Details about Leonidas Rompolis

Access statistics for papers by Leonidas Rompolis.

Last updated 2024-09-09. Update your information in the RePEc Author Service.

Short-id: pro646

Working Papers

2021

1. Pricing Event Risk: Evidence from Concave Implied Volatility Curves
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2017

2. The effectiveness of unconventional monetary policy on risk aversion and uncertainty
   Working Papers, Bank of Greece View citations (2)

Journal Articles

2023

1. Improving variance forecasts: The role of Realized Variance features
   International Journal of Forecasting, 2023, 39, (3), 1221-1237

2022

2. Option‐implied moments and the cross‐section of stock returns
   Journal of Futures Markets, 2022, 42, (4), 668-691

2021

3. Recovering the market risk premium from higher‐order moment risks
   European Financial Management, 2021, 27, (1), 147-186

2019

4. Put-call parity violations and return predictability: Evidence from the 2008 short sale ban
   Journal of Banking & Finance, 2019, 106, (C), 276-297 View citations (2)

2017

5. Pricing and hedging contingent claims using variance and higher order moment swaps
   Quantitative Finance, 2017, 17, (4), 531-550 View citations (1)
6. Retrieving risk neutral moments and expected quadratic variation from option prices
   Review of Quantitative Finance and Accounting, 2017, 48, (4), 955-1002 View citations (3)

2016

7. Risk‐Free Rates and Variance Futures Prices
   Journal of Futures Markets, 2016, 36, (10), 943-967

2012

8. Exploring the role of the realized return distribution in the formation of the implied volatility smile
   Journal of Banking & Finance, 2012, 36, (4), 1028-1044 View citations (5)

2010

9. RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS
   Journal of Financial Research, 2010, 33, (2), 125-151 View citations (9)
10. Retrieving risk neutral densities from European option prices based on the principle of maximum entropy
    Journal of Empirical Finance, 2010, 17, (5), 918-937 View citations (13)

2008

11. Recovering Risk Neutral Densities from Option Prices: A New Approach
    Journal of Financial and Quantitative Analysis, 2008, 43, (4), 1037-1053 View citations (20)