Panayiotis Theodossiou

Ball State University

Professor of Finance

2000 W. University Ave

Muncie, IN Delaware 47306

United States

SCHOLARLY PAPERS

30

DOWNLOADS
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SSRN RANKINGS

Top 9,187

in Total Papers Downloads

9,352

SSRN CITATIONS
Rank 12,032

SSRN RANKINGS

Top 12,032

in Total Papers Citations

117

CROSSREF CITATIONS

12

Scholarly Papers (30)

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
Ball State University
Downloads 2,415 (11,147)
Citation 28

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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 Ball State University
Downloads 1,925 (16,000)
Citation 5

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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
Ball State University
Downloads 1,744 (18,700)
Citation 29

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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 Ball State University
Downloads 459 (115,142)
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 Ball State University
Downloads 186 (295,754)
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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
Ball State University
Downloads 466 (114,365)

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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, Ball State University and Rutgers University
Downloads 415 (131,023)
Citation 3

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

7.

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: 05 Mar 2022
Panayiotis Theodossiou, Dimitris A. Tsouknidis and Christos S. Savva
Ball State University, Athens University of Economics and Business and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 172 (317,580)
Citation 14

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8.

Event Studies and Outlier Returns: Symptoms, Consequences and Treatment

Number of pages: 31 Posted: 19 Aug 2019
Panayiotis Theodossiou and Alexandra K. Theodossiou
Ball State University and Texas A&M University-Corpus Christi-College of Business
Downloads 165 (329,154)

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

9.

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
Audencia Business School, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Ball State University
Downloads 131 (396,743)
Citation 6

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

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 Ball State University
Downloads 91 (519,083)

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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
Ball State University, Brigham Young University and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 38 (808,907)
Citation 3

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Partially Adaptive Estimation, Econometric Models

11.

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 Ball State University
Downloads 124 (413,787)

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

12.

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 Ball State University
Downloads 123 (416,272)
Citation 8

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

13.

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
Ball State University
Downloads 122 (418,786)
Citation 1

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

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
Ball State University
Downloads 96 (497,186)
Citation 1

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

15.

Skewed Generalized T and Nested Probability Distributions: Specification and Moments

Number of pages: 8 Posted: 24 May 2018
Panayiotis Theodossiou
Ball State University
Downloads 84 (540,533)

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

16.

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
Ball State University and Texas A&M University-Corpus Christi-College of Business
Downloads 76 (573,271)

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

17.

Impact of Cognitive Biases on Forecasting Models

Number of pages: 36 Posted: 28 Jan 2021
Panayiotis Theodossiou and Polina Ellina
Ball State University and affiliation not provided to SSRN
Downloads 71 (595,461)

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

18.

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

Number of pages: 38 Posted: 28 Jan 2021
Panayiotis Theodossiou
Ball State University
Downloads 69 (604,745)

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

19.

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 Ball State University
Downloads 65 (623,791)
Citation 2

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

20.

Skewed Type III Generalized Logistic Distribution

Number of pages: 19 Posted: 16 Jul 2018
Panayiotis Theodossiou
Ball State University
Downloads 53 (688,310)
Citation 4

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

21.

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 Ball State University
Downloads 52 (694,204)
Citation 2

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

22.

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

Energy Economics, Forthcoming, Energy Economics, Vol. 95, No. 1, 2021
Number of pages: 50 Posted: 28 Jan 2021 Last Revised: 22 Apr 2022
Aristotle University of Thessaloniki, Greece, Aristotle University of Thessaloniki - Department of Economics, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Ball State University
Downloads 48 (719,110)

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

23.

Stochastic Properties and Pricing of Bitcoin Using a GJR-GARCH Model with Conditional Skewness and Kurtosis Components

Number of pages: 35 Posted: 29 Mar 2022
Panayiotis Theodossiou, Polina Ellina and Christos S. Savva
Ball State University, affiliation not provided to SSRN and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 43 (752,006)
Citation 1

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Conditional skewness and kurtosis; Skewness price of risk; Upside and downside market probabilities; Skewed generalized error distribution.

24.

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
Ball State University and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 42 (758,919)

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risk premium; skewness premium; skew distributions

25.

Option Pricing with Skewness and Kurtosis Based on the Skewed General Gaussian Distribution

Number of pages: 37 Posted: 13 Mar 2024
Panayiotis Theodossiou and Lenos Trigeorgis
Ball State University and Durham University
Downloads 37 (795,211)

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Generalized Option Pricing, Skewness and Kurtosis, Black-Scholes Biases. Investment Analysis.

26.

The Nature of the Official Monthly Estimates of U.S. GDP Quarterly Growth Rates

Number of pages: 32 Posted: 14 Aug 2023
G. Geoffrey Booth, Polina Ellina and Panayiotis Theodossiou
Michigan State University, American University of Cyprus and Ball State University
Downloads 21 (933,065)

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GDP, Economic Estimation, Cognitive and Rational Biases, Error Distributions

27.

Cognitive Biases and Their Impact on the Supply Chain Inventory Decisions: Theory and Example

Number of pages: 32 Posted: 27 Mar 2024
G. Geoffrey Booth and Panayiotis Theodossiou
Michigan State University and Ball State University
Downloads 19 (952,875)

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Economic Estimating; Cognitive Biases; Confidence; Generalized Error Distribution

28.

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 Ball State University

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

29.

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
Ball State University and Cyprus University of Technology - Department of Commerce, Finance and Shipping

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Risk-return tradeoff; SGT distribution; GARCH-M

30.

Predicting Corporate Financial Distress: A Time-Series CUSUM

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

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