Details about Vasiliki Skintzi

Access statistics for papers by Vasiliki Skintzi.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: psk22

Working Papers

2017

1. Determinants of stock-bond market comovement in the Eurozone under model uncertainty
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article Determinants of stock-bond market comovement in the Eurozone under model uncertainty, International Review of Financial Analysis, Elsevier (2019) View citations (15) (2019)

2012

2. Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers, International Review of Financial Analysis, Elsevier (2014) View citations (16) (2014)

Journal Articles

2024

1. Macroeconomic attention and commodity market volatility
   Empirical Economics, 2024, 67, (5), 1967-2007
2. Uncertainty indices and stock market volatility predictability during the global pandemic: evidence from G7 countries
   Applied Economics, 2024, 56, (19), 2315-2336 View citations (1)

2022

3. Statistical and economic performance of combination methods for forecasting crude oil price volatility
   Applied Economics, 2022, 54, (26), 3031-3054 View citations (2)

2020

4. Predictive ability and economic gains from volatility forecast combinations
   Journal of Forecasting, 2020, 39, (2), 200-219 View citations (3)

2019

5. Determinants of stock-bond market comovement in the Eurozone under model uncertainty
   International Review of Financial Analysis, 2019, 61, (C), 20-28 View citations (15)
   See also Working Paper Determinants of stock-bond market comovement in the Eurozone under model uncertainty, MPRA Paper (2017) View citations (3) (2017)

2017

6. High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
   Journal of Financial Econometrics, 2017, 15, (1), 62-105 View citations (5)

2016

7. On the predictability of model-free implied correlation
   International Journal of Forecasting, 2016, 32, (2), 527-547 View citations (4)
8. Realized hedge ratio: Predictability and hedging performance
   International Review of Financial Analysis, 2016, 45, (C), 121-133 View citations (7)

2014

9. Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers
   International Review of Financial Analysis, 2014, 35, (C), 118-127 View citations (16)
   See also Working Paper Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers, MPRA Paper (2012) View citations (1) (2012)

2007

10. Evaluation of correlation forecasting models for risk management
    Journal of Forecasting, 2007, 26, (7), 497-526 View citations (3)

2006

11. Volatility spillovers and dynamic correlation in European bond markets
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (1), 23-40 View citations (74)

2005

12. Implied correlation index: A new measure of diversification
    Journal of Futures Markets, 2005, 25, (2), 171-197 View citations (46)