Details about Georgios Skoulakis

Access statistics for papers by Georgios Skoulakis.

Last updated 2023-07-26. Update your information in the RePEc Author Service.

Short-id: psk130

Journal Articles

2018

1. Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach
   Journal of Econometrics, 2018, 204, (2), 159-188 View citations (14)

2011

2. Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios
   Journal of Financial Economics, 2011, 100, (3), 475-495 View citations (45)

2010

3. Do subjective expectations explain asset pricing puzzles?
   Journal of Financial Economics, 2010, 98, (3), 462-477 View citations (15)
4. Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method
   The Review of Financial Studies, 2010, 23, (9), 3346-3400 View citations (11)
5. Time Series Mixtures of Generalized t Experts: ML Estimation and an Application to Stock Return Density Forecasting
   Econometric Reviews, 2010, 29, (5-6), 642-687

2009

6. Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation
   Computational Economics, 2009, 33, (2), 193-207 View citations (9)

2008

7. A Recursive Formula for Computing Central Moments of a Multivariate Lognormal Distribution
   The American Statistician, 2008, 62, 147-150

2005

8. Ergodicity and existence of moments for local mixtures of linear autoregressions
   Statistics & Probability Letters, 2005, 71, (4), 313-322 View citations (1)

2002

9. Generalized Method of Moments: Applications in Finance
   Journal of Business & Economic Statistics, 2002, 20, (4), 470-81 View citations (24)