ΤΙΜΟΘΕΟΣ Θ. ΑΓΓΕΛΙΔΗΣ
Επίκουρος Καθηγητής Χρηματοοικονομικής
Επισκεφτείτε τις σελίδες μου στο  IDEAS και στο SSRN

Papers in Refereed Academic Journals:

  1. "Revisiting Mutual Fund Performance Evaluation", (with N. Tessaromatis and D. Giamouridis). Journal of Banking and Finance (forthcoming).
  2. "Idiosyncratic Risk in Emerging Markets". Financial Review (2010), 45, 1053-1078.
  3. "The efficiency of Greek public pension fund portfolios", (with N. Tessaromatis). Journal of Banking and Finance, (2010), 34, 2158-2167
  4. "Liquidity spillovers: The case of U.K.", (with A. Andrikopoulos) International Review of Financial Analysis, (2010), 19, 214-221.
  5. "Active Portfolio Management with Cardinality Constraints: An Application of Particle Swarm Optimization". (with N. Thomaidis, V. Vassiliadis and G. Dounias). New Mathematics and Natural Computation (2009) 3, 1-21.
  6. "Is idiosyncratic risk priced? A Regime Switching Approach" (with N. Tessaromatis). International Review of Economics and Finance (2009) 18, 132-141.
  7. "The Components of the Bid-Ask Spread: The Case of ASE" (with A. Benos). European Financial Management (2009) 15, 112-144.
  8. "Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach" (with G. Skiadopoulos). International Journal of Theoretical and Applied Finance (2008) 11, 447-469.
  9. "Volatility Forecasting: Intra-day vs. Inter-day Models" (with S. Degiannakis). Journal of International Financial Markets, Institutions & Money (2008) 18, 449-465.
  10. "Does Idiosyncratic Risk Matter? Evidence from European Stock Markets." (with N. Tessaromatis). Applied Financial Economics (2008) 18, 125-137.
  11. "Idiosyncratic Risk and Equity Returns: UK Evidence" (with N. Tessaromatis). International Review of Financial Analysis (2008) 17, 539-556.
  12. "Value-at-Risk for Greek Stocks" (with A. Benos). Multinational Finance Journal (2008) 12, 67-105.
  13. "Forecasting One-day-ahead VaR and Intra-Day Realized Volatility in the Athens Stock Exchange Market" (with S. Degiannakis). Managerial Finance (2008) 34, 489-497.
  14. "Backtesting VaR Models: A Two-Stage Procedure" (with S. Degiannakis). The Journal of Risk Model Validation (2007) 1, 1-22.
  15. "A Robust VaR Model Under Different Time Periods and Weighting Schemes" (with A. Benos and S. Degiannakis). Review of Quantitative Finance and Accounting (2007) 28, 187-201.
  16. "Liquidity Adjusted Value-at-Risk based on the components of the bid-ask spread" (with A. Benos). Applied Financial Economics (2006) 16, 835-851.
  17. "The Effect of the Market on the Spread: The case of the Athens Stock Exchange" (with A. Benos). Spoudai (2005) 55, 24-33.
  18. "Modeling Risk for Long and Short Trading Positions" (with S. Degiannakis). Journal of Risk Finance (2005) 6, 226-238.
  19. "Market Risk in Commodity Markets: A Switching Regime Approach" (with A. Benos). Economic & Financial Modelling (2004) 11, 103-148.
  20. "The Use of GARCH Models in VaR Estimation" (with A. Benos and S. Degiannakis). Statistical Methodology (2004) 1, 105-128.

Books:

  1. "Econometric Modelling of Value-at-Risk. Financial Institutions and Services.". Nova Science Publishers, USA, (2008), with S. Degiannakis.

Chapters in Books:

  1. "Value-at-Risk Econometric Modelling". New Econometric Modeling Research, (ed.) Frank Columbus, Nova Science Publishers, Inc., USA, (2008), with S. Degiannakis.
  2. "Risk and Return in the Athens Stock Exchange". The Greek Financial Stystem, (ed.) Tzavalis Ilias, Athens University of Economics and Business, Greece, (2010), with N. Tessaromatis.

Work in Progress:

  1. Global Equity Model
  2. Dispersion
  3. State Dependent Portfolios