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Publications:  Prof Georgios Skiadopoulos

Kapetanios G, Konstantinidi E, Neumann M, Skiadopoulos G(2019). Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. JOURNAL OF FINANCIAL MARKETS vol. 46, Article UNSP 100506,
10.1016/j.finmar.2019.100506
Faccini R, Konstantinidi E, Skiadopoulos G, Sarantopoulou-Chiourea S(2019). A new predictor of U.S. Real economic activity: The S&P 500 option implied risk aversion. Management Science vol. 65, (10) 4927-4949.
10.1287/mnsc.2018.3049
https://qmro.qmul.ac.uk/xmlui/handle/123456789/45163
Lambrinoudakis C, Skiadopoulos G, Gkionis K(2019). Capital structure and financial flexibility: Expectations of future shocks. Journal of Banking and Finance vol. 104, 1-18.
10.1016/j.jbankfin.2019.03.016
https://qmro.qmul.ac.uk/xmlui/handle/123456789/56490
SKIADOPOULOS G, Bernales A, Cortazar G, Salamunic L(2018). Learning and Index Option Returns. the Journal of Business and Economic Statistics
https://qmro.qmul.ac.uk/xmlui/handle/123456789/43123
Daskalaki C, SKIADOPOULOS G, Topaloglou N(2017). Diversification benefits of commodities: A stochastic dominance efficiency approach. Journal of Empirical Finance vol. 44, 250-269.
10.1016/j.jempfin.2017.07.004
https://qmro.qmul.ac.uk/xmlui/handle/123456789/25238
Daskalaki C, Skiadopoulos G(2016). The effects of margin changes on commodity futures markets. JOURNAL OF FINANCIAL STABILITY vol. 22, 129-152.
10.1016/j.jfs.2016.01.002
https://qmro.qmul.ac.uk/xmlui/handle/123456789/15034
Konstantinidi E, Skiadopoulos G(2016). How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. JOURNAL OF BANKING & FINANCE vol. 62, 62-75.
10.1016/j.jbankfin.2015.10.006
https://qmro.qmul.ac.uk/xmlui/handle/123456789/14794
SKIADOPOULOS G(2015). Modeling the Dynamics of Temperature with a View to Weather Derivatives. World Scientific Handbook in Financial Economics Series, World Scientific Publishing Co Pte Ltd
Daskalaki C, Kostakis A, Skiadopoulos G(2014). Are there common factors in individual commodity futures returns?. JOURNAL OF BANKING & FINANCE vol. 40, 346-363.
10.1016/j.jbankfin.2013.11.034
https://qmro.qmul.ac.uk/xmlui/handle/123456789/14996
Skiadopoulos G(2013). Advances in the Commodity Futures Literature: A Review. JOURNAL OF DERIVATIVES vol. 20, (3) 85-96.
10.3905/jod.2013.20.3.085
Neumann M, Skiadopoulos G(2013). Predictable dynamics in higher order risk-neutral moments: Evidence from the S&P 500 options. Journal of Financial and Quantitative Analysis vol. 48, (3) 947-977.
10.1017/S002210901300032X
Jiang GJ, Konstantinidi E, Skiadopoulos G(2012). Volatility spillovers and the effect of news announcements. JOURNAL OF BANKING & FINANCE vol. 36, (8) 2260-2273.
10.1016/j.jbankfin.2012.04.006
Goulas L, Skiadopoulos G(2012). Are freight futures markets efficient? Evidence from IMAREX. INTERNATIONAL JOURNAL OF FORECASTING vol. 28, (3) 644-659.
10.1016/j.ijforecast.2011.11.004
Daskalaki C, Skiadopoulos G(2011). Should investors include commodities in their portfolios after all? New evidence. Journal of Banking & Finance vol. 35, (10) 2606-2626.
10.1016/j.jbankfin.2011.02.022
Kostakis A, Panigirtzoglou N, Skiadopoulos G(2011). Market Timing with Option-Implied Distributions: A Forward-Looking Approach. MANAGEMENT SCIENCE vol. 57, (7) 1231-1249.
10.1287/mnsc.1110.1346
Konstantinidi E, Skiadopoulos G(2011). Are VIX futures prices predictable? An empirical investigation. INTERNATIONAL JOURNAL OF FORECASTING vol. 27, (2) 543-560.
10.1016/j.ijforecast.2009.11.004
Konstantinidi E, Skiadopoulos G, Tzagkaraki E(2008). Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices. Journal of Banking & Finance vol. 32, (11) 2401-2411.
10.1016/j.jbankfin.2008.02.003
Chantziara T, Skiadopoulos G(2008). Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets. ENERGY ECONOMICS vol. 30, (3) 962-985.
10.1016/j.eneco.2007.07.008
Psychoyios D, Skiadopoulos G(2006). Volatility options: Hedging effectiveness, pricing, and model error. JOURNAL OF FUTURES MARKETS vol. 26, (1) 1-31.
10.1002/fut.20181
Panigirtzoglou N, Skiadopoulos G(2004). A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options. JOURNAL OF BANKING & FINANCE vol. 28, (7) 1499-1520.
10.1016/S0378-4266(03)00127-4
Skiadopoulos G (2002). The simulation of the implied distribution and other smile consistent stochastic volatility models: An overview. FINANCIAL ENGINEERING, E-COMMERCE AND SUPPLY CHAIN. vol. 70, 189-212.
Skiadopoulos G, Hodges S, Clewlow L (2000). The dynamics of implied volatility surfaces. DECISION MAKING: RECENT DEVELOPMENTS AND WORLDWIDE APPLICATIONS. vol. 45, 197-211.
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