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Research

Publications: Dr Stavroula Yfanti

Yfanti S, Karanasos M, Wu J, Vourvachis P ( 2024 ) . Short- and long-run cross-border European sustainability interdependences . Annals of Operations Research1 - 32 .
Margaronis ZNP, Nath RB, Metallinos GS, Karanasos M, Yfanti S ( 2023 ) . An Advanced Approach to Algorithmic Portfolio Management . Essays on Financial Analytics , Springer Nature
Daglis T, Yfanti S, Xidonas P, Konstantakis KN, Michaelides PG ( 2023 ) . Does solar activity affect the price of crude oil? A causality and volatility analysis . Finance Research Letters vol. 55 ,
Konstantakis KN, Michaelides PG, Xidonas P, Yfanti S ( 2023 ) . Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model . Annals of Operations Research1 - 23 .
Yfanti S, Karanasos M, Zopounidis C, Christopoulos A ( 2023 ) . Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics . European Journal of Operational Research vol. 304 , ( 2 ) 813 - 831 .
Caporale GM, Karanasos M, Yfanti S ( 2022 ) . Macro-financial Linkages in the High-Frequency Domain: Economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets . International Journal of Finance and Economics
Karanasos M, Yfanti S ( 2021 ) . On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities . Journal of International Financial Markets Institutions and Money vol. 74 ,
Yfanti S, Karanasos M ( 2021 ) . Financial volatility modeling with option-implied information and important macro-factors . Journal of the Operational Research Society vol. 73 , ( 9 ) 2129 - 2149 .
Karanasos M, Yfanti S, Hunter J ( 2021 ) . Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises . Annals of Operations Research vol. 313 , ( 2 ) 1077 - 1116 .
Yfanti S, Chortareas G, Karanasos M, Noikokyris E ( 2020 ) . A three‐dimensional asymmetric power HEAVY model . International Journal of Finance & Economics vol. 27 , ( 3 ) 2737 - 2761 .
Caporale GM, Karanasos M, Yfanti S, Kartsaklas A ( 2020 ) . Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange . International Journal of Finance & Economics vol. 26 , ( 3 ) 4441 - 4461 .
Karanasos M, Yfanti S ( 2020 ) . On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe . European Journal of Finance vol. 26 , ( 12 ) 1146 - 1183 .
Karanasos M, Yfanti S, Christopoulos A ( 2020 ) . The long memory HEAVY process: modeling and forecasting financial volatility . Annals of Operations Research vol. 306 , ( 1-2 ) 111 - 130 .
Karanasos M, Yfanti S, Karoglou M ( 2016 ) . Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis . International Review of Financial Analysis vol. 45 , 332 - 349 .
Karanasos M, Paraskevopoulos AG, Ali FM, Karoglou M, Yfanti S ( 2014 ) . Modelling stock volatilities during financial crises: A time varying coefficient approach . Journal of Empirical Finance vol. 29 , 113 - 128 .