Christos Ioannidis

University of Bath-Department of Economics

Claverton Down

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

19

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CITATIONS
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18

Scholarly Papers (19)

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Number of pages: 64 Posted: 13 Aug 2009
Christos Ioannidis, Julian M. Williams and Giovanni Calice
University of Bath-Department of Economics, Durham Business School and Loughborough University
Downloads 281 (102,330)

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Finlawmetrics 2010 Conference Paper
Number of pages: 64 Posted: 14 Jan 2010
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 186 (154,489)

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Paolo Baffi Centre Research Paper No. 2009-75
Number of pages: 65 Posted: 21 Jul 2010 Last Revised: 13 Feb 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 184 (155,998)

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distance to default, credit derivatives, credit default swap index, financial stability

2.

Credit Risk Transfer and the Forecasting of Bank Defaults

Number of pages: 61 Posted: 21 Mar 2009 Last Revised: 13 Jul 2009
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 500 (52,410)

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Banks, Distance to Default, Credit Derivatives, Mutlivariate Volatility

3.

The Relationship Between Bank Efficiency and Stock Returns: Evidence from Asia and Latin America

University of Bath, School of Management, Working Paper No. 2008.10
Number of pages: 28 Posted: 10 Jan 2009
Christos Ioannidis, Philip Molyneux and Fotios Pasiouras
University of Bath-Department of Economics, University of Sharjah - College of Business Administration and GSCM-Montpellier Business School
Downloads 453 (59,350)

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Asia, Banking, Efficiency, Latin America, Stock returns

4.

Static and Dynamic Asset Allocation with Higher Moments

Number of pages: 14 Posted: 05 Jan 2007
Julian M. Williams and Christos Ioannidis
Durham Business School and University of Bath-Department of Economics
Downloads 356 (79,021)
Citation 1

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Higher Moments, Asset Allocation, Portfolio Selection, Utility Theory

An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions

Number of pages: 48 Posted: 13 Aug 2009
Christos Ioannidis and Giovanni Calice
University of Bath-Department of Economics and Loughborough University
Downloads 205 (140,957)
Citation 5

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credit derivatives, credit default swap index, CDX, iTraxx, large complex financial institutions, equity returns, financial stability

An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions

Number of pages: 51 Posted: 21 Aug 2010
Christos Ioannidis and Giovanni Calice
University of Bath-Department of Economics and Loughborough University
Downloads 96 (261,790)
Citation 5

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credit derivatives, credit default swap index, CDX, iTraxx, large complex financial institutions, equity returns, financial stability

6.

Multivariate Asset Price Dynamics with Stochastic Covariation

Number of pages: 13 Posted: 18 Jan 2007
Julian M. Williams and Christos Ioannidis
Durham Business School and University of Bath-Department of Economics
Downloads 201 (143,862)

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Stochastic Volatility, Multivariate Pricing Models, Hedging

7.

Assessing Bank Soundness with Classification Techniques

Omega - The International Journal of Management Science, Vol. 38, pp. 345-357, 2010 (revised version), University of Bath School of Management Working Paper Series 2009.04
Number of pages: 36 Posted: 06 Mar 2009 Last Revised: 28 Sep 2012
Christos Ioannidis, Fotios Pasiouras and C. Zopounidis
University of Bath-Department of Economics, GSCM-Montpellier Business School and Technical University of Crete (TUC) - Department of Production Engineering and Management
Downloads 196 (147,277)
Citation 1

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Bank; Classification, Integration, Soundness

New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

Number of pages: 44 Posted: 21 Oct 2015
David P. Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 140 (197,538)

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mutual funds, unit trusts, open ended investment companies, performance measurement, factor benchmark models, bootstrap methods

New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

Pensions Institute, Discussion Paper PI-1404
Number of pages: 44 Posted: 22 Mar 2016
David P. Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 35 (434,804)

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mutual funds, unit trusts, open ended investment companies, performance measurement, factor benchmark models, bootstrap methods

A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium

Number of pages: 53 Posted: 27 May 2010 Last Revised: 20 Nov 2010
Giovanni Calice, Christos Ioannidis and Rong Hui Miao
Loughborough University, University of Bath-Department of Economics and University of Bath - Department of Economics
Downloads 79 (296,194)

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Credit Default Swap Index, Markov Switching, State-Space, Variance Decomposition

A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium

Number of pages: 53 Posted: 16 Jan 2011 Last Revised: 21 Jan 2012
Giovanni Calice, Christos Ioannidis and Rong Hui Miao
Loughborough University, University of Bath-Department of Economics and University of Bath - Department of Economics
Downloads 50 (377,027)

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Credit Default Swap Index, Markov Switching, State-Space, Variance Decomposition

10.

Credit Derivates and the Default Risk of Large Complex Financial Institutions

CESifo Working Paper Series No. 3583
Number of pages: 46 Posted: 23 Sep 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 120 (222,224)

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distance of default, credit derivatives, credit default swap index, financial stability

11.

The Time Series Properties of Financial Ratios: Lev Revisited

Journal of Business Finance & Accounting, Vol. 30, pp. 699-714, June 2003
Number of pages: 16 Posted: 24 Sep 2003
Christos Ioannidis, David A. Peel and Michael J. Peel
University of Bath-Department of Economics, Lancaster University - Management School and Cardiff University - Cardiff Business School
Downloads 33 (433,028)
Citation 2
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12.

Improved Inference in the Evaluation of Mutual Fund Performance Using Panel Bootstrap Methods

Pensions Institute, Discussion Paper PI-1405
Number of pages: 28 Posted: 22 Mar 2016
David P. Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 23 (481,483)

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mutual funds, unit trusts, open-ended investment companies, performance measurement, factor benchmark models, panel methods, bootstrap methods.

13.

Matrix Polynomial Conditions for the Existence of Rational Expectations Solutions

Number of pages: 8 Posted: 14 Nov 2008
John Hunter and Christos Ioannidis
Brunel University - School of Social Science and University of Bath-Department of Economics
Downloads 21 (492,621)

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Generalized Bzout Theorem, Polynomial Divisor, Rank

14.

Information Asymmetry and the Bid-Ask Spread: Evidence from the UK

Journal of Business Finance & Accounting, Vol. 32, No. 9-10, pp. 1801-1826, November 2005
Number of pages: 24 Posted: 23 Dec 2005
Andros Gregoriou, Christos Ioannidis and Len Skerratt
Brunel Business School, University of Bath-Department of Economics and Brunel University London - Economics and Finance
Downloads 19 (503,659)
Citation 9
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spread, analysts' forecasts, trading volume, volatility of returns

15.

The Efficiency of Multivariate Macroeconomic Forecasts

The Manchester School, Vol. 82, Issue 5, pp. 509-523, 2014
Number of pages: 15 Posted: 09 Aug 2014
Bruno Deschamps and Christos Ioannidis
University of Bath and University of Bath-Department of Economics
Downloads 1 (615,689)
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16.

Contagion in Cyber Security Attacks

Journal of the Operational Research Society, Vol. 68, Issue 7, 2017
Number of pages: 12 Posted: 24 Apr 2018
affiliation not provided to SSRN, affiliation not provided to SSRN, University of Bath-Department of Economics, affiliation not provided to SSRN and affiliation not provided to SSRN
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Jumps, contagion, Hawkes process, Self- and mutually exciting processes

17.

Heterogeneous Time Varying Transaction Costs and Asset Pricing in International Equity Markets

Financial Markets and Portfolio Management, Vol. 23, No. 3, pp. 271-283, 2009
Posted: 19 Jun 2010
Andros Gregoriou, Christos Ioannidis and Sugata Ghosh
University of East Anglia, University of Bath-Department of Economics and Brunel University London - Economics and Finance

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Asset pricing, Bid-ask spreads, Heterogeneity, GMM

18.

Why Do Firms Cross-List? International Evidence from the US Market

The Quarterly Review of Economics and Finance, Forthcoming
Posted: 30 Oct 2009
Abed Al-Nasser Abdallah and Christos Ioannidis
American University of Sharjah and University of Bath-Department of Economics

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Cross Listing, Segmentation, Investor Protection, CAPM, Event studies

19.

Intercountry Differences in the Relationship between Relative Price Variability and Average Prices

Journal of Political Economy, Vol. 109, No. 2, April 2001
Posted: 25 Apr 2001
Mick Silver and Christos Ioannidis
International Monetary Fund (IMF) and University of Bath-Department of Economics

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