Vassilios G. Papavassiliou

University College Dublin (UCD) - Michael Smurfit Graduate School of Business

Blackrock, Co. Dublin

Ireland

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3

Rimini (RN), RN 47900

Italy

SCHOLARLY PAPERS

17

DOWNLOADS

239

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (17)

1.

Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market

Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers, World Scientific Publishing, 2017, Forthcoming
Number of pages: 50 Posted: 19 Apr 2017
Conall O'Sullivan and Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 70 (351,876)

Abstract:

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Eurozone crisis, fi nancial contagion, liquidity-volatility spillovers, bond markets

2.

On the Term Structure of Liquidity in the European Sovereign Bond Market

Journal of Banking and Finance, Vol. 114, 2020
Number of pages: 46 Posted: 10 Aug 2018 Last Revised: 23 Feb 2020
Conall O'Sullivan and Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 68 (357,466)
Citation 1

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Microstructure, Liquidity, Eurozone debt crisis, Sovereign bond markets, Common factors, Liquidity premium

3.

Simulating Financial Contagion Dynamics in Random Interbank Networks

Journal of Economic Behavior and Organization, Vol. 158, pp. 500-525, 2019
Number of pages: 50 Posted: 05 Sep 2018 Last Revised: 21 Feb 2019
John Leventides, Kalliopi Loukaki and Vassilios G. Papavassiliou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 38 (461,556)

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interbank contagion, random networks, financial stability, interconnectedness, systemic risk

4.

A Comment on 'Cross-Border Merger, Vertical Structure, and Spatial Competition'

Number of pages: 7 Posted: 26 Sep 2016
Konstantinos Eleftheriou, Nickolas Michelacakis and Vassilios G. Papavassiliou
University of Piraeus, University of Piraeus - Department of Economics and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 23 (538,373)
Citation 1

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Price-discrimination; Spatial-competition; Firm-location; Cross-border merger

5.

A New Method for Estimating Liquidity Risk: Insights from a Liquidity-Adjusted CAPM Framework

Journal of International Financial Markets, Institutions and Money, Vol. 24, pp. 184-197, 2013
Number of pages: 24 Posted: 02 Jan 2013 Last Revised: 11 Jan 2019
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 21 (550,758)

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Model-free liquidity betas, Liquidity-adjusted CAPM, High-frequency data, Realized betas

6.

Addendum to Eleftheriou and Michelacakis (2016)

Economics Letters, Vol. 148, 2016, pp. 53-54
Number of pages: 5 Posted: 02 Oct 2016
Konstantinos Eleftheriou, Nickolas Michelacakis and Vassilios G. Papavassiliou
University of Piraeus, University of Piraeus - Department of Economics and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 18 (569,592)

Abstract:

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Price-discrimination; Spatial-competition; Firm-location; Cross-border merger

7.

Allowing for Jump Measurements in Volatility: A High‐Frequency Financial Data Analysis of Individual Stocks

Bulletin of Economic Research, Vol. 68, Issue 2, pp. 124-132, 2016
Number of pages: 9 Posted: 11 Apr 2016
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 1 (693,134)
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HAR‐RV model, high‐frequency data, realized volatility, volatility jumps

8.

Calendar Effects in Bitcoin Returns and Volatility

Finance Research Letters, Forthcoming
Posted: 04 Feb 2020
Harald Kinateder and Vassilios G. Papavassiliou
Passau University and University College Dublin (UCD) - Michael Smurfit Graduate School of Business

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Calendar Anomalies, Bitcoin, GARCH Dummy Model, Efficient Market Hypothesis, Seasonalities

9.

Sovereign Bond Return Prediction with Realized Higher Moments

Journal of International Financial Markets, Institutions and Money, Vol.62, pp. 53-73, 2019
Posted: 16 Jun 2019 Last Revised: 12 Sep 2019
Harald Kinateder and Vassilios G. Papavassiliou
Passau University and University College Dublin (UCD) - Michael Smurfit Graduate School of Business

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Sovereign bond markets, High-frequency data, Realized higher moments, Hyper-skewness, Hyper-kurtosis, Out-of-sample prediction

10.

The CO2-Growth Nexus Revisited: A Nonparametric Analysis for G7 Economies over Nearly Two Centuries

Energy Economics, Vol. 65, pp. 183-193, 2017
Posted: 19 May 2017
Muhammad Shahbaz, Muhammad Shafiullah, Vassilios G. Papavassiliou and Shawkat M. Hammoudeh
Comsats University Islamabad, University of Nottingham Malaysia Campus, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Montpellier Business School

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G7 Countries; Economic Growth; CO2 Emissions; EKC Hypothesis; Nonparametric Econometrics

11.

Allowing for Jump Measurements in Volatility: A High-Frequency Financial Data Analysis of Individual Stocks

Bulletin of Economic Research, Vol. 68, Issue 2, pp. 124-132, 2016
Posted: 01 Jul 2015 Last Revised: 13 Apr 2016
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business

Abstract:

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Volatility jumps, realized volatility, high-frequency data, HAR-RV model

12.

Price Discovery and the Effects of Fragmentation on Market Quality: Evidence from Cypriot Cross-Listed Stocks

Applied Economics, Vol. 47, Issue 32, pp. 3382-3394, 2015
Posted: 01 Feb 2015 Last Revised: 18 Apr 2015
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business

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Price discovery, Cross-listing, Liquidity, Market quality

13.

Equity Market Integration: The New Emerging Economy of Montenegro

Review of Accounting and Finance, Vol. 13, Issue 3, pp. 291-306, 2014
Posted: 07 Sep 2014 Last Revised: 31 Jan 2015
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business

Abstract:

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Cointegration, Emerging equity markets, EU enlargement, Southeastern Europe

14.

Financial Contagion During the European Sovereign Debt Crisis: A Selective Literature Review

Crisis Observatory, ELIAMEP, Hellenic Foundation for European & Foreign Policy, Research Paper No 11, June 2014
Posted: 13 Jun 2014
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business

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financial contagion, European sovereign debt crisis, financial markets, interdependence

15.

Cross-Asset Contagion in Times of Stress

Journal of Economics and Business, Vol.76, November-December 2014, pp. 133-139
Posted: 20 Feb 2014 Last Revised: 06 Dec 2014
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business

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Cross-asset contagion; Greek debt-crisis; Time-varying correlations

16.

The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece

Economic Notes, Vol. 41, Issue 3, pp. 173-182, 2012
Posted: 10 Oct 2012 Last Revised: 15 Nov 2012
Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business

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17.

Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

European Journal of Finance, Vol. 17, pp. 577-587, 2011, WBS Finance Group Research Paper No. 161
Posted: 10 Jun 2011 Last Revised: 26 Dec 2019
Michael Moore, Vassilios G. Papavassiliou and Peter G. Dunne
University of Warwick - Warwick Business School, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Central Bank of Ireland

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Market Microstructure, Common Factors, Order Flow, Liquidity