Athanasios Fassas

University of Thessaly

Argonafton & Filellinon

38221 Volos

United States

Hellenic Open University

Parodos Aristotelous 18

Patra, 26335

Greece

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 13,961

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4,211

SSRN CITATIONS
Rank 41,732

SSRN RANKINGS

Top 41,732

in Total Papers Citations

6

CROSSREF CITATIONS

11

Scholarly Papers (15)

1.

VIX Futures As a Market Timing Indicator

Number of pages: 11 Posted: 04 Jun 2018
Athanasios Fassas and Nikolaos L. Hourvouliades
University of Thessaly and American College of Thessaloniki
Downloads 1,183 (20,945)

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Derivatives, Asset Pricing, Financial Econometrics

2.

Implied Volatility Indices – A Review

Number of pages: 70 Posted: 18 Jun 2009 Last Revised: 13 Jan 2020
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Thessaly
Downloads 997 (26,940)
Citation 14

Abstract:

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implied volatility, implied volatility indices, transmission of uncertainty, VIX

3.

The Relationship between VIX Futures Term Structure and S&P500 Returns

Number of pages: 19 Posted: 21 Sep 2016
Athanasios Fassas
University of Thessaly
Downloads 792 (37,173)
Citation 2

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VIX Futures, Implied Volatility Term Structure, Future Equity Returns

4.

The Information Content of VFTSE

Number of pages: 19 Posted: 29 Nov 2008 Last Revised: 22 Jul 2010
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Thessaly
Downloads 359 (100,123)
Citation 5

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Implied volatility indices, London Stock Exchange, forecasting volatility, VFTSE

5.

An Investor Sentiment Barometer - Greek Implied Volatility Index

Number of pages: 30 Posted: 29 Nov 2008 Last Revised: 22 Jul 2010
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Thessaly
Downloads 299 (122,258)
Citation 1

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Implied volatility indices, Athens Stock Exchange, VIX, VDAX

6.

Mispricing in Stock Index Futures Markets – the Case of Greece

Number of pages: 12 Posted: 28 Jun 2011
Athanasios Fassas
University of Thessaly
Downloads 217 (168,466)
Citation 4

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Price discovery, futures arbitrage, cost-of-carry model, Tobit regression, Greek stock market, FTSE/ATHEX-20

7.

Tracking the VIX Index

Number of pages: 29 Posted: 18 Dec 2014 Last Revised: 25 Dec 2014
Athanasios Fassas
University of Thessaly
Downloads 181 (198,893)

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Exchange Traded Funds, tracking ability, volatility, VIX index, VIX futures

8.

Exposure-Based Volatility: An Application in Corporate Risk Management

Number of pages: 23 Posted: 26 May 2016
Athanasios Fassas and Vasil Lyaskov
University of Thessaly and University of Sheffield - International Faculty - City College
Downloads 57 (432,099)

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Exposure-Based Volatility, Cash Flow-at-Risk (CFaR), Merton option pricing model, Liquidity risk, Corporate risk management

9.

An Analysis of the Covered Warrants Listed on the Athens Exchange

Siriopoulos, C. and Fassas, A. (2014) An Analysis of the Covered Warrants listed on the Athens Exchange. Journal of Risk & Control, 1(1), pp. 13-30.
Number of pages: 18 Posted: 23 Mar 2015 Last Revised: 24 Mar 2015
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Thessaly
Downloads 54 (442,961)

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Warrants, Cox-Ross-Rubinstein model, Greek banks, Implied volatility, Delta hedging

10.

A Reverse Index Futures Split Effect on Liquidity and Market Dynamics

Number of pages: 19 Posted: 21 Jun 2017
Athanasios Fassas and Nikolaos L. Hourvouliades
University of Thessaly and American College of Thessaloniki
Downloads 33 (534,681)

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Futures market microstructure, FTSE/ATHEX Large Cap Index, Reverse Split, Bid-Ask Spread, Trading Volume, Volatility

11.

Tracking Ability of ETFs: Physical vs. Synthetic Replication

Number of pages: 18 Posted: 03 Jun 2012
Athanasios Fassas
University of Thessaly
Downloads 15 (648,256)

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Exchange Traded Funds, tracking ability, physical and synthetic replication, swap-based ETFs

12.

Credit Risk Determinants: Evidence from the Bulgarian Banking System

Bulletin of Applied Economics, 2019, 6(1), 41-64
Number of pages: 24 Posted: 05 Feb 2020
Petros Golitsis, Athanasios Fassas and Anna Lyutakova
affiliation not provided to SSRN, University of Thessaly and affiliation not provided to SSRN
Downloads 11 (677,712)

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risk, non-performing loans, loan loss provisions, Bulgarian banking system

13.

Risk Aversion Connectedness in Developed and Emerging Equity Markets before and after the COVID-19 Pandemic

Fassas, A. P. (2020). Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic. Heliyon, 6(12), e05715.
Number of pages: 8 Posted: 02 Mar 2021
Athanasios Fassas
University of Thessaly
Downloads 10 (685,123)

Abstract:

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variance risk premium; Diebold and Yilmaz; spillovers; emerging markets; risk aversion; TVP-VAR; COVID-19

14.

Exchange-Traded Products Investing and Precious Metal Prices

Journal of Derivatives & Hedge Funds, Fassas, A. J Deriv Hedge Funds (2012) 18: 127. Doi.org/10.1057/jdhf.2012.3
Number of pages: 14 Posted: 27 Feb 2012 Last Revised: 13 Jan 2020
Athanasios Fassas
University of Thessaly
Downloads 3 (739,475)
Citation 1

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Exchange Traded Products, gold, silver, platinum, palladium

15.

The Efficiency of VIX Futures Market – A Panel Data Approach

Journal of Alternative Investments, Vol. 14, No. 3, 2012
Posted: 27 Feb 2012
Athanasios Fassas and Costas Siriopoulos
University of Thessaly and Zayed University, College of Business

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VIX futures, market efficiency, panel data