Lazaros Symeonidis

Essex Business School, University of Essex

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 22,655

SSRN RANKINGS

Top 22,655

in Total Papers Downloads

4,316

SSRN CITATIONS
Rank 16,435

SSRN RANKINGS

Top 16,435

in Total Papers Citations

65

CROSSREF CITATIONS

25

Scholarly Papers (12)

1.

Variance Risk in Commodity Markets

Journal of Banking and Finance, Vol. 81, 2017
Number of pages: 46 Posted: 04 Jan 2013 Last Revised: 21 Mar 2019
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA Centre, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,171 (35,038)
Citation 29

Abstract:

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commodities, variance risk premia, variance swaps

2.

Does the Weather Affect Stock Market Volatility?

Finance Research Letters, Vol. 7, No. 4, pp. 214-223, 2010
Number of pages: 18 Posted: 13 Oct 2008 Last Revised: 26 Jan 2011
Lazaros Symeonidis, George Daskalakis and Raphael N. Markellos
Essex Business School, University of Essex, MBS College of Business and Entrepreneurship and University of East Anglia (UEA) - Norwich Business School
Downloads 1,077 (39,542)
Citation 8

Abstract:

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Stock market anomalies, Volatility, Sunshine effect, SAD effect, Behavioral Finance

3.

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling, Vol. 29, No. 6, 2012
Number of pages: 36 Posted: 25 Oct 2011 Last Revised: 02 Jan 2013
Lazaros Symeonidis, Marcel Prokopczuk, Chris Brooks and Emese Lazar
Essex Business School, University of Essex, University of Reading - ICMA Centre, University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 614 (83,890)
Citation 8

Abstract:

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Forward curves, scarcity, commodity price volatility, theory of storage, convenience yield

4.

Convenience Yield Risk

Energy Economics, Forthcoming
Number of pages: 54 Posted: 31 Jan 2023
University of Reading - ICMA Centre, Essex Business School, University of Essex, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 347 (164,962)

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Commodity Risk Factors, Convenience Yield, Futures Curve, Return Predictability

5.

An International Comparison of Implied, Realized and GARCH Volatility Forecasts

Journal of Futures Markets, Forthcoming
Number of pages: 98 Posted: 26 Mar 2016 Last Revised: 20 Apr 2016
Apostolos Kourtis, Raphael N. Markellos and Lazaros Symeonidis
University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and Essex Business School, University of Essex
Downloads 314 (183,466)
Citation 4

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Implied Volatility, Realized Volatility, Volatility Risk Premium, Financial Crisis, International Diversification

6.

Covariance Forecasting in Equity Markets

Journal of Banking and Finance, vol. 96, pp. 153-168
Number of pages: 79 Posted: 16 Jul 2018 Last Revised: 04 Oct 2018
University of Leeds - Division of Accounting and Finance, Essex Business School, University of Essex, University of East Anglia (UEA) - Norwich Business School and University of East Anglia (UEA) - Norwich Business School
Downloads 180 (314,525)
Citation 2

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covariance forecasting, high-frequency data, implied volatility, asset allocation, risk-return trade-off

7.

The Information Content of Short-Term Options

Journal of Financial Markets, Forthcoming
Number of pages: 52 Posted: 16 Sep 2019 Last Revised: 19 Sep 2019
University of Reading - ICMA Centre, University of East Anglia (UEA) - Norwich Business School, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 142 (384,188)
Citation 2

Abstract:

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Implied variance, Predictability, Realized variance, Weekly options

8.

The Economic Drivers of Commodity Market Volatility

Journal of International Money and Finance, Forthcoming
Number of pages: 66 Posted: 11 Jul 2019
Marcel Prokopczuk, Andrei Stancu and Lazaros Symeonidis
University of Reading - ICMA Centre, University of East Anglia (UEA) - Norwich Business School and Essex Business School, University of Essex
Downloads 135 (399,656)
Citation 12

Abstract:

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Commodities, Economic Uncertainty, Volatility, Financialization, Crisis

9.

Rising and Volatile Food Prices: Are Index Fund Investors to Blame?

Number of pages: 45 Posted: 15 Jun 2014
Marcel Prokopczuk, Lazaros Symeonidis and Timo Verlaat
University of Reading - ICMA Centre, Essex Business School, University of Essex and Zeppelin University
Downloads 119 (440,106)
Citation 1

Abstract:

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Food prices, index funds, volatility, agricultural futures

10.

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

Journal of Futures Markets, Vol. 36, No. 8, 2016
Number of pages: 81 Posted: 28 Aug 2015 Last Revised: 22 Mar 2019
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA Centre, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 92 (527,094)
Citation 6

Abstract:

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Realized volatility, jumps, high-frequency data, volatility forecasting, forecast evaluation

11.

Which Factor Model? A Systematic Return Covariation Perspective

Journal of International Money and Finance, Forthcoming
Number of pages: 90 Posted: 28 Apr 2023 Last Revised: 10 May 2023
Shamim Ahmed, Ziwen Bu, Lazaros Symeonidis and Daniel Tsvetanov
University of Liverpool - Management School (ULMS), University of Birmingham - Birmingham Business School, Essex Business School, University of Essex and University of East Anglia (UEA) - Norwich Business School
Downloads 75 (595,602)

Abstract:

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Asset pricing model; Factor model; Model evaluation; Portfolio selection; Out-ofsample

12.

Electricity Futures Prices in an Emissions Constrained Economy: Evidence From European Power Markets

The Energy Journal, vol. 36, no. 3, pp. 1-33, 2015
Number of pages: 48 Posted: 14 Sep 2019
George Daskalakis, Lazaros Symeonidis and Raphael N. Markellos
MBS College of Business and Entrepreneurship, Essex Business School, University of Essex and University of East Anglia (UEA) - Norwich Business School
Downloads 50 (727,791)

Abstract:

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Electricity futures, emission allowances, risk premium, futures pricing