dividend-Price Ratios, Papers (2019) View citations (1) (2019)

2016

4. Sensitivity analysis of market and stock returns by considering positive and negative jumps
   Journal of Risk Finance, 2016, 17, (4), 456-472
5. The modified dividend–price ratio
   International Review of Financial Analysis, 2016, 45, (C), 31-38 View citations (5)

2014

6. Jointly estimating jump betas
   Journal of Risk Finance, 2014, 15, (2), 131-148

2012

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

2011

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

2008

9. Optimal portfolio allocation with higher moments
   Annals of Finance, 2008, 4, (1), 1-28 View citations (42)

2006

10. Affine Models for Credit Risk Analysis
    Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations (30)
    See also Working Paper Affine Model for Credit Risk Analysis, Working Papers (2005) View citations (3) (2005)

2005

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