Lazaros Symeonidis

Essex Business School, University of Essex

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 21,377

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Top 21,377

in Total Papers Downloads

3,796

SSRN CITATIONS
Rank 17,010

SSRN RANKINGS

Top 17,010

in Total Papers Citations

41

CROSSREF CITATIONS

25

Scholarly Papers (11)

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 1,137 (29,680)
Citation 24

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 1,050 (33,263)
Citation 1

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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 556 (77,643)
Citation 8

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

4.

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 294 (161,002)
Citation 4

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

5.

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 161 (282,836)
Citation 2

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

6.

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 152 (296,572)

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

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 121 (353,740)
Citation 1

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 109 (380,913)
Citation 5

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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 101 (401,415)
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 81 (460,870)
Citation 4

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

11.

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 34 (678,571)

Abstract:

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Electricity futures, emission allowances, risk premium, futures pricing