Panayiotis Theodossiou

Cyprus University of Technology

Professor

Limassol, 3603

Cyprus

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 7,388

SSRN RANKINGS

Top 7,388

in Total Papers Downloads

7,927

SSRN CITATIONS
Rank 11,859

SSRN RANKINGS

Top 11,859

in Total Papers Citations

77

CROSSREF CITATIONS

26

Scholarly Papers (27)

1.

Skewed Generalized Error Distribution of Financial Assets and Option Pricing

Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 223-266
Number of pages: 50 Posted: 13 May 2000 Last Revised: 26 Aug 2019
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 2,215 (8,457)
Citation 21

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Call option pricing, financial data, geometric Brownian motion, leptokurtosis, Laplace distribution, SGED

2.

Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology

Number of pages: 40 Posted: 06 Mar 1998
Emel Kahya and Panayiotis Theodossiou
Rutgers, The State University of New Jersey - Accounting and Cyprus University of Technology
Downloads 1,834 (11,511)
Citation 4

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3.

Financial Data and the Skewed Generalized T Distribution

Management Science, Vol. 44, pp. 1650-1661, December 1998
Number of pages: 12 Posted: 27 Oct 2008
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 1,571 (14,696)
Citation 23

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The Asymmetric Relation between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

Number of pages: 50 Posted: 13 Mar 2001
Gikas A. Hardouvelis and Panayiotis Theodossiou
University of Piraeus and Cyprus University of Technology
Downloads 431 (85,821)
Citation 8

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Initial margin requirement, regulatory restriction, stock market volatility, exponential

The Asymmetric Relation between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

Centre for Economic Policy Research Discussion Paper Series No. 1746
Number of pages: 49 Posted: 01 Mar 1998
Gikas A. Hardouvelis and Panayiotis Theodossiou
University of Piraeus and Cyprus University of Technology
Downloads 186 (206,255)
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5.

Skewed Generalized Error Distribution of Financial Assets and Option Pricing

Multinational Finance Journal, Vol. 19, No. 4, p. 223-266, 2015
Number of pages: 44 Posted: 24 Nov 2015
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 380 (100,130)

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asymmetric volatility, call option pricing, conditional heteroskedasticity, geometric Brownian motion, skewed GED

6.

Beta Estimation with Stock Return Outliers: The Case of U.S. Pharmaceutical Companies

Number of pages: 34 Posted: 29 May 2009 Last Revised: 08 Jun 2009
Alexandra K. Theodossiou, Panayiotis Theodossiou and Uzi Yaari
Texas A&M University-Corpus Christi-College of Business, Cyprus University of Technology and Rutgers University
Downloads 364 (105,101)
Citation 2

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stock beta estimation, OLS vs. Robust M beta estimation, equity cost of capital, pharmaceutical industry

7.

The Impact of the Coronavirus Crisis on the Market Price of Risk

Journal of Financial Stability, Vol. 53, 2021
Number of pages: 38 Posted: 09 Jun 2020 Last Revised: 31 Mar 2021
Manthos D. Delis, Christos S. Savva and Panayiotis Theodossiou
Montpellier Business School, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Cyprus University of Technology
Downloads 109 (314,537)
Citation 1

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Asset pricing, Risk and return, Skewness, Coronavirus crisis, Subprime crisis

8.

Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments

Journal of the Royal Statistical Society, Series A, 2020, Vol. 183, Part 3, pp. 1 – 23.
Number of pages: 39 Posted: 27 Jan 2020 Last Revised: 01 Mar 2021
Panayiotis Theodossiou, Dimitris A. Tsouknidis and Christos S. Savva
Cyprus University of Technology, Athens University of Economics and Business and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 102 (331,046)
Citation 8

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9.

Truncated Skewed Type III Generalized Logistic Distribution: Risk Measurement Applications

Number of pages: 35 Posted: 24 May 2018 Last Revised: 20 Apr 2020
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 100 (333,219)
Citation 1

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downside risk, expected shortfall, flexible distributions, value at risk

10.

The Risk and Return Conundrum Explained: International Evidence

Journal of Financial Econometrics, June 2018, Vol. 16, Issue 3, pp. 486-521.
Number of pages: 55 Posted: 04 May 2018 Last Revised: 14 Oct 2018
Christos S. Savva and Panayiotis Theodossiou
Cyprus University of Technology - Department of Commerce, Finance and Shipping and Cyprus University of Technology
Downloads 89 (358,776)
Citation 6

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national stock markets, risk premium, skewness premium, skewed generalized t, downside risk, upside uncertainty

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 1, 2007-7
Number of pages: 20 Posted: 18 Dec 2010
Christian Hansen, James McDonald and Panayiotis Theodossiou
University of Chicago - Booth School of Business - Econometrics and Statistics, Brigham Young University and Cyprus University of Technology
Downloads 64 (437,869)

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Partially Adaptive Estimation, Econometric Models

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Economics Discussion Paper No. 2007-13
Number of pages: 11 Posted: 29 Nov 2010
Panayiotis Theodossiou, James McDonald and Christian Hansen
Cyprus University of Technology, Brigham Young University and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 23 (647,162)
Citation 3

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Partially Adaptive Estimation, Econometric Models

12.

Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application

Multinational Finance Journal, Vol. 13, No. 3/4, p. 293-321, 2009
Number of pages: 29 Posted: 26 Jun 2015
James McDonald, Richard A. Michelfelder and Panayiotis Theodossiou
Brigham Young University, Rutgers, The State University of New Jersey - Rutgers University, Camden and Cyprus University of Technology
Downloads 71 (409,175)

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CAPM; quasi-maximum likelihood estimator; robust estimator; skewed generalized T

13.

Event Studies and Outlier Returns: Symptoms, Consequences and Treatment

Number of pages: 31 Posted: 19 Aug 2019
Panayiotis Theodossiou and Alexandra K. Theodossiou
Cyprus University of Technology and Texas A&M University-Corpus Christi-College of Business
Downloads 66 (425,434)

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Multifactor stock return models, CAR-cumulative abnormal returns, outlier resistant estimators, Monte Carlo simulations

14.

Risk Measures for Investment Values and Returns Based on Skewed-Heavy Tailed Distributions: Analytical Derivations and Comparison

Number of pages: 23 Posted: 26 Jun 2018 Last Revised: 06 Dec 2020
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 61 (442,580)
Citation 1

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downside risk, expected shortfall, flexible distributions, risk management, SGT, value at risk

15.

Consequences of Outlier Returns for Event Studies: A Methodological Investigation and Treatment

The International Journal of Accounting, Forthcoming
Number of pages: 30 Posted: 01 Jan 2020
Panayiotis Theodossiou and Alexandra K. Theodossiou
Cyprus University of Technology and Texas A&M University-Corpus Christi-College of Business
Downloads 44 (510,807)

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Cumulative abnormal returns; Monte Carlo simulations; multifactor asset pricing models; ordinary least squares method; maximum likelihood outlier resistant estimation method

16.

Skewed Generalized T and Nested Probability Distributions: Specification and Moments

Number of pages: 8 Posted: 24 May 2018
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 39 (534,378)

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skewed generalized t, skewed generalized error distribution, student’s t, Pearson’s mode skewness, kurtosis

17.

Skewed Type III Generalized Logistic Distribution

Number of pages: 19 Posted: 16 Jul 2018
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 34 (560,229)
Citation 4

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Kurtosis, Pearson’s Mode Skewness, Quantile Values, S&P500 Log-Return and Skewed Generalized Logistic

18.

Impact of Cognitive Biases on Forecasting Models

Number of pages: 36 Posted: 28 Jan 2021
Panayiotis Theodossiou and Polina Ellina
Cyprus University of Technology and affiliation not provided to SSRN
Downloads 32 (571,167)

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Anchoring bias; bootstrapping simulations; Bureau of Economic Analysis; overconfident forecasters; skewness bias; skewed generalized error distribution

19.

Class of Skewed Generalized Distributions Based on a Two-Piece Generalized Framework

Number of pages: 38 Posted: 28 Jan 2021
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 28 (594,691)

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Skewness; generalized t; generalized error distribution; Laplace; Pearson’s moment coefficients

20.

Clarifying Managerial Biases Using a Probabilistic Framework

Journal of Behavioral and Experimental Finance
Number of pages: 24 Posted: 26 May 2020 Last Revised: 15 Jan 2021
Polina Ellina, Briance Mascarenhas and Panayiotis Theodossiou
affiliation not provided to SSRN, Rutgers, The State University of New Jersey - Rutgers University, Camden and Cyprus University of Technology
Downloads 26 (607,383)
Citation 1

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Downside risk; expected shortfall; probability miscalibration; psychological biases; skewed normal distribution; value-at-risk.

21.

Impact of Outliers on Stock Return Models: Implications for Event Studies and the Pricing of Risk

Number of pages: 45 Posted: 28 May 2009 Last Revised: 07 May 2018
Alexandra K. Theodossiou and Panayiotis Theodossiou
Texas A&M University-Corpus Christi-College of Business and Cyprus University of Technology
Downloads 24 (620,887)
Citation 1

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CAPM, CAR tests, Fama-French model, M-estimator, portfolio management, systematic risk

22.

Market Price of Risk Estimation: Does Distribution Matter?

Communications in Statistics - Theory and Methods, Forthcoming
Number of pages: 33 Posted: 28 Jan 2021
Panayiotis Theodossiou and Christos S. Savva
Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 20 (648,936)

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risk premium; skewness premium; skew distributions

23.

Electricity Pricing Using a Periodic GARCH-M Model with Conditional Skewness and Kurtosis Components

Economic Journal, Forthcoming
Number of pages: 50 Posted: 28 Jan 2021
Aristotle University of Thessaloniki, Greece, Aristotle University of Thessaloniki - Department of Economics, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Cyprus University of Technology
Downloads 11 (716,633)

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Risk analysis; asymmetric volatility; pure and skewness price of risk; risk neutral equilibrium electricity prices; skewed generalized error distribution

24.

Risk Measurement Performance of Alternative Distribution Functions

Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 411-437, June 2008
Number of pages: 27 Posted: 08 May 2008
Turan G. Bali and Panayiotis Theodossiou
Georgetown University - Robert Emmett McDonough School of Business and Cyprus University of Technology
Downloads 3 (779,675)
Citation 1
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25.

Banking Crisis in Cyprus: Causes, Consequences and Recent Developments

Multinational Finance Journal, 2018, vol. 22, no. 1, pp. 63-118
Posted: 28 Aug 2019
Scott Brown, Demetra Demetriou and Panayiotis Theodossiou
University of Puerto Rico, Cyprus University of Technology and Cyprus University of Technology

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cyprus banking crisis, bail-in, fiscal deficit, European Union

26.

Skewness and the Relation between Risk and Return

Management Science, 2016, vol. 62, no. 6, 1598–1609.
Posted: 28 Apr 2015 Last Revised: 26 Apr 2018
Panayiotis Theodossiou and Christos S. Savva
Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping

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Risk-return tradeoff; SGT distribution; GARCH-M

27.

Predicting Corporate Financial Distress: A Time-Series CUSUM

Posted: 05 Feb 2001
Panayiotis Theodossiou and Emel Kahya
Cyprus University of Technology and Rutgers, The State University of New Jersey - Accounting

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