Research Interests

Asset pricing models, option pricing and volatility smiles, risk modeling and measurement, business data analytics, financial econometrics, financial distress and international financial markets.

Research Skills

Proficient with MATLAB and MAPLE; wrote numerous routines for data processing, financial modeling, simulation, estimation and symbolic computation. Proficient with Microsoft office and excel.

Publications (selected articles)

My research has received over 2,854 Google Scholar citations.

“Consequences of Outlier Returns for Event Studies: A Methodological Investigation and Treatment,” The International Journal of Accounting, Forthcoming (P. Theodossiou and A. Theodossiou).  

“Clarifying Managerial Biases Using a Probability Framework,”
Journal of Behavioral and Experimental Finance, September 2020, Vol. 27, pp. 1 – 7, (P. Ellina and B. Mascarenhas and P. Theodossiou). 

“Truncated Skewed Type III Generalized Logistic Distribution: Risk Measurement Applications,” Communications in Statistics: Theory and Methods, 2020, pp. 1 – 24  (P. Theodossiou).

“Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risk from Other Shipping Segments in the Presence of Skewness”, Journal of the Royal Statistical Society, Series A, 2020, Vol. 183, Part 3, pp. 1 – 23. (P. Theodossiou, C. Savva and D. Tsouknides). (1 Citation). 

“Banking Crisis in Cyprus: Causes, Consequences and Recent Developments,” Multinational Finance Journal, 2018, Vol. 22, No. 1-2, pp. 63 – 118 (S. Brown, D. Demetriou and P. Theodossiou) (1 Citation).

“Skewed Type III Generalized Logistic Distribution,” Communications in Statistics: Theory and Methods, 2018, Vol. 48, Issue 23, pp. 5809 – 5829 (P. Theodossiou) (1 Citation). 

“The Risk and Return Conundrum Explained: International Evidence,” Journal of Financial Econometrics, (C. Savva and P. Theodossiou), June 2018, Vol. 16, No. 3, pp. 486 – 521 (6 citations).  

"Skewness and the Relation between Risk and Return," Management Science, 2016, vol. 62, no. 6, 1598 – 1609 (with C. Savva) (30 citations)

"Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 223 – 266. Initially posted on the SSRN as a working papers in year 2000, (91 citations)

Stock Return Outliers and Beta Estimation: The Case of U.S. Pharmaceutical Companies,Journal of International Financial Markets, Institutions and Money, 2014, Vol. 30, 153 – 171 (with A. Theodossiou) (11 citations)

Public Utility Beta Adjustment and Biased Costs of Capital in Public Utility Rate Proceedings,” November 2013, Vol. 26, No. 9, pp. 1 – 9, Electricity Journal (with R. A. Michelfelder) (2 citation)

Partially Adaptive Econometric Methods for Regression and Classification,Computational Economics, 2010, Vol. 36, pp. 153 – 169 (with J. V. Hansen, J. B. McDonald B. J. Larsen) (12 citations)

Robust Estimation with Flexible Parametric Distributions: Estimation of Utility Stock Betas,Quantitative Finance, April 2010, Vol. 10, No. 4, pp. 375 – 387 (with J. B. McDonald and R. Michelfelder) (17 citations)

Evaluation of Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application,Multinational Finance Journal, 2009, Vol. 13, No. 3/4, pp. 291 – 321 (with J. B. McDonald and R. A. Michelfelder) (19 citations)

Risk Measurement Performance of Alternative Distribution Functions,Journal of Risk and Insurance, 2008, Vol. 75, No. 2, pp. 411 – 437 (with T. Bali) (75 citations)

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric ModelsEconomics - The Open-Access, Open-Assessment E-Journal, 2007, No. 7, pp. 1 – 20 (with C. Hansen and J. B. McDonald) (35 citations)

A Conditional-SGT-VaR Approach with Alternative GARCH Models,” Annals of Operation Research, 2007, Vol. 151, pp. 241 – 267 (with T. Bali) (152 citations)

The Asymmetric Relation between Margin Requirements and Stock Market Volatility across Bull and Bear Markets,Review of Financial Studies, winter 2002, Vol. 15, No. 5, pp. 1525 – 1159 (with G. Hardouvelis) (124 citations)

Predicting Corporate Financial Distress: A Time Series CUSUM Methodology,Review of Quantitative Finance and Accounting, December 1999, Vol. 13, No. 4, pp. 323 – 345, lead article (with E. Kahya) (151 citations)

“Time-Varying Risk and Return in Global Portfolio Management,” The Journal of Investing, 1999, Vol 8, No. 4, pp. 62 – 69 (A.C. Christofi, P. Theodossiou and A. Pericli).   

Financial Data and the Skewed Generalized t Distribution,Management Science, December 1998, Vol. 44, No. 12-1, pp. 1650 – 1661 (445 citations)

Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets,The Financial Review, May 1997, Vol. 32, pp. 205 – 224. Reprinted as lead article in Chapter 17, Section IV, Volatility: New Estimation Techniques for Pricing Derivatives, Ed: R. Jarrow, Risk Books, London, 1998 (with E. Kahya, A. Christofi and G. Koutmos) (103 citations)

Financial Distress Corporate Acquisitions: Further Empirical Evidence,Journal of Business Finance and Accounting, July 1996, Vol. 23, pp. 699 – 719 (with E. Kahya, R. Saidi and G. Philippatos) (120 citations)

Relationship between Volatility and Expected Returns across International Stock Markets,Journal of Business Finance and Accounting, 1995, Vol. 22, pp. 289 – 300. Reprinted as lead article in Chapter 16, Section VI, Volatility: New Estimation Techniques for Pricing Derivatives, Ed: R. Jarrow, Risk Books, London, 1998 (with U. Lee) (172 citations)

Time Varying Betas and Volatility Persistence in International Stock Markets,Journal of Economics and Business, 1994, Vol. 46, No. 2, pp. 101 – 112 (with G. Koutmos and U. Lee) (89 citations)

The Stochastic Properties of Major Canadian Exchange Rates,The Financial Review, May 1994, Vol. 29, No. 2, pp. 193 – 221 (57 citations)

Time-Series Properties and Predictability of Greek Exchange Rates,Managerial and Decision Economics, 1994, Vol. 15, No. 2, pp. 159 – 167 (with G. Koutmos) (56 citations)

The Information Content of Accounting Earnings in Greece: An Empirical Investigation,Journal of Multinational Finance Management, 1994, Vol. 3, No. 3 – 4, pp. 143 – 157 (with E. Kahya and A. Maggina) (9 citations)

Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence,Journal of Financial Research, winter 1993, Vol. 16, No.4, pp. 337 – 350 (with U. Lee) (428 citations)

Predicting Shifts in the Mean of a Multivariate Time Series Process: An Application in Predicting Business Failures,Journal of the American Statistical Association, June 1993, Vol. 88, No.422, pp. 441– 449 (213 citations)

Stochastic Behaviour of the Athens Stock Exchange,Applied Financial Economics, June 1993, Vol. 3, No. 2, pp. 119 – 126 (with G. Koutmos and C. Negakis) (128 citations)

“APT with Observed Factors and Conditional Heteroskedasticity,” Managerial Finance, 1993, Vol. 19 No. 3/4, pp. 24-39. (G. Koutmos and P. Theodossiou). (5 citations). 

Analysis and Modeling of Recent Business Failures in Greece,Managerial and Decision Economics, 1992, Vol. 13, No. 2, pp. 163 – 169 (with C. Papoulias) (27 citations)

Alternative Models for Assessing the Financial Condition of Businesses in Greece,Journal of Business Finance and Accounting, September 1991, Vol. 18, No. 5, pp. 697 – 720 (106 citations)

The Properties and Stochastic Nature of BEA’s Early Estimates of GNP,Journal of Economics and Business, 1991, Vol. 43, No. 3, pp. 231 – 239 (with S. Neftci) (9 citations)

Problematic Firms in Greece: An Evaluation Using Corporate Failure Prediction Models,” Studies in Banking and Finance, supplement to the Journal of Banking and Finance, 1988, Vol. 7, pp. 47 – 55 (with C. Papoulias) (9 citations)

Working papers

“Risk Measures for Investment Values and Returns Based on Skewed-Heavy Tailed Distributions: Analytical Derivations and Comparison,” Under review, (P. Theodossiou). 

“Modelling the Stochastic Behavior of Bitcoin Through a Conditionally Asymmetric and Leptokurtic GARCH-M Model,” Under review (C. Savva, P. Ellina and P. Theodossiou). 

“Electricity Pricing Using a Periodic GARCH-M Model with Conditional Skewness and Kurtosis Components,” Under Review, (F. Ioannidis,  K. Kosmidou, C. Savva and P. Theodossiou).
“Modeling the Risk and Return Relationship using Alternative Probability Models, work in progress (C. Savva and P. Theodossiou).

“Modeling Volatility Surfaces Using a Generalized Option Pricing Model with Skewness and Kurtosis,” work in progress, (R. Lupu, T. Malliaris and P. Theodossiou).

“Generalized Option Pricing Model with Conditional Volatility and Conditional Skewness,” work in progress (P. Theodossiou).

“Properties of Maximum Likelihood Estimators of Regression Models with Skewed Generalized Cauchy Errors,” working paper, almost complete. (P. Theodossiou)

“Impact of Outliers on Stock Return Models and the Pricing of Risk,” work in progress. (P. Theodossiou)

“Option Pricing when Log-returns are Skewed and Leptokurtic,” under revision (P. Theodossiou and L. Trigeorgis) (17 citations).

Monograph and Textbook

“Skewness and Financial Modeling,” a quantitative finance monograph with MATLAB routines for advance graduate and doctoral students (probability distributions; computation and simulation; robust regression estimation; asset pricing and GARCH models; option pricing; value-at-risk and risk measurement; and classification), in English, 370 pages, seven of ten chapters completed.

“Financial Analysis and Applications,’’ with solutions manual, intermediate level textbook, Sofia Publications, Thessaloniki, Greece, 914 pages, in Greek.