Research Interests

Asset pricing models, option pricing, risk measurement and volatility smile, international financial markets, financial distress, financial econometrics, robust estimation and classification methods.

Research Skills

Writing routines in MATLAB and MAPLE for financial simulation, mathematical computation, model estimation, data processing and symbolic functions. Proficient with Microsoft office (excel, word and PowerPoint).

Publications (selected articles)

My research has received over 2,300 Google Scholar citations

"Skewness and the Relation between Risk and Return," Management Science, 2016, vol. 62, no. 6, 1598 – 1609 (with C. Savva) (14 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, (77 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) (9 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) (1 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) (8 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) (14 citations)

Risk Measurement Performance of Alternative Distribution Functions,Journal of Risk and Insurance, 2008, Vol. 75, No. 2, pp. 411 – 437 (with T. Bali) (56 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) (32 citations)

A Conditional-SGT-VaR Approach with Alternative GARCH Models,” Annals of Operation Research, 2007, Vol. 151, pp. 241 – 267 (with T. Bali) (127 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) (89 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) (133 citations)

Financial Data and the Skewed Generalized t Distribution,Management Science, December 1998, Vol. 44, No. 12-1, pp. 1650 – 1661 (362 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) (94 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) (91 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) (143 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) (83 citations)

The Stochastic Properties of Major Canadian Exchange Rates,The Financial Review, May 1994, Vol. 29, No. 2, pp. 193 – 221 (53 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) (54 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) (370 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 (194 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) (110 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) (23 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 (87 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) (10 citations)

Working papers

“The Risk and Return Conundrum Explained: International Evidence,” under third round review with the Journal of Financial Econometrics (with C. Savva)

“The Risk and Return Conundrum Explained: Alternative Model Specifications,” work in progress (with C. Savva)

“A Skewed Generalized Logistic Distribution,” working paper

“Outliers in Stock Pricing Models: Implications for Event Studies,” work in progress, (with A. Theodossiou)

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

“Skewed Option Pricing Models and Volatility Smiles,” working paper, (with R. Lupu and A. Malliaris)

“Option Pricing when Log-returns are Skewed and Leptokurtic,” September 2003, Working paper (with 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, five of ten chapters completed

“Financial Analysis I & II,’’ textbook for undergraduate finance majors, in Greek, eight of twelve chapters completed, 850 pages