Panayiotis Theodossiou

Cyprus University of Technology

Professor

Limassol, 3603

Cyprus

SCHOLARLY PAPERS

17

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CITATIONS
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32

Scholarly Papers (17)

1.

Skewed Generalized Error Distribution of Financial Assets and Option Pricing

Number of pages: 50 Posted: 13 May 2000
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 2,110 (6,450)
Citation 9

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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 1,816 (8,360)
Citation 7

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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 1,418 (12,473)
Citation 51

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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 416 (67,819)
Citation 33

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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 (160,173)
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5.

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 344 (85,561)
Citation 1

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

6.

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 226 (134,012)

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

7.

Truncated Skewed Type III Generalized Logistic Distribution: Risk Measurement Applications

Number of pages: 14 Posted: 24 May 2018 Last Revised: 28 Mar 2019
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 80 (301,100)

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

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 57 (366,309)

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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 18 (545,323)
Citation 3

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Partially Adaptive Estimation, Econometric Models

9.

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 69 (327,546)
Citation 2

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

10.

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 55 (367,171)
Citation 4

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

11.

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

Number of pages: 24 Posted: 26 Jun 2018
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 39 (422,656)

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

12.

Skewed Type III Generalized Logistic Distribution

Number of pages: 19 Posted: 16 Jul 2018
Panayiotis Theodossiou
Cyprus University of Technology
Downloads 25 (486,616)
Citation 1

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

13.

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 23 (497,604)

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

14.

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 5 (605,538)
Citation 1

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

15.

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 (620,272)
Citation 20
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16.

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

17.

Predicting Corporate Financial Distress: A Time-Series CUSUM

Review of Quantitative & Finance Accounting, Vol. 13, No. 4, Pp. 323-345, December 1999
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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