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Details about George Skiadopoulos

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Homepage:https://sites.google.com/view/george-skiadopoulos
Postal address:George Skiadopoulos, Professor, Department of Banking and Financial Management, University of Piraeus, Karaoli & Dimitriou 80, Piraeus 18534, Greece
Workplace:Department of Banking and Financial Management, University of Piraeus, (more information at EDIRC)
School of Economics and Finance, Queen Mary University of London, (more information at EDIRC)

Access statistics for papers by George Skiadopoulos.

Last updated 2022-10-08. Update your information in the RePEc Author Service.

Short-id: psk19


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Working Papers

2018

  1. A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    See also Journal Article in Management Science (2019)
  2. Positive Stock Information In Out-Of-The-Money Option Prices
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2021)
  3. The Contribution of Frictions to Expected Returns
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads

2016

  1. Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2016) Downloads

    See also Journal Article in Journal of Empirical Finance (2017)

2014

  1. Capital Structure and Financial Flexibility: Expectations of Future Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    See also Journal Article in Journal of Banking & Finance (2019)
  2. How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2014) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2016)
  3. The Effects of Margin Changes on Commodity Futures Markets
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2014) Downloads

    See also Journal Article in Journal of Financial Stability (2016)

Journal Articles

2021

  1. Positive stock information in out-of-the-money option prices
    Journal of Banking & Finance, 2021, 128, (C) Downloads
    See also Working Paper (2018)

2020

  1. Learning and Index Option Returns
    Journal of Business & Economic Statistics, 2020, 38, (2), 327-339 Downloads View citations (1)

2019

  1. A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion
    Management Science, 2019, 65, (10), 4927-4949 Downloads View citations (2)
    See also Working Paper (2018)
  2. Capital structure and financial flexibility: Expectations of future shocks
    Journal of Banking & Finance, 2019, 104, (C), 1-18 Downloads View citations (1)
    See also Working Paper (2014)
  3. Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market
    Journal of Financial Markets, 2019, 46, (C) Downloads View citations (4)

2017

  1. Diversification benefits of commodities: A stochastic dominance efficiency approach
    Journal of Empirical Finance, 2017, 44, (C), 250-269 Downloads View citations (22)
    See also Working Paper (2016)

2016

  1. How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
    Journal of Banking & Finance, 2016, 62, (C), 62-75 Downloads View citations (13)
    See also Working Paper (2014)
  2. The effects of margin changes on commodity futures markets
    Journal of Financial Stability, 2016, 22, (C), 129-152 Downloads View citations (7)
    See also Working Paper (2014)

2014

  1. Are there common factors in individual commodity futures returns?
    Journal of Banking & Finance, 2014, 40, (C), 346-363 Downloads View citations (70)

2013

  1. Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options
    Journal of Financial and Quantitative Analysis, 2013, 48, (3), 947-977 Downloads View citations (48)

2012

  1. Are freight futures markets efficient? Evidence from IMAREX
    International Journal of Forecasting, 2012, 28, (3), 644-659 Downloads View citations (12)
  2. Investing in commodities: Popular beliefs and misconceptions
    Journal of Asset Management, 2012, 13, (2), 77-83 Downloads View citations (8)
  3. Volatility spillovers and the effect of news announcements
    Journal of Banking & Finance, 2012, 36, (8), 2260-2273 Downloads View citations (56)

2011

  1. Are VIX futures prices predictable? An empirical investigation
    International Journal of Forecasting, 2011, 27, (2), 543-560 Downloads View citations (16)
    Also in International Journal of Forecasting, 2011, 27, (2), 543-560 (2011) Downloads View citations (16)
  2. Market Timing with Option-Implied Distributions: A Forward-Looking Approach
    Management Science, 2011, 57, (7), 1231-1249 Downloads View citations (55)
  3. Should investors include commodities in their portfolios after all? New evidence
    Journal of Banking & Finance, 2011, 35, (10), 2606-2626 Downloads View citations (195)

2008

  1. Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets
    Energy Economics, 2008, 30, (3), 962-985 Downloads View citations (19)
  2. Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices
    Journal of Banking & Finance, 2008, 32, (11), 2401-2411 Downloads View citations (76)
  3. MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (05), 447-469 Downloads View citations (11)

2007

  1. An empirical comparison of continuous-time models of implied volatility indices
    Journal of Banking & Finance, 2007, 31, (12), 3584-3603 Downloads View citations (61)

2006

  1. Volatility options: Hedging effectiveness, pricing, and model error
    Journal of Futures Markets, 2006, 26, (1), 1-31 Downloads View citations (13)

2005

  1. IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (08), 1085-1106 Downloads View citations (5)

2004

  1. A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options
    Journal of Banking & Finance, 2004, 28, (7), 1499-1520 Downloads View citations (31)
  2. The Greek implied volatility index: construction and properties
    Applied Financial Economics, 2004, 14, (16), 1187-1196 Downloads View citations (23)

2001

  1. Simulating the Evolution of the Implied Distribution
    European Financial Management, 2001, 7, (4), 497-522 Downloads View citations (2)
  2. VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (03), 403-437 Downloads View citations (19)

2000

  1. The Dynamics of the S&P 500 Implied Volatility Surface
    Review of Derivatives Research, 2000, 3, (3), 263-282 Downloads View citations (20)

Chapters

2015

  1. Modeling the Dynamics of Temperature with a View to Weather Derivatives
    Chapter 17 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 511-544 Downloads
 
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