Christos Ioannidis

University of Bath-Department of Economics

Claverton Down

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

18

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99

CROSSREF CITATIONS

34

Scholarly Papers (18)

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 299 (138,710)

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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 208 (198,802)
Citation 1

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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 203 (203,377)
Citation 1

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

2.

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
University of Bath-Department of Economics, University of SharjahUniversity of Sharjah - College of Business Administration and GSCM-Montpellier Business School
Downloads 532 (72,292)
Citation 14

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Asia, Banking, Efficiency, Latin America, Stock returns

3.

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 529 (72,802)

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Banks, Distance to Default, Credit Derivatives, Mutlivariate Volatility

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 379 (107,872)
Citation 1

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Higher Moments, Asset Allocation, Portfolio Selection, Utility Theory

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 of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 299 (138,710)
Citation 2

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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 of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 67 (452,967)
Citation 43

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

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 222 (186,822)
Citation 1

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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 110 (334,257)
Citation 1

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

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 225 (184,820)
Citation 3

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Bank; Classification, Integration, Soundness

8.

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 214 (193,733)

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Stochastic Volatility, Multivariate Pricing Models, Hedging

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 97 (363,772)

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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 71 (438,968)

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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 135 (286,333)

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

11.

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 of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 42 (549,582)
Citation 2

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

12.

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 35 (585,908)
Citation 1

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Generalized Bzout Theorem, Polynomial Divisor, Rank

13.

The Time Series Properties of Financial Ratios: Lev Revisited

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 - Lancaster University Management School and Cardiff University
Downloads 34 (591,318)
Citation 1

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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 (691,405)

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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 (856,128)

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16.

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

17.

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

18.

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

Posted: 25 Apr 2001
Mick Silver and Christos Ioannidis
International Monetary Fund (IMF) and University of Bath-Department of Economics

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