Details about Ilias Tsiakas

Access statistics for papers by Ilias Tsiakas.

Last updated 2022-05-06. Update your information in the RePEc Author Service.

Short-id: pts77

Working Papers

2020

1. Equity Premium Prediction and the State of the Economy
   Working Paper series, Rimini Centre for Economic Analysis
   See also Journal Article in Journal of Empirical Finance (2020)

2016

2. Equity Premium Prediction: The Role of Economic and Statistical Constraints
   Working Paper series, Rimini Centre for Economic Analysis View citations (2)
   See also Journal Article in Journal of Financial Markets (2017)

2015

3. Carbon Emissions and Stock Returns: Evidence from the EU Emissions Trading Scheme
   Working Paper series, Rimini Centre for Economic Analysis View citations (67)
   See also Journal Article in Journal of Banking & Finance (2015)
4. What Drives International Portfolio Flows?
   Working Paper series, Rimini Centre for Economic Analysis View citations (7)
   See also Journal Article in Journal of International Money and Finance (2016)

2014

5. Foreign Exchange Risk and the Predictability of Carry Trade Returns
   Working Paper series, Rimini Centre for Economic Analysis View citations (37)
   See also Journal Article in Journal of Banking & Finance (2014)
6. Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
   Working Paper series, Rimini Centre for Economic Analysis View citations (10)
   See also Journal Article in Journal of Financial Econometrics (2015)

2010

7. Spot and Forward Volatility in Foreign Exchange
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article in Journal of Financial Economics (2011)

2007

8. An Economic Evaluation of Empirical Exchange Rate Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (65)
   See also Journal Article in Review of Financial Studies (2009)

2004

9. Analysis of the predictive ability of information accumulated over nights, weekends and holidays
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)

Journal Articles

2021

1. Economic fundamentals and the long-run correlation between exchange rates and commodities
   Global Finance Journal, 2021, 49, (C)
2. Volatility cascades in cryptocurrency trading
   Journal of Empirical Finance, 2021, 62, (C), 252-265 View citations (1)

2020

3. Equity premium prediction and the state of the economy
   Journal of Empirical Finance, 2020, 58, (C), 75-95 View citations (4)
   See also Working Paper (2020)

2017

4. Equity premium prediction: The role of economic and statistical constraints
   Journal of Financial Markets, 2017, 36, (C), 56-75 View citations (25)
   See also Working Paper (2016)

2016

5. What drives international portfolio flows?
   Journal of International Money and Finance, 2016, 60, (C), 53-72 View citations (33)
   See also Working Paper (2015)

2015

6. Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme
   Journal of Banking & Finance, 2015, 58, (C), 294-308 View citations (67)
   See also Working Paper (2015)
7. Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
   Journal of Financial Econometrics, 2015, 13, (2), 293-341 View citations (29)
   See also Working Paper (2014)

2014

8. Foreign exchange risk and the predictability of carry trade returns
   Journal of Banking & Finance, 2014, 42, (C), 302-313 View citations (41)
   See also Working Paper (2014)

2011

9. Spot and forward volatility in foreign exchange
   Journal of Financial Economics, 2011, 100, (3), 496-513 View citations (40)
   See also Working Paper (2010)

2010

10. THE ECONOMIC GAINS OF TRADING STOCKS AROUND HOLIDAYS
    Journal of Financial Research, 2010, 33, (1), 1-26 View citations (6)

2009

11. An Economic Evaluation of Empirical Exchange Rate Models
    Review of Financial Studies, 2009, 22, (9), 3491-3530 View citations (99)
    See also Working Paper (2007)

2008

12. Overnight information and stochastic volatility: A study of European and US stock exchanges
    Journal of Banking & Finance, 2008, 32, (2), 251-268 View citations (30)

2006

13. Periodic Stochastic Volatility and Fat Tails
    Journal of Financial Econometrics, 2006, 4, (1), 90-135 View citations (27)