Dimitrios I. Dimitriou

National and Kapodistrian University of Athens

Department of Economics

Athens

Greece

University of Ioannina - Department of Economics

45110 Ioannina

Greece

  • National and Kapodistrian University of Athens

  • University of Ioannina - Department of Economics

SCHOLARLY PAPERS

23

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362

SSRN CITATIONS

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CROSSREF CITATIONS

6

Scholarly Papers (23)

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1.

Asset Markets Contagion During the Global Financial Crisis

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Asset Markets Contagion During the Global Financial Crisis

Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 49–76.
Number of pages: 28 Posted: 16 Oct 2013 Last Revised: 03 Mar 2017
Dimitris Kenourgios, Apostolos G. Christopoulos, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Faculty of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics
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global financial crisis, asset markets, contagion, asymmetric dynamic conditional correlations

Asset Markets Contagion During the Global Financial Crisis

Multinational Finance Journal, Vol. 17, No. 1/2, p. 49-76, 2013
Number of pages: 28 Posted: 18 Jun 2015
Dimitris Kenourgios, Apostolos G. Christopoulos, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Faculty of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics
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global financial crisis; asset markets; contagion; asymmetric dynamic conditional correlations

2.

Global Crises and Contagion: Does the Capitalization Size Matter?

Applied Economics Quarterly, Vol. 64 (2018), Iss. 1: pp. 39–57
Posted: 07 Sep 2019
Dimitris Kenourgios, Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of the Aegean

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Capitalization-specific contagion, global financial crisis, Eurozone debt crisis, dynamic conditional correlation, FIAPARCH

3.

ECB’s Unconventional Monetary Policy and Cross-Financial-Market Correlation Dynamics

The North American Journal of Economics and Finance, Volume 50, November 2019
Posted: 05 Sep 2019
Dimitris Kenourgios, Emmanouela Drakonaki, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Unconventional monetary policy, Financial markets, Developed and emerging countries, Correlations, Wavelet analysis

4.

Greek Debt Negotiations and VIX Currency Indices: A HYGARCH Approach

Economics Bulletin, Volume 36, Issue 4, Pages 2154-2160, November 2016
Posted: 19 Sep 2017
Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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5.

Financial Crises, Exchange Rate Linkages and Uncovered Interest-Rate Parity: Evidence from G7 Markets

Economic Modelling, Vol. 66, 112-120
Posted: 13 Sep 2017
Dimitris Kenourgios, Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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Exchange rates, Uncovered interest-rate parity, Contagion, Financial crises, Dynamic conditional correlation

6.

On High Frequency Dynamics between Information Asymmetry and Volatility for Securities

Journal of Economic Asymmetries, 13, 2016, pp. 21-34
Posted: 27 Jan 2017
Panos Paparizos, Dimitrios I. Dimitriou, Dimitrios I. Dimitriou, Dimitris Kenourgios and Theodore Simos
University of Ioannina - Department of Economics, National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and University of Ioannina - Department of Economics

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Market microstructure, VPIN, Volatility forecasting

7.

Islamic Financial Markets and Global Crises: Contagion or Decoupling?

Economic Modelling, Vol. 57, No. 36, 2016
Posted: 17 May 2016
Dimitris Kenourgios, Nader Naifar, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, University of Sfax, Tunisia and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Islamic finance, Financial contagion, Global financial crisis, Eurozone sovereign debt crisis, Dynamic conditional correlation

8.

On Emerging Stock Market Contagion: The Baltic Region

Research in International Business and Finance, Volume 36, Pages 312-321, January 2016, Forthcoming
Posted: 26 Oct 2015
Panayotis Alexakis, Dimitris Kenourgios, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
Independent, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Emerging Baltic stock markets, Global financial crisis, Euro zone debt crisis, Asymmetric dynamic conditional correlation

9.

Intraday Exchange Rate Volatility Transmissions Across QE Announcements

Finance Research Letters, Forthcoming
Posted: 19 Jul 2015
Dimitris Kenourgios, Stephanos Papadamou, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, University of Thessaly - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Quantitative easing, Announcements, Foreign exchange, Intraday, Volatility transmission

10.

On Quantitative Easing and High Frequency Exchange Rate Dynamics

Research in International Business and Finance, Vol. 34 (2015), pp. 110-125
Posted: 08 Feb 2015
Dimitris Kenourgios, Stephanos Papadamou, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, University of Thessaly - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Quantitative easing, Exchange rates, Intraday Volatility, Dynamic conditional correlation

11.

Contagion of the Global Financial Crisis and the Real Economy: A Regional Analysis

Economic Modelling, Forthcoming
Posted: 24 Nov 2014
Dimitris Kenourgios, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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12.

Contagion Effects on Stock and FX Markets: A DCC Analysis Among USA and EMU

Studies in Economics and Finance, Vol. 31, No. 3, 2014
Posted: 19 Oct 2014
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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Contagion, FX markets, GARCH-DCC

13.

Contagion Effects of the Global Financial Crisis in US and European Real Economy Sectors

Panoeconomicus, 61(3), 2014, pp. 275-288
Posted: 25 Jul 2014
Dimitris Kenourgios, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Global financial crisis, Financial contagion, Real economy sectors, USA, Europe

14.

Do Money, Prices, Incomes and Interest Rates Interrelate in the U.S.? A Fractional Cointegrated VAR Approach

The Empirical Economics Letters, 12(8): (August 2013) ISSN 1681 8997
Posted: 23 Oct 2013
Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Fractional Cointegrated VAR; Monetary Policy; Financial Crises; U.S. Analysis

15.

Financial Crises and Dynamic Linkages Among International Currencies

Journal of International Financial Markets, Institutions and Money, Vol. 26, October 2013, pp. 319-332
Posted: 26 Aug 2013
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Dimitris Kenourgios
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and National and Kapodistrian University of Athens - Department of Economics

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Global financial crisis, Euro crisis, Foreign exchange markets, FIAPARCH-DCC model, Volatility linkages

16.

Testing Purchasing Power Parity for Japan and the US: A Structural-Break Approach

Japan and the World Economy, Forthcoming
Posted: 28 Jul 2013
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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PPP, structural breaks, subprime crisis, cointegration

17.

Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach

International Review of Financial Analysis, 30, December 2013, pp. 46-56
Posted: 15 Jun 2013 Last Revised: 26 Aug 2013
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou, Dimitris Kenourgios and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and University of Ioannina - Department of Economics

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Global financial crisis, Contagion, FIAPARCH-DCC model, BRICSs’ emerging markets

18.

Contagion Channels of the USA Subprime Financial Crisis Evidence from USA, EMU, China and Japan Equity Markets

Journal of Financial Economic Policy, Vol. 5, No. 1, pp. 61-71, 2013
Posted: 12 Apr 2013
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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United States of America, Japan, China, European Monetary Union, National economy, Stock markets, Contagion channels, USA subprime crisis, M-GARCH models

19.

International Portfolio Diversification: An ICAPM Approach with Currency Risk

Macroeconomics and Finance in Emerging Market Economies 2012, pp. 1-13, Advanced Risk & Portfolio Management Paper
Posted: 12 Nov 2012
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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international markets, market integration, financial crises, MGARCHM specification

20.

Opportunities for International Portfolio Diversification in the Balkans’ Markets

International Journal of Economics and Research, Vol. 3i1, pp. 1-12, 2012
Posted: 14 Feb 2012
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Dimitris Kenourgios
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and National and Kapodistrian University of Athens - Department of Economics

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Balkan equity markets, Johansen cointegration, Granger causality

21.

The Relationship between Stock Returns and Volatility in the Seventeen Largest International Stock Markets: A Semi-Parametric Approach

Journal of Modern Economy, Vol. 2, No. 1, February 2011
Posted: 27 Dec 2011
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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Risk-Return Tradeoff, International Stock Markets, Semi-Parametric Specification of Conditional

22.

Dynamic Linkages and Interdependence Between Mediterranean Region EMU Markets During 2007 Financial Crisis

International Research Journal of Finance and Economics, No. 71, p. 70, 2011
Posted: 27 Dec 2011
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou, Theodore Simos and Petros Mpitsios
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics, University of Ioannina - Department of Economics and Technological Educational Institute (TEI) of Epirus - Department of Finance and Auditing

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Spillover effects, Mediterranean markets, MGARCH, BEKK model

23.

Monetary Union Effects on European Stock Market Integration: An International CAPM Approach with Currency Risk

International Journal of Economics and Finance, Vol. 3, No. 6, p. 34, November 2011
Posted: 27 Dec 2011
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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Market integration, EMU, MGARCH-M specification