Dimitrios I. Dimitriou

University of Athens

Department of Economics

Athens

Greece

University of Ioannina - Department of Economics

45110 Ioannina

Greece

SCHOLARLY PAPERS

19

DOWNLOADS

143

CITATIONS

0

Scholarly Papers (19)

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: 14 Nov 2014
Dimitris Kenourgios, Apostolos G. Christopoulos and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Faculty of Economics and University of Athens
Downloads 114 (193,929)

Abstract:

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 and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Faculty of Economics and University of Athens
Downloads 29 (392,673)

Abstract:

global financial crisis; asset markets; contagion; asymmetric dynamic conditional correlations

2.

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, Dimitris Kenourgios and Theodore Simos
University of Ioannina - Department of Economics, University of Athens, National and Kapodistrian University of Athens - Department of Economics and University of Ioannina - Department of Economics

Abstract:

Market microstructure, VPIN, Volatility forecasting

3.

Islamic Financial Markets and Global Crises: Contagion or Decoupling?

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

Abstract:

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

4.

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 and Dimitrios I. Dimitriou
Independent, National and Kapodistrian University of Athens - Department of Economics and University of Athens

Abstract:

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

5.

Intraday Exchange Rate Volatility Transmissions Across QE Announcements

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

Abstract:

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

6.

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 and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, University of Thessaly - Department of Economics and University of Athens

Abstract:

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

7.

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

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

Abstract:

8.

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 and Theodore Simos
University of Athens and University of Ioannina - Department of Economics

Abstract:

Contagion, FX markets, GARCH-DCC

9.

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 and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics and University of Athens

Abstract:

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

10.

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
University of Athens

Abstract:

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

11.

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 and Dimitris Kenourgios
University of Athens and National and Kapodistrian University of Athens - Department of Economics

Abstract:

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

12.

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 and Theodore Simos
University of Athens and University of Ioannina - Department of Economics

Abstract:

PPP, structural breaks, subprime crisis, cointegration

13.

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, Dimitris Kenourgios and Theodore Simos
University of Athens, National and Kapodistrian University of Athens - Department of Economics and University of Ioannina - Department of Economics

Abstract:

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

14.

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 and Theodore Simos
University of Athens and University of Ioannina - Department of Economics

Abstract:

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

15.

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 and Theodore Simos
University of Athens and University of Ioannina - Department of Economics

Abstract:

international markets, market integration, financial crises, MGARCHM specification

16.

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 and Dimitris Kenourgios
University of Athens and National and Kapodistrian University of Athens - Department of Economics

Abstract:

Balkan equity markets, Johansen cointegration, Granger causality

17.

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 and Theodore Simos
University of Athens and University of Ioannina - Department of Economics

Abstract:

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

18.

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 and Theodore Simos
University of Athens and University of Ioannina - Department of Economics

Abstract:

Market integration, EMU, MGARCH-M specification

19.

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, Theodore Simos and Petros Mpitsios
University of Athens, University of Ioannina - Department of Economics and Technological Educational Institute (TEI) of Epirus - Department of Finance and Auditing

Abstract:

Spillover effects, Mediterranean markets, MGARCH, BEKK model