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
Jump to Journal Articles
Working Papers
2022
- The Lepto-Variance of Stock Returns
Papers, arXiv.org
2020
- Trading on the Floor after Sweeping the Book
Papers, arXiv.org
- Uncovering a factor-based expected return conditioning structure with Regression Trees jointly for many stocks
Papers, arXiv.org
2019
- Non-Stationary Dividend-Price Ratios
Papers, arXiv.org 
See also Journal Article in Journal of Asset Management (2019)
2005
- 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
- Affine Term Structure Models
Working Papers, Center for Research in Economics and Statistics View citations (22)
Journal Articles
2019
- 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
- Non-stationary dividend-price ratios
Journal of Asset Management, 2019, 20, (7), 552-567 
See also Working Paper (2019)
2016
- The modified dividend–price ratio
International Review of Financial Analysis, 2016, 45, (C), 31-38 View citations (3)
2012
- Day-of-the-week effect around the 2008 financial crisis
Global Business and Economics Review, 2012, 14, (4), 283-307
2011
- The critical stock price for the American put option
Finance Research Letters, 2011, 8, (1), 8-14 View citations (1)
2008
- Optimal portfolio allocation with higher moments
Annals of Finance, 2008, 4, (1), 1-28 View citations (39)
2006
- 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
- A realistic model of market liquidity and depth
Journal of Futures Markets, 2005, 25, (5), 443-464 View citations (2)
- Slow and fast markets
Journal of Economics and Business, 2005, 57, (6), 576-593
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