George Filis

Bournemouth University

Associate Professor in Financial Economics

Fern Barrow

Poole BH12 5BB, Dorset BH8 8EB

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

148

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Oil And Asset Classes Implied Volatilities: Dynamic Connectedness And Investment Strategies

Number of pages: 40 Posted: 17 Jun 2019
Webster University - Webster Vienna Private University, University of Navarra, Bournemouth University, Johannes Kepler University and University of Navarra
Downloads 77 (339,799)
Citation 4

Abstract:

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Dynamic connectedness; hedging strategies; volatility portfolios; oil prices; stock market indices

2.

Forecasting Realized Volatility of Agricultural Commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; Walther, Thomas (2020): Forecasting Realized Volatility of Agricultural Commodities in: International Journal of Forecasting, Forthcoming. DOI: 10.1016/j.ijforecast.2019.08.011
Number of pages: 48 Posted: 07 Sep 2019 Last Revised: 20 Apr 2020
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Bournemouth University, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 41 (457,298)

Abstract:

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Agricultural Commodities, Realized Volatility, Median Realized Volatility, Heterogeneous Autoregressive model, Forecasting

3.

What Matters When Developing Oil Price Volatility Forecasting Frameworks?

USAEE Working Paper No. 20-446
Number of pages: 46 Posted: 14 May 2020
Panteion University of Athens - Department of Economic and Regional Development, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 23 (548,402)

Abstract:

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HAR model, realized volatility, Oil price implied volatility index, multi-step ahead forecasts, time-varying parameter model

4.

Oil and Pump Prices: Is There Any Asymmetry in the Greek Oil Downstream Sector?

Number of pages: 27 Posted: 05 Sep 2019
Bank of Greece, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 7 (655,771)
Citation 1

Abstract:

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oil price shocks, fuel prices, asymmetric responses, rockets and feathers, pass-through